AInvestOption Pilot Program
Options/VCR
V

VCRVanguard Consumer Discretionary ETF

Options Analysis Report
AUM $6.6B|ARCX
● 2026-08-31$393.81
BULLISH
Analysis: 2026-08-28 EOD data
1Y +2.9%YTD +0.6%7D -0.9%
5
30D
±5.0%
4%

VCR Options Overview

IV is low with bullish flow. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

5.9VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for option buyers

Learn
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VCR 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 19.0% — cheap vs history

<1.05x

IV/HV 1.10x — IV premium over HV

Sector Relative≤50%

Sector percentile 34% — below sector median

<1.1x

Front/Back 0.86x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 18.8% — normal range

<80%

Effective IV 134.0% (ATM 18.8% + spread 57.6% + bias) — expensive

<3.0%

Total drag 67.71% (spread 57.58% + slippage 10.13%) — high friction

≥5.0

Vega efficiency 14.73 (vega 84.819 / spread 57.58%) — efficient

Sentiment

Bullish or bearish?

8.0
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksVery Bullish - Strong signal (Conviction: +43%, Raw: +33%)
|net sentiment| ≥25%

Conviction-weighted: +43% (strong bullish) — Raw: +33%

≥15%

|OI skew| 66.4% — call-heavy

Same sign, |vol skew| ≥10%

Vol skew +60.0%, OI skew +66.4% — 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: +100%, OTM: -100% — strong bullish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 12% — very bullish vs sector

Activity

Unusual activity?

3.7
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks2/8 checks passed
≥1.5x

Volume 0.6x avg — normal

≥15%

Vol/OI 1.6% — normal turnover

≥2 days

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

≥5%

OI change +17.4% (5d) — building

Sector Relative≥60%

Sector activity percentile 42% — neutral vs sector

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 50% — patient

≥30

Conviction +43 (bullish) — moderate

Liquidity

Can I trade efficiently?

2.3
IlliquidLiquid

Evaluates

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

Risk Checks1/8 checks passed
≤5.0%

Spread 57.6% — wide

≥10,000

OI 304 — thin

≥500

Volume 5/day — thin

≤$0.50

$2.88 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 50% — neutral vs sector

≥100 contracts

Depth 375.0 contracts (bid:202.5 ask:172.5) — adequate

<1.0%

Avg slippage 10.13% — poor

Timing

Is now a good time?

7.4
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed
|slope| ≥5%

Slope -13.5% — contango

<30 or >70

IV percentile 19% — buyer opportunity

≥10pts kink

IV kink -1.8pts — no clear event

<0.5 or >2.0

θ/ν ratio 961.67 — 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 +43% @ 67% consistency — STRONG directional (bullish)

≥40 composite score

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

Directional Strategy Fit

Option Buyers
Long Calls8.1
bullishIV cheap, bullish flow
Long Puts5.0
bearishIV cheap, bullish flow
Premium Sellers
Cash-Secured Put5.0
bullishIV too cheap, bullish flow
Covered Call2.9
bearishIV too cheap, 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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