AInvestOption Pilot Program
Options/VXZ
V

VXZiPath Series B S&P 500 VIX Mid-Term Futures ETN

Options Analysis Report
AUM $41M|BATS
● 2026-08-31$47.90
VERY BULLISH
Analysis: 2026-08-28 EOD data
1Y -17.3%YTD -10.0%7D -2.6%
6
30D
±14.2%
28%

VXZ Options Overview

bullish flow. No clear edge detected.

REWARDS

RISK ANALYSIS

5.2VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Balanced conditions with no clear edge

Learn
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VXZ Gamma Walls

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Value

Is IV priced right?

3.5
ExpensiveCheap

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

levels.

Risk Checks2/9 checks passed
≤35%

IV Rank 57.0% — elevated vs history

<1.05x

IV/HV 3.28x — IV premium over HV

Sector Relative≤50%

Sector percentile 75% — above sector median

<1.1x

Front/Back 1.41x — backwardation

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 35.9% — normal range

<80%

Effective IV 121.6% (ATM 35.9% + spread 42.9% + bias) — expensive

<3.0%

Total drag 53.57% (spread 42.86% + slippage 10.71%) — high friction

≥5.0

Vega efficiency 1.04 (vega 4.440 / spread 42.86%) — spread drag

Sentiment

Bullish or bearish?

10.0
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksVery Bullish - Moderate signal (Conviction: +100%, Raw: +100%)
|net sentiment| ≥25%

Conviction-weighted: +100% (strong bullish) — Raw: +100%

≥15%

|OI skew| 28.6% — call-heavy

Same sign, |vol skew| ≥10%

Vol skew +100.0%, OI skew +28.6% — 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: +0%, OTM: +100% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 50% — neutral vs sector

Activity

Unusual activity?

2.9
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks2/8 checks passed
≥1.5x

Volume 0.1x avg — normal

≥15%

Vol/OI 0.4% — normal turnover

≥2 days

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

≥5%

OI change +10.1% (5d) — building

Sector Relative≥60%

Sector activity percentile 14% — quiet vs sector

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 0% — patient

≥30

Conviction +100 (bullish) — strong conviction

Liquidity

Can I trade efficiently?

2.0
IlliquidLiquid

Evaluates

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

Risk Checks0/8 checks passed
≤5.0%

Spread 42.9% — wide

≥10,000

OI 1,621 — thin

≥500

Volume 6/day — thin

≤$0.50

$2.14 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 81% — much wider than sector

≥100 contracts

Depth 31.0 contracts (bid:23.0 ask:8.0) — thin

<1.0%

Avg slippage 10.71% — poor

Timing

Is now a good time?

7.5
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

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

Slope +40.6% — backwardation

<30 or >70

IV percentile 57% — neutral

≥10pts kink

IV kink 14.9pts — event priced

<0.5 or >2.0

θ/ν ratio 90.79 — 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 +100% @ 100% consistency — STRONG directional (bullish)

≥40 composite score

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

Directional Strategy Fit

Option Buyers
Long Calls6.1
bullishIV expensive, bullish flow
Long Puts2.6
bearishIV expensive, bullish flow
Premium Sellers
Cash-Secured Put7.0
bullishIV rich premium, bullish flow
Covered Call3.5
bearishIV rich premium, 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.

More on VXZ

VXZ gamma wallsVXZ max painVXZ IV rankVXZ options flow