After my last executions, the guy in Vivec says he hasn't got any more writs or special duties for me. I think I may have returned all the sanguine items. Where do I go from here? Shouldn't he have at least directed me to someone else?

Go to other Morag Tong hideouts. And what rank are you at?

No need, you can gain all the morag tong quest in vivec alone. just talk about advancement and look out for your stats to make sure you qualify for it.

If you're at the right rank he will let you be the guildmaster. Are you sure you've returned all the sanguine items? I'm pretty sure you get a special prize for that, so if you haven't got that you haven't returned them all. Check your advancement because you may not be a high enough level to be the guildmaster yet.