Options/VLO

VLOValero Energy Corporation

Options Analysis Report•PETROLEUM REFINING

Market Cap $99.8B|NYSE

● 2026-08-28$346.59

NEUTRAL

Analysis: 2026-08-27 EOD data

1Y +129.3%YTD +109.7%7D -0.7%

Options Vol

6,152

30D

Implied Move

±11.5%

IV Rank

19%

VLO Options Overview

IV is elevated. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for premium sellers

Learn

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VLO Gamma Walls

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VLO Hedge Radar

Neutral

Full Hedge Radar

Neither score is at an extreme today. Neither axis is a forecast — this is where VLO sits on protection cost vs. fragility today.

Protection is priced in the cheap band (2.95) — downside puts carry 0.1 IV points more than at-the-money, and near-dated vol is priced 8% below far-dated, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads neutral (4.11): it is trading 6% above its hedge wall on a wall graded MEDIUM for reliability, and its realized-vol regime is stable.

Protection cost

2.95/ 10cheap

Basis: cross_sectional

Fragility

4.11/ 10neutral

Basis: per_ticker

Value

Is IV priced right?

5.3

ExpensiveCheap

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

levels.

Risk Checks5/9 checks passed

IV Rank

≤35%

IV Rank 80.0% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 1.29x — IV premium over HV

Sector Relative≤50%

Sector percentile 75% — above sector median

Term Structure

<1.1x

Front/Back 0.92x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 41.8% — normal range

Spread-Adjusted Value

<80%

Effective IV 56.9% (ATM 41.8% + spread 7.5% + bias) — good value

Execution Efficiency

<3.0%

Total drag 12.32% (spread 7.54% + slippage 4.78%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 43.53 (vega 32.819 / spread 7.54%) — efficient

Sentiment

Bullish or bearish?

3.7

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksBearish - Moderate signal (Conviction: -11%, Raw: -4%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: -11% (bearish) — Raw: -4%

OI Skew Magnitude

≥15%

|OI skew| 3.0% — balanced

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew -16.4%, OI skew -3.0% — aligned

Conviction Quality

≥2/3 conditions

0-DTE 25%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: +36%, ATM: -12%, OTM: -4% — bullish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 77% — very bearish vs sector

Activity

Unusual activity?

2.6

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks0/8 checks passed

Volume Surge

≥1.5x

Volume 0.7x avg — normal

Turnover Rate

≥15%

Vol/OI 4.4% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change -5.1% (5d) — unwinding

Sector Relative≥60%

Sector activity percentile 45% — neutral vs sector

Trade Quality

≥30%

Large trade volume 16% — mixed

Execution Urgency

≥60%

Aggressive execution 20% — patient

Flow Conviction

≥30

Conviction -11 (bearish) — mixed

Liquidity

Can I trade efficiently?

4.4

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks3/8 checks passed

Tradeable Spread

≤5.0%

Spread 7.5% — wide

Adequate OI

≥10,000

OI 140,566 — deep

Active Volume

≥500

Volume 6,152/day — active

Reasonable Cost

≤$0.50

$0.38 to cross — cheap

Strike Coverage

≥5 strikes

1 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 77% — wider than sector

Order Book Depth

≥100 contracts

Depth 64.1 contracts (bid:30.9 ask:33.2) — thin

Execution Quality

<1.0%

Avg slippage 4.78% — poor

Timing

Is now a good time?

7.6

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -8.1% — contango

IV Percentile Clarity

<30 or >70

IV percentile 80% — seller opportunity

Event Detection

≥10pts kink

IV kink -1.5pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 102.85 — favors income trades

Expiration Distribution

≥3 expirations

4 liquid expirations — flexible

Event Risk

≥60% (safe)

safe window: No events detected

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow -11% @ 56% consistency — unclear

Smart Money Timing

≥40 composite score

Score 46 (ITM 20% + inst 16%) — moderate institutional

Directional Strategy Fit

Option Buyers

Long Calls4.9

bullishIV fair, bearish flow

Long Puts5.8

bearishIV fair, bearish flow

Premium Sellers

Cash-Secured Put4.7

bullishIV fair, bearish flow

Covered Call5.6

bearishIV fair, bearish flow

For educational purposes only. Not investment advice.