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COFCapital One Financial

Options Analysis Report•NATIONAL COMMERCIAL BANKS
Market Cap $132.3B|NYSE
● 2026-08-31$215.67
NEUTRAL
Analysis: 2026-08-28 EOD data
1Y -3.4%YTD -13.0%7D -0.3%
6,236
30D
±7.5%
4%

COF Options Overview

IV is low. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

5.5VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for option buyers

Learn
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COF Gamma Walls

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Value

Is IV priced right?

8.4
ExpensiveCheap

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

levels.

Risk Checks8/9 checks passed
≤35%

IV Rank 25.4% — cheap vs history

<1.05x

IV/HV 0.91x — IV ≤ HV

Sector Relative≤50%

Sector percentile 47% — below sector median

<1.1x

Front/Back 0.80x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 24.6% — normal range

<80%

Effective IV 43.8% (ATM 24.6% + spread 9.6% + bias) — excellent value

<3.0%

Total drag 16.31% (spread 9.58% + slippage 6.73%) — high friction

≥5.0

Vega efficiency 24.70 (vega 23.663 / spread 9.58%) — efficient

Sentiment

Bullish or bearish?

4.0
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksBearish - Weak signal (Conviction: -17%, Raw: -14%)
|net sentiment| ≥25%

Conviction-weighted: -17% (bearish) — Raw: -14%

≥15%

|OI skew| 7.7% — balanced

Same sign, |vol skew| ≥10%

Vol skew -16.6%, OI skew +7.7% — 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: -8%, ATM: -3%, OTM: -18% — neutral (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 83% — very bearish vs sector

Activity

Unusual activity?

3.6
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks2/8 checks passed
≥1.5x

Volume 0.7x avg — normal

≥15%

Vol/OI 3.9% — normal turnover

≥2 days

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

≥5%

OI change +14.0% (5d) — building

Sector Relative≥60%

Sector activity percentile 69% — active vs sector

≥30%

Large trade volume 8% — mostly retail

≥60%

Aggressive execution 27% — patient

≥30

Conviction -17 (bearish) — mixed

Liquidity

Can I trade efficiently?

4.5
IlliquidLiquid

Evaluates

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

Risk Checks4/8 checks passed
≤5.0%

Spread 9.6% — wide

≥10,000

OI 159,752 — deep

≥500

Volume 6,236/day — active

≤$0.50

$0.48 to cross — cheap

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 48% — neutral vs sector

≥100 contracts

Depth 101.1 contracts (bid:54.0 ask:47.1) — adequate

<1.0%

Avg slippage 6.73% — poor

Timing

Is now a good time?

7.0
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

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

Slope -19.7% — contango

<30 or >70

IV percentile 25% — buyer opportunity

≥10pts kink

IV kink -2.8pts — no clear event

<0.5 or >2.0

θ/ν ratio 188.10 — favors income trades

≥3 expirations

4 liquid expirations — flexible

≥60% (safe)

safe window: No events detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow -17% @ 58% consistency — unclear

≥40 composite score

Score 38 (ITM 20% + inst 8%) — retail dominated

Directional Strategy Fit

Option Buyers
Long Calls6.0
bullishIV cheap, bearish flow
Long Puts6.8
bearishIV cheap, bearish flow
Premium Sellers
Cash-Secured Put3.8
bullishIV too cheap, bearish flow
Covered Call4.5
bearishIV too cheap, bearish 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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