Options/VST

VSTVistra Corp.

Options Analysis Report•ELECTRIC SERVICES

Market Cap $46.9B|NYSE

● 2026-08-28$139.81

NEUTRAL

Analysis: 2026-08-27 EOD data

1Y -28.9%YTD -15.4%7D +2.6%

Options Vol

21,251

30D

Implied Move

±11.5%

IV Rank

VST Options Overview

IV is elevated. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for premium sellers

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VST Gamma Walls

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VST Hedge Radar

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Full Hedge Radar

Fragility reads high; protection is priced cheap. Neither axis is a forecast — this is where VST sits on protection cost vs. fragility today.

Protection is priced in the cheap band (2.04) — near-dated vol is priced 14% below far-dated, and implied vol sits in the 0th percentile of its own past year, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads fragile (6.18): it is trading 7% below its hedge wall on a wall graded MEDIUM for reliability, and its realized-vol regime is stable.

Protection cost

2.04/ 10cheap

Basis: cross_sectional

Fragility

6.18/ 10fragile

Basis: per_ticker

Value

Is IV priced right?

6.2

ExpensiveCheap

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

levels.

Risk Checks6/9 checks passed

IV Rank

≤35%

IV Rank 81.9% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 0.98x — IV ≤ HV

Sector Relative≤50%

Sector percentile 86% — above sector median

Term Structure

<1.1x

Front/Back 0.86x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 43.2% — normal range

Spread-Adjusted Value

<80%

Effective IV 57.2% (ATM 43.2% + spread 7.0% + bias) — good value

Execution Efficiency

<3.0%

Total drag 11.24% (spread 7.01% + slippage 4.23%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 11.37 (vega 7.972 / spread 7.01%) — efficient

Sentiment

Bullish or bearish?

6.0

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksNeutral - Very weak signal (Conviction: -1%, Raw: -0%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: -1% (neutral) — Raw: -0%

OI Skew Magnitude

≥15%

|OI skew| 0.4% — balanced

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +38.6%, OI skew -0.4% — divergent (opposite)

Conviction Quality

≥2/3 conditions

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

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: +18%, ATM: -29%, OTM: +5% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 53% — neutral vs sector

Activity

Unusual activity?

3.4

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks2/8 checks passed

Volume Surge

≥1.5x

Volume 0.5x avg — normal

Turnover Rate

≥15%

Vol/OI 4.1% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change -9.4% (5d) — unwinding

Sector Relative≥60%

Sector activity percentile 68% — active vs sector

Trade Quality

≥30%

Large trade volume 31% — institutional presence

Execution Urgency

≥60%

Aggressive execution 25% — patient

Flow Conviction

≥30

Conviction -1 (bearish) — mixed

Liquidity

Can I trade efficiently?

4.9

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks4/8 checks passed

Tradeable Spread

≤5.0%

Spread 7.0% — wide

Adequate OI

≥10,000

OI 523,728 — deep

Active Volume

≥500

Volume 21,251/day — active

Reasonable Cost

≤$0.50

$0.35 to cross — cheap

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 88% — much wider than sector

Order Book Depth

≥100 contracts

Depth 128.4 contracts (bid:58.5 ask:69.9) — adequate

Execution Quality

<1.0%

Avg slippage 4.23% — poor

Timing

Is now a good time?

7.3

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -14.0% — contango

IV Percentile Clarity

<30 or >70

IV percentile 82% — seller opportunity

Event Detection

≥10pts kink

IV kink -3.3pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 38.40 — favors income trades

Expiration Distribution

≥3 expirations

5 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 -1% @ 50% consistency — unclear

Smart Money Timing

≥40 composite score

Score 61 (ITM 20% + inst 31%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls6.1

bullishIV cheap, bullish flow

Long Puts5.4

bearishIV cheap, bullish flow

Premium Sellers

Cash-Secured Put5.3

bullishIV too cheap, bullish flow

Covered Call4.6

bearishIV too cheap, bullish flow

For educational purposes only. Not investment advice.