AInvestOption Pilot Program
Options/VCRB
V

VCRBVanguard Core Bond ETF

Options Analysis Report
AUM $7.5B|NASDAQ
● 2026-05-05$76.06
NEUTRAL
Analysis: 2026-05-04 EOD data
1Y -1.6%YTD -2.3%7D +0.2%
--
30D
±6.6%
8%

VCRB Options Overview

IV is low. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

5.6VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for option buyers

Learn
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VCRB Gamma Walls

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Value

Is IV priced right?

7.7
ExpensiveCheap

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

levels.

Risk Checks7/9 checks passed
≤35%

IV Rank 3.8% — cheap vs history

<1.05x

IV/HV 4.36x — IV premium over HV

Sector Relative≤50%

Sector percentile 4% — below sector median

<1.1x

Front/Back 2.06x — backwardation

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 14.4% — normal range

<80%

Effective IV 16.0% (ATM 14.4% + spread 0.8% + bias) — excellent value

<3.0%

Total drag 0.79% (spread 0.79% + slippage 0.00%) — minimal drag

≥5.0

Vega efficiency 134.47 (vega 10.623 / spread 0.79%) — efficient

Sentiment

Bullish or bearish?

5.0
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksBalanced - Very weak signal (P/C: 1.00)
<0.65 or >1.55

P/C 1.00 — balanced (buy/sell unknown)

≥15%

|OI skew| 0.0% — balanced

Same sign, |vol skew| ≥10%

Vol skew +0.0%, OI skew +0.0% — weak (same direction)

≥2/3 conditions

0-DTE 0%, far-OTM 15%, avg DTE 30

|change| ≥3%

OI change +0.0% (5d) — stable

Sector Relative≤40% or ≥60%

Sector P/C percentile 49% — neutral vs sector

Activity

Unusual activity?

2.9
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks0/9 checks passed
≥1.5x

Volume 1.0x avg — normal

≥15%

Vol/OI 0.0% — normal turnover

≥60%

Top 3 strikes = 50% — dispersed

≥2 days

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

≥5%

OI change +0.0% (5d) — stable

Sector Relative≥60%

Sector activity percentile 50% — neutral vs sector

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 0% — patient

≥30

Conviction +0 (neutral) — mixed

Liquidity

Can I trade efficiently?

4.9
IlliquidLiquid

Evaluates

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

Risk Checks4/8 checks passed
≤5.0%

Spread 0.8% — tight

≥10,000

OI 0 — thin

≥500

Volume 0/day — thin

≤$0.50

$0.04 to cross — cheap

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 36% — tighter than sector

≥100 contracts

Depth 0 contracts (bid:0 ask:0) — thin

<1.0%

Avg slippage 0.00% — excellent

Timing

Is now a good time?

7.4
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks8/9 checks passed
|slope| ≥5%

Slope +106.3% — backwardation

<30 or >70

IV percentile 4% — buyer opportunity

≥10pts kink

IV kink 10.2pts — event priced

<0.5 or >2.0

θ/ν ratio 513.19 — 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 +0% @ 50% consistency — unclear

≥40 composite score

Score 60 (ITM 20% + inst 30%) — HIGH institutional

Directional Strategy Fit

Option Buyers
Long Calls6.3
bullishIV cheap, mixed flow
Long Puts6.3
bearishIV cheap, mixed flow
Premium Sellers
Cash-Secured Put4.5
bullishIV too cheap, mixed flow
Covered Call4.5
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.

More on VCRB

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