AInvestOption Pilot Program
Options/VTV
V

VTVVanguard Morningstar Value ETF

Options Analysis Report
AUM $256.5B|ARCX
● 2026-08-31$225.29
NEUTRAL
Analysis: 2026-08-28 EOD data
1Y +23.4%YTD +16.8%7D -0.6%
78
30D
±2.6%
4%

VTV Options Overview

IV is low. No clear edge detected.

REWARDS

RISK ANALYSIS

5.1VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for option buyers

Learn
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VTV Gamma Walls

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Value

Is IV priced right?

8.0
ExpensiveCheap

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

levels.

Risk Checks6/9 checks passed
≤35%

IV Rank 3.2% — cheap vs history

<1.05x

IV/HV 1.54x — IV premium over HV

Sector Relative≤50%

Sector percentile 5% — below sector median

<1.1x

Front/Back 0.69x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 11.0% — normal range

<80%

Effective IV 84.5% (ATM 11.0% + spread 36.7% + bias) — expensive

<3.0%

Total drag 60.36% (spread 36.73% + slippage 23.63%) — high friction

≥5.0

Vega efficiency 5.69 (vega 20.913 / spread 36.73%) — acceptable

Sentiment

Bullish or bearish?

5.5
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksNeutral - Weak signal (Conviction: -8%, Raw: -5%)
|net sentiment| ≥25%

Conviction-weighted: -8% (neutral) — Raw: -5%

≥15%

|OI skew| 7.1% — balanced

Same sign, |vol skew| ≥10%

Vol skew +12.8%, OI skew +7.1% — aligned

≥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: -4%, OTM: -6% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 25% — very bullish vs sector

Activity

Unusual activity?

1.8
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks0/8 checks passed
≥1.5x

Volume 0.2x avg — normal

≥15%

Vol/OI 1.3% — normal turnover

≥2 days

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

≥5%

OI change +2.0% (5d) — building

Sector Relative≥60%

Sector activity percentile 37% — below sector avg

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 29% — patient

≥30

Conviction -8 (bearish) — mixed

Liquidity

Can I trade efficiently?

3.0
IlliquidLiquid

Evaluates

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

Risk Checks1/8 checks passed
≤5.0%

Spread 36.7% — wide

≥10,000

OI 5,932 — thin

≥500

Volume 78/day — thin

≤$0.50

$1.84 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 28% — tighter than sector

≥100 contracts

Depth 48.0 contracts (bid:13.2 ask:34.8) — thin

<1.0%

Avg slippage 23.63% — poor

Timing

Is now a good time?

7.1
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks6/9 checks passed
|slope| ≥5%

Slope -31.1% — contango

<30 or >70

IV percentile 3% — buyer opportunity

≥10pts kink

IV kink -3.0pts — no clear event

<0.5 or >2.0

θ/ν ratio 383.72 — favors income trades

≥3 expirations

4 liquid expirations — flexible

≥60% (safe)

safe window: No earnings detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow -8% @ 54% consistency — unclear

≥40 composite score

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

Directional Strategy Fit

Option Buyers
Long Calls6.2
bullishIV cheap, mixed flow
Long Puts5.9
bearishIV cheap, mixed flow
Premium Sellers
Cash-Secured Put4.2
bullishIV too cheap, mixed flow
Covered Call3.9
bearishIV too cheap, mixed 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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