Trading a VFMF straddle lets you take a pure volatility position on Vanguard U.S. Multifactor ETF without committing to a direction. Vanguard U.S. Multifactor ETF's straddle involves buying (or selling) a call and a put at the same strike and expiration, profiting when the stock moves more (or less) than the combined premium implies. Use our scanner to evaluate VFMF straddle pricing in real time and find the moments when expected moves are mispriced.
A long straddle on VFMF profits from large moves in either direction and is a classic play into binary events like earnings, product announcements, or macro releases. A short straddle profits when Vanguard U.S. Multifactor ETF stays range-bound and implied volatility contracts. The breakeven points are simple: strike plus total premium on the upside, strike minus total premium on the downside. Comparing the VFMF straddle price to historical realized moves helps you judge whether the market is overpaying or underpaying for volatility.
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.
Earnings, product cycles, macro prints — any time volatility itself is the trade, the VFMF straddle is the cleanest expression of that view. Our scanner prices every VFMF straddle against historical realized moves, flags expirations where the market is overpaying or underpaying for vol, and ranks setups by breakeven width and IV rank. Whether you're long a VFMF straddle into a catalyst or short a VFMF straddle to harvest decay, the options straddle setups that matter are all in one place.
