BenzingaT3·30mo ago
VMBS Vanguard Mortgage-Backed Securities ETF
ETF 44.86 DelayedETF quote, holdings, sector allocation, technicals, and options analytics. Expected move IV rank history Fibonacci levels
Market data may be delayed, incomplete, or inaccurate. Not a recommendation to buy, sell, or hold any security. Verify quotes with your broker before trading. See Terms §17.
VMBS
$44.86
—
Key stats
$44.86
- 52-Week Range
- $43.95 – $47.90
- YTD
- -4.59%
- IV Rank (30D)
- 22.59
- Straddle Price
- $1.12
- P/C Vol Ratio
- 7.00
- Open
- $44.89
- Day Range
- $44.77 – $45.00
- Volume
- 2,016,794
- Prev Close
- $44.87
About
Vanguard Mortgage-Backed Securities ETF (VMBS) ETF
No description available.
- Exchange
- XNAS
- Inception
- 2009-11-19
- Has Options
- Yes
- Homepage
- https://investor.vanguard.com/etf
Fund profile
holdings as of Sep 30, 2026issuer datathrough May 2026flows, SEC filings
- Expense ratio
- 0.03% issuer, Oct 21, 2026
- Assets
- $15.7B shares × price, Oct 20, 2026
- Trailing yield
- 4.38% paid monthly
- Average daily volume
- $120M 30 sessions
- Holdings
- 4,939 top 10 are 2.7%
- Listed
- Nov 19, 2009 Nasdaq
- Last fee change
- -1 bp filed Feb 3, 2025
- Net asset value
- $44.82 issuer, Oct 20, 2026 · closed +0.11% to NAV
- 30-day SEC yield
- 4.48% issuer, Oct 16, 2026
- Tracking difference
- +0.07 pts vs index, after fees, FY 2025
Cost97
Liquidity100
Scale100
Diversification100
Moves with. Long Treasuries (55% of its variance, beta 0.32); High yield over Treasuries (8% of its variance, beta -0.21); US large-cap stocks (8% of its variance, beta 0.07); Developed markets ex-US over US (3% of its variance, beta 0.05). These factors explain 80% of its daily moves over the last year.
Stated objective. Vanguard Mortgage-Backed Securities ETF, an exchange-traded share class of Vanguard Mortgage-Backed Securities Index Fund (the Fund), seeks to track the performance of a market-weighted mortgage-backed securities index. (from the fund's prospectus)
All 4,939 holdingsFlow historyOverlap toolAll Mortgage & Securitized ETFs
Fund flows
through May 2026SEC filingsReported for all 3 share classes of this fund together, including its mutual fund classes.
- May 2026
- +$224M latest reported month
- Latest 3 months
- +$460M +2.7% of assets
- Latest 12 months
- +$559M +3.3% of assets
View as a table
| Month | Net flow |
|---|---|
| May 2026 | +$224M |
| Apr 2026 | +$191M |
| Mar 2026 | +$44M |
| Feb 2026 | +$129M |
| Jan 2026 | −$106M |
| Dec 2025 | +$488M |
| Nov 2025 | −$24M |
| Oct 2025 | −$980M |
| Sep 2025 | +$527M |
| Aug 2025 | −$45M |
| Jul 2025 | +$128M |
| Jun 2025 | −$19M |
Net creations and redemptions from the fund's SEC filings, which become public about 60 days after each quarter. Every month since 81 months ago
Similar funds
| Fund | Overlap | Fee | Assets | 1Y | |
|---|---|---|---|---|---|
| MBBiShares MBS ETF | — | 0.04% | $35.2B | −5.6% | compare |
| SPMBState Street SPDR Portfolio Mortgage Backed Bond ETF | — | 0.04% | $6.8B | −5.6% | compare |
| JMTGJPMorgan Mortgage-Backed Securities ETF | — | 0.24% | $6.7B | −5.4% | compare |
| SMBSSchwab Mortgage-Backed Securities ETF | — | 0.03% | $6.4B | −6.1% | compare |
| JMBSJanus Henderson Mortgage-Backed Securities ETF | — | 0.21% | $6.2B | −6.8% | compare |
The largest other funds in the Mortgage & Securitized category.
Under the hood
fiscal year to Aug 31, 2025SEC census- Authorized participants
- 8 active of 40 with agreements; top 3 did 92%
- Created · redeemed
- $2.7B · $6.1B over the fiscal year
- Redemptions in kind
- 0% creations 0% in kind
- Creation unit
- 25,000 shares
- Securities lending
- not authorized
- Return vs index
- +0.07 pts after fees; +0.12 before; daily s.d. 0.79
From the fund's annual census filing with the SEC. In-kind redemptions are what let an ETF shed appreciated securities without realising gains.
ETF Profile
holdings as of 2026-09-30
Holdings
4939
AUM
$17.6B
Provider
Vanguard
Inception
2009-11-19
Exchange
XNAS
Data As Of
2026-09-30
Expense Ratio
0.03%
Dividend Yield
4.38%
Distribution
Monthly
Recent distributions
| Ex-Date | Pay Date | Amount | Type |
|---|---|---|---|
| 2026-10-01 | 2026-10-05 | $0.1632 | CD |
| 2026-09-01 | 2026-09-03 | $0.1666 | CD |
| 2026-08-03 | 2026-08-05 | $0.1680 | CD |
| 2026-07-01 | 2026-07-06 | $0.1645 | CD |
| 2026-06-01 | 2026-06-03 | $0.1634 | CD |
| 2026-05-01 | 2026-05-05 | $0.1609 | CD |
Asset Allocation
Top Holdings
top 50 of 4939 holdings
| Symbol | Name | Weight % | Asset Class | Country |
|---|---|---|---|---|
| — | MKTLIQ | 3.86% | Cash/Money Market | — |
| — | Fannie Mae or Freddie Mac | 0.32% | MBS/ABS | US |
| — | Fannie Mae or Freddie Mac | 0.28% | MBS/ABS | US |
| — | Ginnie Mae II Pool | 0.28% | MBS/ABS | US |
| — | Ginnie Mae II Pool | 0.28% | MBS/ABS | US |
| — | Freddie Mac Pool | 0.27% | MBS/ABS | US |
| — | Ginnie Mae II Pool | 0.26% | MBS/ABS | US |
| — | Fannie Mae Pool | 0.26% | MBS/ABS | US |
| — | Ginnie Mae II Pool | 0.26% | MBS/ABS | US |
| — | Ginnie Mae | 0.26% | MBS/ABS | — |
| — | Ginnie Mae II Pool | 0.25% | MBS/ABS | US |
| — | Freddie Mac Pool | 0.24% | MBS/ABS | US |
| — | Freddie Mac Pool | 0.24% | MBS/ABS | US |
| — | Ginnie Mae II Pool | 0.23% | MBS/ABS | US |
| — | Ginnie Mae II Pool | 0.22% | MBS/ABS | US |
| — | Freddie Mac Pool | 0.22% | MBS/ABS | US |
| — | US Dollar | 0.22% | Cash/Money Market | — |
| — | Freddie Mac Pool | 0.21% | MBS/ABS | US |
| — | Ginnie Mae | 0.21% | MBS/ABS | — |
| — | Ginnie Mae II Pool | 0.21% | MBS/ABS | US |
| — | Ginnie Mae II Pool | 0.21% | MBS/ABS | US |
| — | Freddie Mac Pool | 0.20% | MBS/ABS | US |
| — | Fannie Mae Pool | 0.20% | MBS/ABS | US |
| — | Fannie Mae Pool | 0.20% | MBS/ABS | US |
| — | Ginnie Mae II Pool | 0.20% | MBS/ABS | US |
| — | Ginnie Mae II Pool | 0.19% | MBS/ABS | US |
| — | Ginnie Mae II Pool | 0.19% | MBS/ABS | US |
| — | Freddie Mac Pool | 0.18% | MBS/ABS | US |
| — | Fannie Mae or Freddie Mac | 0.18% | MBS/ABS | US |
| — | Freddie Mac Pool | 0.18% | MBS/ABS | US |
| — | Ginnie Mae II Pool | 0.18% | MBS/ABS | US |
| — | Fannie Mae Pool | 0.17% | MBS/ABS | US |
| — | Freddie Mac Pool | 0.17% | MBS/ABS | US |
| — | Ginnie Mae II Pool | 0.17% | MBS/ABS | US |
| — | Ginnie Mae II Pool | 0.17% | MBS/ABS | US |
| — | Ginnie Mae II Pool | 0.17% | MBS/ABS | US |
| — | Ginnie Mae II Pool | 0.17% | MBS/ABS | US |
| — | Fannie Mae Pool | 0.16% | MBS/ABS | US |
| — | Fannie Mae Pool | 0.16% | MBS/ABS | US |
| — | Ginnie Mae II Pool | 0.16% | MBS/ABS | US |
| — | Fannie Mae Pool | 0.16% | MBS/ABS | US |
| — | Fannie Mae Pool | 0.16% | MBS/ABS | US |
| — | Ginnie Mae II Pool | 0.16% | MBS/ABS | US |
| — | Fannie Mae or Freddie Mac | 0.16% | MBS/ABS | US |
| — | Ginnie Mae II Pool | 0.16% | MBS/ABS | US |
| — | Freddie Mac Pool | 0.16% | MBS/ABS | US |
| — | Ginnie Mae II Pool | 0.16% | MBS/ABS | US |
| — | Freddie Mac Pool | 0.16% | MBS/ABS | US |
| — | Freddie Mac Pool | 0.16% | MBS/ABS | US |
| — | Fannie Mae Pool | 0.15% | MBS/ABS | US |
Non-Equity Breakdown
VANGUARD MORTGAGE-BACKED SECURITIES INDEX FUND ·
NPORT-P period 2026-05-31
(filed 2026-07-29)
Net assets:
$17.05B
· 5123 total positions
· equity 0.00%
· non-equity 102.88%
Non-equity holdings
— 5123 positions,
102.88% of NAV
| Category | Weight | Value | Positions |
|---|---|---|---|
| Mortgage-backed (US Govt-Sponsored Entity) | 73.42% | $12.52B | 4179 |
| Mortgage-backed (US Govt Agency) | 24.37% | $4.16B | 943 |
| Short-term investment | 5.08% | $866.4M | 1 |
Chart
Seasonality
| Month | '21 | '22 | '23 | '24 | '25 | '26 | Avg |
|---|---|---|---|---|---|---|---|
| Jan | 0.06% | -1.05% | 2.68% | 0.20% | 0.71% | 0.47% | 0.51% |
| Feb | -0.65% | -1.04% | -3.46% | -2.05% | 2.29% | 1.76% | -0.53% |
| Mar | -0.69% | -2.98% | 2.71% | 0.48% | -0.22% | -1.03% | -0.29% |
| Apr | 0.54% | -3.06% | -0.06% | -2.17% | -0.04% | 0.17% | -0.77% |
| May | -0.36% | 1.57% | 0.22% | 1.51% | -0.61% | 0.26% | 0.43% |
| Jun | -0.15% | -1.01% | -0.41% | 0.60% | 1.94% | 0.19% | 0.19% |
| Jul | 0.54% | 2.41% | 0.13% | 3.27% | -0.26% | -1.11% | 0.83% |
| Aug | -0.22% | -3.47% | -0.20% | 0.95% | 0.67% | 0.24% | -0.34% |
| Sep | -0.32% | -4.57% | -2.58% | 0.60% | 1.27% | -3.08% | -1.45% |
| Oct | -0.41% | -2.08% | -1.23% | -2.99% | 0.43% | 1.08%* | -0.87% |
| Nov | -0.06% | 3.88% | 3.90% | 1.87% | 0.72% | -- | 2.06% |
| Dec | -0.23% | -1.81% | 2.70% | -1.82% | 0.17% | -- | -0.20% |
| Total | -1.94% | -12.75% | 4.20% | 0.25% | 7.26% | -1.13% | -0.68% |
Technical Indicators
Quick-reference for reading the values below. Indicators combine to confirm a view — no single one is a trade signal on its own.
Trend Indicators
- SMA 20 / 50 / 200 — price above = uptrend, below = downtrend. SMA 50 crossing SMA 200 is the golden/death cross.
- EMA 12 / 26 — faster-reacting averages; 12 above 26 is short-term bullish.
- MACD — bullish when MACD > signal (green badge), bearish when below. Divergence from price often precedes reversals.
- ADX (14) — trend strength regardless of direction. <20 range, 20–25 weak trend, 25–50 trend, >50 strong trend.
- +DI / −DI — +DI > −DI favors bulls; the reverse favors bears. Read alongside ADX.
Momentum Oscillators
- RSI (14) — <30 oversold, >70 overbought. 40–60 is neutral; trending names can stay extreme.
- Stochastic %K / %D — <20 oversold, >80 overbought. %K crossing %D is an early momentum signal.
- Williams %R — inverted scale: <−80 oversold, >−20 overbought.
Oscillators work best in range-bound markets; in strong trends they give premature reversal signals.
Volume & Volatility
- Bollinger Bands — price at upper band = overbought, lower = oversold. Narrow bands (squeeze) often precede expansion.
- OBV — cumulative volume; rising OBV confirms uptrend, falling OBV confirms downtrend. Divergence from price is a warning.
- Vol SMA 20 / Vol ROC — today's volume vs. 20-day average. Positive ROC with price move = conviction.
- ATR / True Range — average daily $ move; sizing and stop-loss reference.
- HV 20 / 30 / 60 — realized (historical) volatility. Compare to IV on the options cards: IV > HV = rich premium.
Confluence matters: trend + momentum + volume agreeing carries far more weight than any single indicator. For how these feed the spread scanner score, see the algorithm docs →
Trend Indicators
SMA 20: $44.57
SMA 50: $45.33
SMA 200: $46.48
Current: $44.86
EMA 12: $44.73
EMA 26: $44.85
MACD: -0.1167 | Signal: 0.1037
BEARISH
ADX (14): 27.63
TREND
+DI: 23.08
−DI: 26.37
Momentum Oscillators
RSI (14): 49.80
NEUTRAL
Stoch %K: 73.51
Stoch %D: 74.98
Williams %R: -24.83
Volume & Volatility
BB Upper: $45.04
BB Lower: $44.09
NEUTRAL
OBV: 71,065,230
Vol SMA 20: 2,959,510
Vol ROC: -18.36%
ATR: $0.26
True Range: $0.23
HV 20: 5.3%
HV 30: 6.2%
HV 60: 5.5%
Data Summary
Data Points: 500
Last Updated:
Date Range: 2024-10-23T00:00:00 – 2026-10-21T00:00:00
AI Analysis
VMBS Stock Analysis Report
Vanguard Mortgage-Backed Securities ETF
Executive Summary
Overall Assessment: NEUTRAL | Confidence: 7/10
VMBS is a defensive fixed-income ETF holding 4,939 mortgage-backed securities with exceptional cost efficiency (0.03% expense ratio vs 0.39% category median). The fund exhibits low systematic risk (beta 0.15) and very low volatility (5.0%), making it a capital preservation vehicle rather than a growth or income play in the current environment.
Key Drivers & Primary Risks:
- Positive: Ultra-low cost structure, strong inflows (+$559M YTD through May 2026), diversified holdings, trailing yield 4.38%
- Negative: Bearish technical momentum (MACD -0.27, -DI 29.76 vs +DI 23.27), options market pricing put pressure, recent rate environment uncertainty
Investment Thesis:
VMBS is a core fixed-income holding appropriate for risk-averse investors seeking mortgage exposure with minimal fees. Current technical weakness suggests near-term consolidation, but the fund's 12-month inflow strength (+3.3% of assets) and ultra-diversified structure provide structural support. Technical signals contradict the fund's fundamental appeal as a bond market vehicle.
Recent News Sentiment Impact:
All six recent headlines (spanning 2022–2024) are NEUTRAL, focused on macro interest rate trends and bond market conditions. The most recent article (April 2024) discusses mortgage affordability challenges amid elevated rates—a structural headwind for MBS valuations if rates remain elevated. No fund-specific catalysts or news events identified.
Technical Analysis
Trend Direction
| Timeframe | Direction | Confidence | |-----------|-----------|-----------| | Short-term (1-4 weeks) | BEARISH | Medium | | Medium-term (1-3 months) | NEUTRAL/BEARISH | Medium | | Long-term (3-12 months) | NEUTRAL | Medium |
Explanation:
- Price ($44.78) sits below all major moving averages (SMA20: $44.59, SMA50: $45.38, SMA200: $46.50), though the 20-day average is nearly touching support
- The -DI (29.76) significantly exceeds +DI (23.27), indicating downward pressure dominates current momentum
- ADX at 30.87 signals a strong trending environment, but the trend is downward
Support & Resistance Levels
| Level | Type | Significance | |-------|------|--------------| | $44.01 | Support (Bollinger Band Lower) | Immediate floor; break below signals acceleration | | $44.59 | Support (SMA 20) | Short-term average; near current price | | $45.38 | Resistance (SMA 50) | First meaningful resistance; 1.3% above current | | $46.50 | Strong Resistance (SMA 200) | 200-day average; psychological barrier |
Technical Pattern:
Price is in a gentle downtrend within a tightening Bollinger Band structure (width 2.60, below average volatility). The fund is consolidating within a narrow band between $44.01–$45.17, suggesting low conviction selling ahead of a potential breakout.
Momentum Signals
RSI (14): 47.44 — NEUTRAL
- Solidly in the neutral zone (30–70), neither overbought nor oversold
- Suggests no extreme positioning; room for directional moves in either direction
- Lack of extreme readings typical of bond ETFs with predictable volatility
MACD: -0.17 / Signal: 0.11 / Histogram: -0.27 — BEARISH DIVERGENCE
- MACD line (-0.17) is below the signal line (0.11), confirming bearish momentum
- Histogram value of -0.27 shows strengthening downward pressure (widening below zero)
- Critical signal conflict: MACD bearishness contradicts the bond ETF's defensive nature and positive fund flows
- Possible explanation: Technical selling ahead of interest rate clarity, or profit-taking after inflows
Stochastic Oscillators: %K 76.41, %D 76.80 — OVERBOUGHT (Paradoxical)
- Both readings in overbought territory (>70), suggesting potential pullback
- However, %K and %D moving in tandem at high levels indicates momentum confirmation rather than extreme divergence
- This overbought reading on a downtrending asset is unusual; may signal oversold rebound attempt or data lag
Williams %R: -31.04 — NEUTRAL TO SLIGHTLY BEARISH
- Reading between -50 and 0 suggests neutral positioning; not extreme in either direction
Volume Analysis
Volume Rate of Change: -36.52% — SIGNIFICANT BEARISH SIGNAL
- Current volume is 36.5% below the 20-day average (3.05M vs current period)
- Low volume on downtrend is concerning; suggests conviction selling may be waning, but also indicates lack of institutional support
- OBV at 68.1M is neutral to positive cumulative volume, but recent volume drought suggests institutional interest is retreating
Interpretation:
The sharp decline in volume suggests retail/passive rebalancing rather than institutional accumulation. The positive fund flows (+$224M in latest month) indicate money flowing into the ETF through purchases, but trading activity is quiet—typical of bond ETF behavior during low-volatility environments.
News & Sentiment Analysis
Recent Headlines Summary
All six headlines span April 2024 to June 2022, with the most recent article from April 11, 2024:
- "Will Mortgage Rates Pop Again?" (Benzinga, 4/11/2024) — Discusses affordability crisis; implies concern about sustained elevated rates
- "Interest Rates Rode Elevator Up, But Take Stairs Coming Down" (Benzinga, 3/26/2024) — Suggests analyst expects gradual rate declines (supportive for MBS)
- "Is Bond Market Set to Roar in 2024?" (Seeking Alpha, 12/27/2023) — Optimistic framing for bond returns
- Older headlines (2023, 2022) — Fund review and "Safe Havens Shunned" suggest past headwinds
Sentiment Assessment
Aggregate Sentiment: NEUTRAL (all 6 articles marked NEUTRAL)
- No fund-specific news identified; all articles discuss macro bond market themes
- Rate environment narrative: Mixed signals—affordability pressures vs. potential for rate declines
- Macro tailwind noted: Analyst prediction of gradual rate declines (stairs down, not elevator) would support MBS valuations
Catalyst Identification
Near-term (1-4 weeks):
- No scheduled catalysts for VMBS itself (passive fund, no earnings)
- Macro catalyst: Federal Reserve communications on rates (FOMC statements, Powell speeches)
- Market catalyst: Mortgage application data, housing starts (next weekly/monthly releases)
Medium-term (1-3 months):
- Interest rate trajectory: Direction and speed of Fed policy shifts most critical for MBS valuations
- Mortgage origination volume: Affordability crisis may cap demand, affecting secondary market liquidity
- Prepayment risk: If rates decline significantly, borrowers refinance, shortening fund duration
Broader Context:
The April 2024 headline about affordability crises aligns with the timing of VMBS's downtrend. Higher rates pressuring homebuyers suggests sustained elevated rate environment, which suppresses MBS valuations relative to their coupon rates (negative for price appreciation).
Market Narrative vs. Technical Signals
CONFLICT IDENTIFIED:
| Signal | Direction | Implication | |--------|-----------|-------------| | Technical (MACD, -DI, SMA breakdown) | BEARISH | Selling pressure, momentum weakness | | Fund Flows (+$559M YTD) | BULLISH | Institutional/retail accumulation | | News Sentiment (all neutral, some rate-decline optimism) | NEUTRAL/SLIGHTLY BULLISH | Macro backdrop not deteriorating | | Valuation (4.38% trailing yield) | NEUTRAL | Yield competitive if rates stabilize |
**Explanation
Generated
News
All VMBS news →
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Showing 1–10 of 15
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VMBS Options Activity & IV Rank
VMBS IV rank history, 52-week IV rank and IV percentile →
Volatility Metrics
Current IV: 7.6%
7-DTE IV: —
Expected Move: $1.12
7-DTE Move: $1.12
Days to Exp: 30 (2026-11-20)
Options Flow
Call Volume: 2
Put Volume: 14
P/C Volume: 7.0
BEARISH
Call OI: 0
Put OI: 21
P/C OI: —
Total OI: 21
ATM Options Pricing
ATM Call: $0.65
ATM Put: $0.47
Call %: 1.4%
Put %: 1.1%
Chain Summary
Chain Volume: 57
Chain OI: 61
Last Updated: 10/21/2026
Spread Scanner GPU
Each spread is ranked by a composite score built in three stages. Full documentation →
Stage 1 — Base Score (GPU scanner)
score = P(profit) × (credit / spread_width)
P(profit) from short leg delta (1 − |delta|), penalised above 85%. Credit uses mid-price to handle illiquid chains fairly.
Stage 2 — Skew Adjustment (±25% cap)
RR and BF (30-delta) from the persisted per-symbol skew snapshot — wing strikes picked by real greeks.delta, not a moneyness proxy. Put skew boosts bull puts, penalises bear calls. High butterfly boosts iron condors. Calendars are skew-neutral.
Stage 3 — Technical Overlay (±50% cap, 5 groups)
Group 1 · Directional Bias (±0.25)
- RSI <40 bullish / >60 bearish
- MACD crossover + histogram trend
- Price vs SMA 50 & SMA 200
Group 2 · Momentum (±0.10)
- Stochastic %K <20 / >80
- Williams %R <−80 / >−20
Group 3 · Volatility (up to −0.25 / +0.15)
- Blended ATR + straddle expected-move penalty
- Bollinger Band signal (+ counter-trend penalty)
- BB width — vol contraction boost for ICs
Group 4 · IV Regime (±0.15)
- IV rank ≥ 75 → strong boost for credit spreads
- IV rank < 25 → penalty (selling cheap vol)
Group 5 · Liquidity (penalty up to −0.10)
- Min open interest across all legs
- OI < 100 → −0.10 · OI < 500 → −0.05
score = base_score × skew_multiplier × tech_multiplier
Both multipliers are shown per spread. Beta is informational only — ATR already captures realized vol. Full algorithm documentation →
Enter a ticker to scan for optimal spread opportunities.
Evaluates all bull put, bear call, iron condor, and calendar spread combinations using GPU-accelerated analysis.
Dealer Positioning
LOW γ vs HISTORY
Estimated net dealer gamma is at the 2nd percentile of this name's own daily history, near the low end of its range. This describes current positioning; it is not a forecast or a trading signal.
Gamma percentile
2%
vs own history
GEX tilt
+0.35
OI-weighted, today
Vanna tilt
+1.00
δ-sensitivity to IV
Charm tilt
-1.00
δ-decay vs time
Vanna tilt +1.00: the estimated dealer exposure leans positive, so the modeled hedge would shift noticeably if implied volatility changed.
Charm tilt -1.00: the estimated dealer exposure leans negative, so the modeled hedge would shift noticeably as time passes and options approach expiry.
? What is this?
· 3 ATM contracts, 0k total OI
Net dealer gamma is an estimate of the aggregate gamma held by options market makers across this name's option chain, weighted by open interest. Dealer positions aren't public, so it uses a standard simplifying assumption: dealers are treated as long the calls and short the puts that are open. Actual dealer books can differ.
Gamma percentile ranks today's estimate against this name's own daily history, from 0% (the lowest reading on record) to 100% (the highest). Raw gamma scales with how much open interest a chain carries, so it isn't comparable across names; the percentile is. The badge marks the bottom 20% as low and the top 20% as high.
Tilts run from −1 to +1 and show how lopsided the estimated dealer exposure is. GEX tilt compares call gamma with put gamma. Vanna tilt describes how the hedge would shift if implied volatility changed, and charm tilt how it would shift with the passage of time.
This card describes estimated positioning and where it sits historically. It is not a forecast of price direction or volatility and not a trading signal. Market-wide view: Dealer positioning screener.
Skew (Wing IV − ATM IV)
DTE:
Wing Δ:
Wing vs ATM
IV(put wing) − IV(ATM), in vol pointsHow much the OTM put trades above (or below) the at-the-money strike. Measures the height of the put-side tail relative to ATM — i.e. how expensive crash insurance is on this name.
- Positive (typical) — wing IV > ATM IV. Standard equity put skew: portfolios bid up crash protection, so OTM puts trade richer than ATM.
- Near zero or negative (unusual) — wing IV ≤ ATM IV. Flat or inverted put side. Common when there's no fear demand, in tightly mean-reverting names, or right after an earnings catalyst clears.
- Percentile vs own 3-yr history: high = wings rich (good time to sell wing premium); low = wings cheap (good time to buy protection).
- Not directional — high or low wings don't predict up or down moves. It's a price tag on tail insurance, not a forecast.
Risk Reversal
IV(call wing) − IV(put wing), equal delta on each sideWhich side of the smile is the market paying up for? Measures the tilt of the surface — call skew vs put skew at matched deltas.
- Negative (typical) — puts richer than calls. Standard equity behavior: hedging demand makes puts carry a premium. Most large-caps sit in the −1 to −5 vol-point range.
- Strongly negative (< −5 pts) — heavy downside hedging, elevated fear, or an upcoming catalyst (earnings, FDA, macro event). Worth flagging.
- Positive — calls richer than puts. Unusual for equities; signals bullish momentum, short-squeeze positioning, or takeover/M&A speculation.
- Near zero — symmetric surface. Market sees roughly equal up/down risk. Rare for large-caps; more common in commodities and FX.
Reading them together
Wing-vs-ATM tells you how expensive the tails are. Risk Reversal tells you which side is favored. Combined:
- High wing percentile + deeply negative RR → strong put bid; stress or major event priced in. Owning protection costs a premium; selling put premium is dangerous.
- Low wing percentile + near-zero RR → complacency; insurance cheap and balanced. Good environment to add cheap downside hedges.
- Positive RR + elevated wings → call-side fear-of-missing-out; common in squeeze setups. Upside calls expensive, downside puts not bid.
14 DTE / 10d
—
—
pts
EXTREME
as of Oct 21 · No data
30 DTE / 10d
—
—
pts
EXTREME
as of Oct 21 · ATM 7.5% / Wing —
Extreme reading.
Historically these have been contrarian — on the small set of observed earnings-day cases, large negative wing-vs-ATM gaps (calls pricing much richer than puts at the same delta) preceded sharp drops in the underlying within 1-12 days. Not financial advice and the dataset is small.
Percentile is the rank of today's reading within ~3 years of this symbol's own history. High percentile = wings are rich relative to history; not a directional signal. Skew is read off the chain in real time, not from CBOE SKEW.
Volatility Surface
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Volatility Smile
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IV Rank (7 DTE)
IV Rank (30 DTE)22.6LowOct 21
Straddle Price (30 DTE)$1.12Oct 21
Beta Analysis
Risk Metrics
Beta: 0.1491
Alpha: -7.71%
Correlation: 0.3943
R-Squared: 15.5%
Stock Volatility: 4.8%
Market Volatility: 12.7%
Analysis Details
Benchmark: SPY
Data Points: 251
Period: 252 trading days
Data Points: 251
Period: 252 trading days
Interpretation:
Low volatility - stock moves less than market
Low volatility - stock moves less than market
Beta & Alpha Over Time
VMBS Institutional Ownership (13F)
Latest filings — 2026-09-30Institutional managers with $100M+ AUM file Form 13F-HR quarterly, due 45 days after quarter end. Holdings are reported gross at quarter-end market value — they are a snapshot, not a real-time position.
- Shares — long equity positions in this name, aggregated across share classes.
- Calls / Puts — notional value of long call / put exposure where this ticker is the underlying.
- % of Float — holder's reported shares divided by the latest diluted shares outstanding. Sums above 100% indicate large custodian / prime broker positions where the same shares are reported by multiple filers.
- Custodian badge — filers with more than 5,000 holdings are typically broker-dealers / custodians reporting customer-held shares, not active managers.
Each filer is counted once at its latest 13F-HR filing. New filings are ingested on a weekly cadence.
| # | Filer | Notional Value | % of Total | Period |
|---|
| # | Filer | Notional Value | % of Total | Period |
|---|
Short Interest & Float
Regulatory short-interest reports publish on a bi-weekly settlement cadence; short-volume is reported daily by the trade-reporting facilities. Float is derived from insider-ownership filings.
Metric definitions
- Short Interest — total shares currently sold short as of the settlement date. Lags real time by ~8 business days.
- SI % of Float — short interest / free float. The key crowding metric.
- Days to Cover — short interest / avg daily volume. How many full trading days it would take shorts to buy back. High DTC + catalyst = squeeze fuel.
- Short Vol Ratio — today's short-sale volume / total volume. Intraday selling pressure proxy (not the same as short interest).
- Free Float — shares available for public trading (total shares minus insider / restricted).
- Float % — free float / shares outstanding. <50% = tightly held, more prone to squeezes.
How to read the signals
- SI % of Float < 5% — typical, no particular signal.
- 5–15% — elevated; watch for catalysts (earnings, guidance, macro).
- 15–30% — heavily shorted; tight-float names in this range have produced notable squeezes historically.
- >30% — extreme; borrow is likely expensive and squeeze risk is material.
- Days to Cover > 5 combined with high SI% amplifies squeeze potential.
History chart
- Trend matters more than level. Rapidly rising short interest often precedes negative catalysts or heavy hedging.
- A sudden drop in SI after a rally may indicate a squeeze in progress.
Short interest is reported mid-month and end-of-month; short volume is daily.
Short Interest
3.51M
SI % of Float
1.01%
Days to Cover
1.24
Short Vol Ratio
59.9%
Free Float
—
Float %
—
Short interest 2026-09-30 • Short volume 2026-10-21
Constituent Performance
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Constituents
| Symbol | Name | Weight % | Price | 1 Day | 1 Week | 1 Month |
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