Vanguard U.S. Multifactor ETF (VFMF) Expected Move

Tracking the VFMF expected move helps you see how far Vanguard U.S. Multifactor ETF's options market is pricing the stock to travel over a given period — whether that's the next day, week, or earnings cycle. Vanguard U.S. Multifactor ETF's expected move is derived directly from option premiums and gives you an objective range to plan trades, set strikes, and manage risk. Use our scanner to monitor the VFMF expected move for this week's options, in real time.

The expected move is typically calculated from at-the-money straddle prices (or a blend of straddles and strangles) and represents roughly a one-standard-deviation range over the chosen timeframe. For VFMF, comparing the implied expected move to actual realized moves over similar windows tells you whether the options market has historically overestimated or underestimated volatility. The VFMF expected move for this week's options pricing is especially useful for short-dated traders, earnings players, and anyone selling premium who needs to know where the market thinks Vanguard U.S. Multifactor ETF is unlikely to go.

Advisor uses a rules-based quantitative model to evaluate U.S. common stocks and construct a U.S. equity portfolio that seeks to achieve exposure to multiple factors.After applying an initial screen to remove the most volatile stocks in the universe, stocks are then selected according to their equally weighted ranking across three targeted factors; momentum- stocks that exhibit strong recent performance, quality- stocks that exhibit strong fundamentals, and value- stocks with low prices relative to fundamentals.Portfolio includes a diverse mix of stocks representing many different market capitalizations (large, mid, and small), market sectors, and industry groups, and holds hundreds of names to diversify idiosyncratic stock risk.Portfolio is rebalanced as needed to maintain consistent exposure to the targeted factors.Seeks long-term capital appreciation.Typically, at least 80% of the fund’s assets will be invested in securities issued by U.S.

companies.Note: The Value factor is measured by book value/price, forward earnings/price, operating cash flows/price (for non-financials only). The Momentum factor is measured by total returns from month T-12 to month T-1, total returns from month T-7 to month T-1, and the intercept from a 1-year regression of stock returns on their regional benchmark. For financials, the Quality factor is measured by return on equity and share issuance. For non-financials the Quality factor is measured by return on equity, gross profitability, change in net operating assets, and leverage. The volatility screen removes the 20% most volatile names within each market cap grouping and equally across sectors.

Iron condors, weekly premium sales, directional swing trades — they all live or die by where the market thinks the stock won't go. Our scanner tracks the VFMF expected move across every expiration, benchmarks it against realized moves, and shows you when implied ranges are out of line with history. The Vanguard U.S. Multifactor ETF expected move for this week's options is the fastest read on short-term risk, which gives you a quick way to interpret what the options market thinks about VFMF.