NVAXNovavax Inc
Options Analysis Report•BIOLOGICAL PRODUCTS, (NO DIAGNOSTIC SUBSTANCES)
Market Cap $1.4B|NASDAQ
● 2026-06-09$8.62
NEUTRAL
Analysis: 2026-06-08 EOD data
1Y +16.3%YTD +20.9%7D -15.6%
Options Vol
12,984
30D
Implied Move
±25.5%
IV Rank
40%
NVAX Options Overview
IV is elevated with unusual activity. Conditions favor premium sellers.
REWARDS
RISK ANALYSIS
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Value
Is IV priced right?
3.4
ExpensiveCheap
Measures whether options are cheap, fair, or rich relative to historical and peer
IV
levels.Risk Checks2/9 checks passed
IV Rank
≤35%IV Rank 91.5% — elevated vs history
IV/HV Ratio
<1.05xIV/HV 1.08x — IV premium over HV
Sector Relative≤50%
Sector percentile 79% — above sector median
Term Structure
<1.1xFront/Back 0.89x — contango
Skew Normal
<1.25xPut/Call IV 1.16x — elevated
Absolute IV
<80%ATM IV 91.7% — crisis-level IV
Spread-Adjusted Value
<80%Effective IV 136.5% (ATM 91.7% + spread 22.4% + bias) — expensive
Execution Efficiency
<3.0%Total drag 37.53% (spread 22.42% + slippage 15.11%) — high friction
Vega Efficiency
≥5.0Vega efficiency 0.34 (vega 0.751 / spread 22.42%) — spread drag
Sentiment
Bullish or bearish?
4.5
BearishBullish
Analyzes
put/call ratios
, open interest skew
, and flow direction to determine market bias.Risk ChecksVery Bearish - Strong signal (Conviction: -56%, Raw: -48%)
Flow Direction
|net sentiment| ≥25%Conviction-weighted: -56% (strong bearish) — Raw: -48%
OI Skew Magnitude
≥15%|OI skew| 37.7% — call-heavy
Volume-OI Alignment
Same sign, |vol skew| ≥10%Vol skew +35.4%, OI skew +37.7% — aligned
Conviction Quality
≥2/3 conditions0-DTE 0%, far-OTM 15%, avg DTE 30
OI Momentum
|change| ≥3%OI change +0.0% (5d) — stable
Smart Money Flow
|weighted flow| ≥20%ITM: -78%, ATM: -47%, OTM: -45% — strong bearish (ITM/ATM aligned)
Sector Relative≤40% or ≥60%
Sector P/C percentile 50% — neutral vs sector
Activity
Unusual activity?
4.4
QuietActive
Detects volume surges,
block trades
, and unusual options activity that may signal moves.Risk Checks2/9 checks passed
Volume Surge
≥1.5xVolume 0.9x avg — normal
Turnover Rate
≥15%Vol/OI 5.5% — normal turnover
Strike Concentration
≥60%Top 3 strikes = 50% — dispersed
Multi-Day Persistence
≥2 days1 day(s) elevated — may be one-day event
OI Build
≥5%OI change -1.7% (5d) — stable
Sector Relative≥60%
Sector activity percentile 84% — very active vs sector
Trade Quality
≥30%Large trade volume 28% — mixed
Execution Urgency
≥60%Aggressive execution 33% — patient
Flow Conviction
≥30Conviction -56 (bearish) — strong conviction
Liquidity
Can I trade efficiently?
3.5
IlliquidLiquid
Evaluates
bid-ask spreads
, volume depth, and open interest for trade execution quality.Risk Checks3/8 checks passed
Tradeable Spread
≤5.0%Spread 22.4% — wide
Adequate OI
≥10,000OI 237,608 — deep
Active Volume
≥500Volume 12,984/day — active
Reasonable Cost
≤$0.50$1.12 to cross — expensive
Strike Coverage
≥5 strikes0 liquid strikes — limited options
Sector Relative≤40%
Sector spread percentile 92% — much wider than sector
Order Book Depth
≥100 contractsDepth 460.20000000000005 contracts (bid:225.4 ask:234.8) — adequate
Execution Quality
<1.0%Avg slippage 15.11% — poor
Timing
Is now a good time?
7.5
RiskyFavorable
Considers earnings proximity,
time decay
, and event calendar for optimal entry timing.Risk Checks7/9 checks passed
Term Structure Clarity
|slope| ≥5%Slope -11.1% — contango
IV Percentile Clarity
<30 or >70IV percentile 92% — seller opportunity
Event Detection
≥10pts kinkIV kink -4.6pts — no clear event
Theta/Vega Clarity
<0.5 or >2.0θ/ν ratio 37.01 — favors income trades
Expiration Distribution
≥3 expirations3 liquid expirations — flexible
Event Risk
≥60% (safe)caution advised: No earnings detected; CPI in 1d (HIGH)
Spread Momentum
<1.2 ratioSpread ratio 1.00x — stable
Flow Momentum
≥25% strength + ≥50% consistencyFlow -56% @ 78% consistency — STRONG directional (bearish)
Smart Money Timing
≥40 composite scoreScore 58 (ITM 20% + inst 28%) — moderate institutional
Directional Strategy Fit
Option Buyers
Long Calls4.4
bullishIV expensive, mixed flow
Long Puts4.8
bearishIV expensive, mixed flow
Premium Sellers
Cash-Secured Put5.4
bullishIV rich premium, mixed flow
Covered Call5.7
bearishIV rich premium, mixed flow
For educational purposes only. Not investment advice.