AInvestOption Pilot Program
Options/VLUE
V

VLUEiShares MSCI USA Value Factor ETF

Options Analysis Report
AUM $9.7B|BATS
● 2026-08-31$201.29
BULLISH
Analysis: 2026-08-28 EOD data
1Y +69.1%YTD +44.4%7D +0.6%
6
30D
±6.9%
17%

VLUE Options Overview

bullish flow. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

4.6VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for option buyers

Learn
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VLUE Gamma Walls

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Value

Is IV priced right?

5.9
ExpensiveCheap

Measures whether options are cheap, fair, or rich relative to historical and peer

levels.

Risk Checks5/9 checks passed
≤35%

IV Rank 30.6% — cheap vs history

<1.05x

IV/HV 1.62x — IV premium over HV

Sector Relative≤50%

Sector percentile 49% — below sector median

<1.1x

Front/Back 1.03x — flat

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 23.6% — normal range

<80%

Effective IV 211.9% (ATM 23.6% + spread 94.1% + bias) — expensive

<3.0%

Total drag 112.80% (spread 94.14% + slippage 18.66%) — high friction

≥5.0

Vega efficiency 4.64 (vega 43.691 / spread 94.14%) — spread drag

Sentiment

Bullish or bearish?

6.6
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksBullish - Weak signal (Conviction: +18%, Raw: +0%)
|net sentiment| ≥25%

Conviction-weighted: +18% (bullish) — Raw: +0%

≥15%

|OI skew| 2.3% — balanced

Same sign, |vol skew| ≥10%

Vol skew +100.0%, OI skew -2.3% — divergent (opposite)

≥2/3 conditions

0-DTE 0%, far-OTM 15%, avg DTE 30

|change| ≥3%

OI change +0.0% (5d) — stable

|weighted flow| ≥20%

ITM: +0%, ATM: +100%, OTM: -20% — strong bullish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 50% — neutral vs sector

Activity

Unusual activity?

2.1
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks0/8 checks passed
≥1.5x

Volume 0.6x avg — normal

≥15%

Vol/OI 0.6% — normal turnover

≥2 days

1 day(s) elevated — may be one-day event

≥5%

OI change +1.5% (5d) — stable

Sector Relative≥60%

Sector activity percentile 22% — below sector avg

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 25% — patient

≥30

Conviction +18 (bullish) — mixed

Liquidity

Can I trade efficiently?

2.1
IlliquidLiquid

Evaluates

, volume depth, and open interest for trade execution quality.

Risk Checks0/8 checks passed
≤5.0%

Spread 94.1% — wide

≥10,000

OI 933 — thin

≥500

Volume 6/day — thin

≤$0.50

$4.71 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 61% — wider than sector

≥100 contracts

Depth 96.5 contracts (bid:95.0 ask:1.5) — thin

<1.0%

Avg slippage 18.66% — poor

Timing

Is now a good time?

6.2
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks4/9 checks passed
|slope| ≥5%

Slope +3.0% — flat/unclear

<30 or >70

IV percentile 31% — neutral

≥10pts kink

IV kink 0.6pts — no clear event

<0.5 or >2.0

θ/ν ratio 923.71 — favors income trades

≥3 expirations

3 liquid expirations — flexible

≥60% (safe)

safe window: No earnings detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow +18% @ 67% consistency — unclear

≥40 composite score

Score 30 (ITM 20% + inst 0%) — retail dominated

Directional Strategy Fit

Option Buyers
Long Calls6.6
bullishIV fair, bullish flow
Long Puts4.5
bearishIV fair, bullish flow
Premium Sellers
Cash-Secured Put4.9
bullishIV fair, bullish flow
Covered Call3.8
bearishIV fair, bullish flow

For educational purposes only. Not investment advice.

The Options Desk tracks the move options price into every US earnings report the week of Aug 31, next to how much each stock has actually moved on its past prints — plus the SPY, QQQ and IWM expected ranges and the gamma walls that box them in.

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