KBEState Street SPDR S&P Bank ETF
KBE Options Overview
IV is low with bearish flow. Conditions favor option buyers.
REWARDS
RISK ANALYSIS
KBE Gamma Walls
Value
Is IV priced right?
Measures whether options are cheap, fair, or rich relative to historical and peer
IV Rank 25.7% — cheap vs history
IV/HV 1.51x — IV premium over HV
Sector percentile 42% — below sector median
Front/Back 0.88x — contango
Put/Call IV 1.16x — elevated
ATM IV 23.0% — normal range
Effective IV 64.6% (ATM 23.0% + spread 20.8% + bias) — good value
Total drag 31.61% (spread 20.78% + slippage 10.83%) — high friction
Vega efficiency 6.61 (vega 13.728 / spread 20.78%) — acceptable
Sentiment
Bullish or bearish?
Analyzes
Conviction-weighted: -53% (strong bearish) — Raw: -54%
|OI skew| 73.5% — put-heavy
Vol skew -51.5%, OI skew -73.5% — aligned
0-DTE 0%, far-OTM 15%, avg DTE 30
OI change +0.0% (5d) — stable
ITM: +0%, ATM: +100%, OTM: -91% — strong bullish (ITM/ATM divergent)
Sector P/C percentile 93% — very bearish vs sector
Activity
Unusual activity?
Detects volume surges,
Volume 0.5x avg — normal
Vol/OI 0.1% — normal turnover
1 day(s) elevated — may be one-day event
OI change +0.3% (5d) — stable
Sector activity percentile 2% — quiet vs sector
Large trade volume 0% — mostly retail
Aggressive execution 21% — patient
Conviction -53 (bearish) — strong conviction
Liquidity
Can I trade efficiently?
Evaluates
Spread 20.8% — wide
OI 155,170 — deep
Volume 136/day — thin
$1.04 to cross — expensive
0 liquid strikes — limited options
Sector spread percentile 57% — neutral vs sector
Depth 142.6 contracts (bid:92.2 ask:50.4) — adequate
Avg slippage 10.83% — poor
Timing
Is now a good time?
Considers earnings proximity,
Slope -12.4% — contango
IV percentile 26% — buyer opportunity
IV kink 0.0pts — no clear event
θ/ν ratio 868.85 — favors income trades
2 liquid expirations — limited
caution advised: No earnings detected; FOMC in 5d; CPI in 0d (HIGH)
Spread ratio 1.00x — stable
Flow -53% @ 76% consistency — STRONG directional (bearish)
Score 30 (ITM 20% + inst 0%) — retail dominated
Directional Strategy Fit
For educational purposes only. Not investment advice.
The Options Desk tracks the move options price into every US earnings report the week of Sep 7, next to how much each stock has actually moved on its past prints — plus the SPY, QQQ and IWM expected ranges and the gamma walls that box them in.