VRTVertiv Holdings Co Class A Common Stock
VRT Options Overview
IV is elevated with bearish flow and unusual activity. Conditions favor premium sellers.
REWARDS
RISK ANALYSIS
VRT Gamma Walls
VRT Hedge Radar
Fragility reads low; protection is priced cheap. Neither axis is a forecast — this is where VRT sits on protection cost vs. fragility today.
Protection is priced in the cheap band (1.74) — near-dated vol is priced 10% below far-dated, and implied vol sits in the 2th percentile of its own past year, measured against this name's own rolling 19-trading-day realized moves (485 overlapping windows). Fragility reads resilient (2.17): its realized-vol regime is contracting, and it is trading 8% above its hedge wall on a wall graded MEDIUM for reliability.
Value
Is IV priced right?
Measures whether options are cheap, fair, or rich relative to historical and peer
IV Rank 83.3% — elevated vs history
IV/HV 1.01x — IV ≤ HV
Sector percentile 86% — above sector median
Front/Back 1.00x — flat
Put/Call IV 1.16x — elevated
ATM IV 63.6% — normal range
Effective IV 78.6% (ATM 63.6% + spread 7.5% + bias) — fair
Total drag 11.87% (spread 7.52% + slippage 4.35%) — high friction
Vega efficiency 6.55 (vega 4.925 / spread 7.52%) — acceptable
Sentiment
Bullish or bearish?
Analyzes
Conviction-weighted: -12% (bearish) — Raw: -15%
|OI skew| 4.3% — balanced
Vol skew -21.1%, OI skew -4.3% — aligned
0-DTE 25%, far-OTM 15%, avg DTE 30
OI change +0.0% (5d) — stable
ITM: -6%, ATM: +1%, OTM: -20% — neutral (ITM/ATM divergent)
Sector P/C percentile 77% — very bearish vs sector
Activity
Unusual activity?
Detects volume surges,
Volume 2.4x avg — hot
Vol/OI 14.3% — normal turnover
2 day(s) elevated — sustained
OI change +4.5% (5d) — building
Sector activity percentile 95% — very active vs sector
Large trade volume 23% — mixed
Aggressive execution 24% — patient
Conviction -12 (bearish) — mixed
Liquidity
Can I trade efficiently?
Evaluates
Spread 7.5% — wide
OI 473,012 — deep
Volume 67,752/day — active
$0.38 to cross — cheap
1 liquid strikes — limited options
Sector spread percentile 91% — much wider than sector
Depth 108.9 contracts (bid:54.5 ask:54.4) — adequate
Avg slippage 4.35% — poor
Timing
Is now a good time?
Considers earnings proximity,
Slope +0.3% — flat/unclear
IV percentile 83% — seller opportunity
IV kink 0.3pts — no clear event
θ/ν ratio 2.41 — favors income trades
5 liquid expirations — flexible
caution advised: FOMC in 5d; CPI in 0d (HIGH)
Spread ratio 1.00x — stable
Flow -12% @ 56% consistency — unclear
Score 53 (ITM 20% + inst 23%) — moderate institutional
Directional Strategy Fit
For educational purposes only. Not investment advice.
The Options Desk tracks the move options price into every US earnings report the week of Sep 7, 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.