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VLYValley National Bancorp

Options Analysis Report•NATIONAL COMMERCIAL BANKS
Market Cap $7.7B|NASDAQ
● 2026-08-31$13.92
NEUTRAL
Analysis: 2026-08-28 EOD data
1Y +33.7%YTD +19.1%7D -1.3%
27
30D
±6.4%
0%

VLY Options Overview

Mixed signals. No clear edge detected.

REWARDS

RISK ANALYSIS

4.1VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Balanced conditions with no clear edge

Learn
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VLY Gamma Walls

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Value

Is IV priced right?

5.8
ExpensiveCheap

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

levels.

Risk Checks3/9 checks passed
≤35%

IV Rank 37.8% — elevated vs history

<1.05x

IV/HV 1.32x — IV premium over HV

Sector Relative≤50%

Sector percentile 58% — above sector median

<1.1x

Front/Back 0.78x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 26.8% — normal range

<80%

Effective IV 150.0% (ATM 26.8% + spread 61.6% + bias) — expensive

<3.0%

Total drag 73.70% (spread 61.61% + slippage 12.09%) — high friction

≥5.0

Vega efficiency 0.33 (vega 2.034 / spread 61.61%) — spread drag

Sentiment

Bullish or bearish?

2.4
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksVery Bearish - Moderate signal (Conviction: -91%, Raw: -88%)
|net sentiment| ≥25%

Conviction-weighted: -91% (strong bearish) — Raw: -88%

≥15%

|OI skew| 31.6% — put-heavy

Same sign, |vol skew| ≥10%

Vol skew +100.0%, OI skew -31.6% — 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: -100%, ATM: +0%, OTM: -100% — strong bearish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 50% — neutral vs sector

Activity

Unusual activity?

2.4
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed
≥1.5x

Volume 0.1x avg — normal

≥15%

Vol/OI 0.1% — normal turnover

≥2 days

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

≥5%

OI change +3.2% (5d) — building

Sector Relative≥60%

Sector activity percentile 3% — quiet vs sector

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 29% — patient

≥30

Conviction -91 (bearish) — strong conviction

Liquidity

Can I trade efficiently?

2.6
IlliquidLiquid

Evaluates

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

Risk Checks2/8 checks passed
≤5.0%

Spread 61.6% — wide

≥10,000

OI 35,182 — adequate

≥500

Volume 27/day — thin

≤$0.50

$3.08 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 68% — wider than sector

≥100 contracts

Depth 874.8 contracts (bid:526.4 ask:348.4) — deep

<1.0%

Avg slippage 12.09% — poor

Timing

Is now a good time?

7.3
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

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

Slope -22.0% — contango

<30 or >70

IV percentile 38% — neutral

≥10pts kink

IV kink -4.6pts — no clear event

<0.5 or >2.0

θ/ν ratio 383.74 — favors income trades

≥3 expirations

3 liquid expirations — flexible

≥60% (safe)

safe window: No events detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow -91% @ 95% consistency — STRONG directional (bearish)

≥40 composite score

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

Directional Strategy Fit

Option Buyers
Long Calls4.3
bullishIV fair, bearish flow
Long Puts6.2
bearishIV fair, bearish flow
Premium Sellers
Cash-Secured Put3.7
bullishIV fair, bearish flow
Covered Call5.5
bearishIV fair, 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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