Primary read
Volatility
Volatility expansion watch
Ticker Options Intelligence
NVAX options intelligence
Novavax Inc options pressure, expected move, strike concentration, and Sharemaestro trend context.
Conviction
52
Market data through 18 Sep 2026
Checked 20 Sep 2026 08:30 · complete available chain
Volatility expansion watch
Volatility pressure
NVAX currently carries volatility options pressure with a 52/100 conviction score. The nearest-chain expected move is 7.4%, with volume/open-interest participation at 0.02.
Expected move
7.4%
Wider near-term move priced
Activity / OI
0.02
Current volume is quieter versus prior open interest
Put-call
0.13
Call-side skew
Trend fit
0
Options are not fully confirming trend
Weekly backdrop
+7.3%
RS 6.6
Expected move
7.4%
Put-call volume
0.13
Volume / OI
0.02
Reference IV
0.84
Max pain
9.50
Underlying
10.11
Nearest expiry
25 Sep 2026
Contracts
502
Research Brief
NVAX has a volatility chain read with 52/100 evidence alignment.
The practical question is whether the underlying confirms the options concentration. The chain prices a reference range of 9.37–10.85; The largest call open-interest concentration is 10.50; the largest put concentration is 9.00. The most active strike by current volume is 10.00.
Priced range9.37–10.85
Call concentration10.50
Put concentration9.00
Max pain reference9.50
- A clear directional pressure reading develops and price begins to agree.
- Volatility falls and the chain remains directionally mixed.
- Options and the weekly trend are not yet giving the same message.
Priced Move
Where the chain says movement becomes exceptional
Options imply 9.37 to 10.85. Max pain at 9.50 sits inside that range, 6.0% below spot.
Spot
Max pain
9.3710.11 ± 0.7410.85
Confirmation level
A close beyond 10.85 or below 9.37 at the 25 Sep expiry would exceed the move currently priced by this chain.
Important limitation
The range is a pricing reference, not a forecast; volatility can reprice sharply after news or as expiry approaches.
Score Construction
Why conviction is 52/100
Pressure is 82/100 toward calls; conviction uses its strength, while the signal label carries its direction.
Directional pressure82 × 42%
+34.5
How strongly activity leans toward calls or puts.
Participation40 × 22%
+8.9
Volume relative to existing open interest and contract-level activity.
Trend agreement0 × 26%
+0.0
How closely the chain read agrees with the underlying trend backdrop.
Volatility85 × 10%
+8.5
The intensity of implied volatility and the priced move.
Positioning by Strike
Where open interest and current activity concentrate
The largest call open-interest concentration is 10.50; the largest put concentration is 9.00. The most active strike by current volume is 10.00. Open-interest concentrations show where positions exist; they are not proven support, resistance or dealer exposure.
Put open interestStrikeCall open interest
0
3.50-65.4%
13
38
7.50-25.8%
2
255
8.00-20.9%
9
72
8.50-15.9%
28
854
9.00-11.0%
235
270
9.50-6.0%
76
151
10.00-1.1%
340
29
10.503.9%
1988
1
11.008.8%
1439
1
11.5013.7%
68
2
12.0018.7%
430
2
12.5023.6%
25
2
13.0028.6%
509
5
14.0038.5%
106
1
15.0048.4%
62
1
17.0068.2%
60
0
18.0078.0%
92
Nearest spot strike Max pain strikeBars show relative OI within this expiry
Gamma Profile by Strike
Positive gamma proxy
Call-side gamma sensitivity outweighs the put-side proxy across the retained chain. The largest bars mark levels where delta-hedging sensitivity may be most concentrated.
Net profile+$584,090Delta change / 1% move
Positive peak11.00+$118,656
Negative peak7.50-$36,551
Nearest balance9.68Interpolated sign change
StrikeNegativePositiveNet / 1% move
5.00-50.5%
-$8,927
5.50-45.6%
-$1
6.00-40.7%
+$394
6.50-35.7%
-$3
7.00-30.8%
-$17,431
7.50-25.8%
-$36,551
8.00-20.9%
+$2,821
8.50-15.9%
-$11
9.00-11.0%
+$13,846
9.50-6.0%
-$8,497
10.00-1.1%
+$15,262
10.503.9%
+$83,208
11.008.8%
+$118,656
11.5013.7%
+$1,549
12.0018.7%
+$109,564
12.5023.6%
+$47,230
13.0028.6%
+$36,859
13.5033.5%
+$4
14.0038.5%
+$24,613
15.0048.4%
+$92,408
16.0058.3%
+$2,047
Positive call-side proxy Negative put-side proxyHighlighted row is nearest spot strike
Scenario proxy = gamma × open interest × 100 shares × spot² × 1%. Calls are positive and puts negative by convention. Missing Greeks use a Black-Scholes estimate from stored IV with zero rate and dividend assumptions. Open interest does not reveal who is long or short, so this is not observed dealer positioning or a forecast.
Volatility Curve
Balanced volatility curve
Near- and longer-dated implied volatility are broadly aligned; no exceptional front-expiry premium is visible.
0.84
25 Sep
7d
0.96
2 Oct
14d
0.70
9 Oct
21d
0.74
16 Oct
28d
0.65
23 Oct
35d
0.82
30 Oct
42d
0.70
20 Nov
63d
0.72
15 Jan
119d
Volatility by Strike
Upside optionality premium
Out-of-the-money calls carry higher implied volatility than comparable puts, indicating richer upside optionality.
9
9
10
10
11
11
12
12
Put IV Call IV
Historical Replay
How matured reads behaved through expiry
Across 8 stored directional transitions, the next stored price moved in the labelled direction 100% of the time.
Directional follow-through100%
Moves contained by pricing68%
Average expiry move6.7%
16 Sep
Bullish · 40
7.3% through expiry
4.6% priced · v2.0
14 Sep
Bullish · 44
7.3% through expiry
6.8% priced · v2.0
10 Sep
Volatility · 47
-7.8% through expiry
9.5% priced · v2.0
8 Sep
Volatility · 47
-7.8% through expiry
8.1% priced · v2.0
3 Sep
Volatility · 47
10.4% through expiry
10.8% priced · v2.0
1 Sep
Volatility · 56
10.4% through expiry
9.8% priced · v2.0
24 Aug
Bullish · 41
3.6% through expiry
8.1% priced · v2.0
17 Aug
Bullish · 42
11.1% through expiry
5.3% priced · v2.0
14 Aug
Bullish · 49
11.1% through expiry
6.4% priced · v2.0
13 Aug
Mixed · 36
1.3% through expiry
2.8% priced · v2.0
12 Aug
Bullish · 39
1.3% through expiry
4.5% priced · v2.0
11 Aug
Bullish · 44
1.3% through expiry
5.2% priced · v2.0
Eligible snapshots must have a dated market session, stored signal, and point-in-time market reference. Each observation uses one read per market session and the first stored weekly close on or immediately after expiry; its original calculation version is retained. It is an evidence audit, not an executable strategy or evidence of future performance.
Evidence Quality
Usable with limits
Retained chain100%
Implied volatility100%
Two-sided quotes100%
Open interest100%
- Chain status
- Complete available chain
- Market date
- 18 Sep 2026
- Calculation
- v2.0
- Contracts
- 502 / 502
- No material coverage gap was detected in the retained chain.
Aggregate chain data supports concentration, participation and pricing analysis. It does not identify trade aggressor, opening versus closing activity, multi-leg intent or dealer inventory.
Options Intent Radar
Volatility expansion bet
The strongest message is movement risk: expected move and implied volatility are carrying more signal than direction.
Options are pricing movement more than direction; compare expected move with the stock's actual weekly change.
Volatility expansion bet matters because it connects the options headline to the actual evidence: $347,365 of estimated gross traded notional, calls · 91+ days · atm, and a volatility flow versus price backdrop. Use it as a research priority signal, then validate the chart, liquidity, event calendar, and risk before acting.
Options pressure+82
1W price+7.3%
Call premium96%
Put premium4%
Notional split
C 96% / P 4%
Estimated gross traded notional uses volume × contract multiplier × midpoint, or last price when no valid midpoint is available.
Freshness
0.02
Volume divided by open interest across the visible chain.
Trend fit
0/100
Agreement between options pressure and Sharemaestro market context.
Aggregate chain data does not identify trade aggressor or opening versus closing activity; call/put concentration is not proof of market direction.
Calls · 91+ days · ATM
calls cluster with 570 contracts traded, $116,310 estimated gross traded notional, and 33% of visible notional.
$116,310
Calls · 22-45 days · ITM
calls cluster with 261 contracts traded, $68,674 estimated gross traded notional, and 20% of visible notional.
$68,674
Calls · 0-7 days · ITM
calls cluster with 196 contracts traded, $27,469 estimated gross traded notional, and 8% of visible notional.
$27,469
Calls · 22-45 days · ATM
calls cluster with 270 contracts traded, $23,576 estimated gross traded notional, and 7% of visible notional.
$23,576
Calls · 91+ days · OTM
calls cluster with 208 contracts traded, $23,215 estimated gross traded notional, and 7% of visible notional.
$23,215
Setup Classification
Opportunity and risk frame
The tape is pricing or displaying unusually elevated activity.
Expected move or upcoming earnings makes the setup more event-sensitive.
Options positioning is not confirming the underlying trend context.
Activity Anomaly
Normal range
Activity is broadly in line with recent stored snapshots.
Baseline: 21 completed sessions
Volume rank24th
Volume/OI rank19th
IV rank33th
Market Context
Underlying confirmation
Close10.11
1W+7.3%
RS6.6
Fair value+21.1%
Options pressure82
Speculation40
Volatility85
Trend fit0
Today Versus Normal
Stored-options context
30d avg - · 7/10 sessions
-
90d avg - · 21/30 sessions
-
180d avg - · 21/60 sessions
-
30d avg - · 7/10 sessions
-
90d avg - · 21/30 sessions
-
180d avg - · 21/60 sessions
-
30d avg - · 7/10 sessions
-
90d avg - · 21/30 sessions
-
180d avg - · 21/60 sessions
-
30d avg - · 7/10 sessions
-
90d avg - · 21/30 sessions
-
180d avg - · 21/60 sessions
-
Pressure Trail
Recent pressure and volatility
29 Jul 11:03
Bullish
Pressure 52
Move 7.2%
30 Jul 10:51
Volatility
Pressure 60
Move 8.0%
31 Jul 10:34
Volatility
Pressure 83
Move 5.4%
2 Aug 06:15
Volatility
Pressure 90
Move 13.9%
3 Aug 14:53
Volatility
Pressure 78
Move 11.1%
5 Aug 10:21
Volatility
Pressure 88
Move 14.8%
6 Aug 10:35
Volatility
Pressure 69
Move 12.6%
7 Aug 12:04
Volatility
Pressure 82
Move 5.2%
Strike Map
Where activity is clustering
Strike3.00
Calls · V 2 · OI 7
Puts · V 0 · OI 0
Strike3.50
Calls · V 0 · OI 13
Puts · V 0 · OI 0
Strike4.00
Calls · V 4 · OI 0
Puts · V 0 · OI 0
Strike4.50
Calls · V 0 · OI 0
Puts · V 0 · OI 0
Strike5.00
Calls · V 2 · OI 1
Puts · V 0 · OI 0
Strike5.50
Calls · V 0 · OI 0
Puts · V 0 · OI 0
Strike6.00
Calls · V 4 · OI 1
Puts · V 0 · OI 0
Strike6.50
Calls · V 0 · OI 0
Puts · V 0 · OI 0
Term Structure
Expiration activity
Expiry25 Sep 2026
Contracts64
Avg IV0.84
Put-call0.22
Expiry2 Oct 2026
Contracts64
Avg IV0.96
Put-call0.23
Expiry9 Oct 2026
Contracts52
Avg IV0.70
Put-call0.26
Expiry16 Oct 2026
Contracts40
Avg IV0.74
Put-call0.04
Expiry23 Oct 2026
Contracts58
Avg IV0.65
Put-call0.29
Skew
Call/put IV balance
25 Sep 2026Call IV premium
Call IV0.68
Put IV0.61
Skew-0.07
2 Oct 2026Balanced skew
Call IV0.64
Put IV0.64
Skew-
9 Oct 2026Put IV premium
Call IV0.68
Put IV0.76
Skew0.08
16 Oct 2026Call IV premium
Call IV0.72
Put IV0.66
Skew-0.06
23 Oct 2026Put IV premium
Call IV0.84
Put IV1.19
Skew0.34
Contract Tape
Most active contracts
ContractNVAX260925C00010500
SideCall
Expiry25 Sep 2026
Strike10.50
Volume567
OI1988
IV0.65
ContractNVAX260925C00010000
SideCall
Expiry25 Sep 2026
Strike10.00
Volume515
OI340
IV0.59
ContractNVAX270115C00010000
SideCall
Expiry15 Jan 2027
Strike10.00
Volume303
OI15523
IV0.73
ContractNVAX270416C00010000
SideCall
Expiry16 Apr 2027
Strike10.00
Volume266
OI1249
IV0.74
ContractNVAX261016C00010000
SideCall
Expiry16 Oct 2026
Strike10.00
Volume197
OI4053
IV0.63
ContractNVAX260925P00010000
SidePut
Expiry25 Sep 2026
Strike10.00
Volume157
OI151
IV0.08
ContractNVAX260925C00009000
SideCall
Expiry25 Sep 2026
Strike9.00
Volume155
OI235
IV0.01
ContractNVAX261016C00009000
SideCall
Expiry16 Oct 2026
Strike9.00
Volume128
OI2373
IV0.77
Research Graph
Related research and context
Sharemaestro research
Related News
No recent ticker-specific news yet.
Market Watch
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Earnings
Plain English Guide
Options context
What usually looks constructive
What usually looks cautious
Options can move quickly and can lose value fast. Treat this as research context, not a buy or sell instruction.