Mixed signals. No clear edge detected.
Fragility reads low; protection is priced cheap. Neither axis is a forecast — this is where XLE sits on protection cost vs. fragility today.
Protection is priced in the cheap band (3.49) — near-dated vol is priced 4% below far-dated, and implied vol sits in the 15th percentile of its own past year, measured against this name's own rolling 19-trading-day realized moves (485 overlapping windows). Fragility reads resilient (3.18): it is trading 7% above its hedge wall on a wall graded HIGH for reliability, and its realized-vol regime is stable.
Is IV priced right?
Measures whether options are cheap, fair, or rich relative to historical and peer
IV Rank 30.2% — cheap vs history
IV/HV 0.98x — IV ≤ HV
Sector percentile 49% — below sector median
Front/Back 0.96x — contango
Put/Call IV 1.16x — elevated
ATM IV 24.6% — normal range
Effective IV 33.3% (ATM 24.6% + spread 4.3% + bias) — excellent value
Total drag 7.09% (spread 4.35% + slippage 2.74%) — high friction
Vega efficiency 7.49 (vega 3.257 / spread 4.35%) — efficient
Bullish or bearish?
Analyzes
Conviction-weighted: -24% (bearish) — Raw: -24%
|OI skew| 20.5% — put-heavy
Vol skew -3.1%, OI skew -20.5% — weak (same direction)
0-DTE 6%, far-OTM 15%, avg DTE 30
OI change +0.0% (5d) — stable
ITM: -10%, ATM: -36%, OTM: -20% — bearish (ITM/ATM aligned)
Sector P/C percentile 88% — very bearish vs sector
Unusual activity?
Detects volume surges,
Volume 0.7x avg — normal
Vol/OI 2.1% — normal turnover
1 day(s) elevated — may be one-day event
OI change +5.7% (5d) — building
Sector activity percentile 35% — below sector avg
Large trade volume 45% — institutional presence
Aggressive execution 36% — patient
Conviction -24 (bearish) — mixed
Can I trade efficiently?
Evaluates
Spread 4.3% — acceptable
OI 4,819,158 — deep
Volume 100,781/day — active
$0.22 to cross — cheap
0 liquid strikes — limited options
Sector spread percentile 61% — wider than sector
Depth 471.7 contracts (bid:216.1 ask:255.6) — adequate
Avg slippage 2.74% — poor
Is now a good time?
Considers earnings proximity,
Slope -4.3% — flat/unclear
IV percentile 30% — neutral
IV kink -1.0pts — no clear event
θ/ν ratio 34.69 — favors income trades
5 liquid expirations — flexible
safe window: No earnings detected
Spread ratio 1.00x — stable
Flow -24% @ 62% consistency — unclear
Score 75 (ITM 20% + inst 45%) — HIGH institutional
For educational purposes only. Not investment advice.