AInvestOption Pilot Program
Options/KBE
K

KBEState Street SPDR S&P Bank ETF

Options Analysis Report
AUM $1.7B|ARCX
● 2026-08-31$68.46
NEUTRAL
Analysis: 2026-08-28 EOD data
1Y +13.0%YTD +11.9%7D -0.5%
180
30D
±9.5%
5%

KBE Options Overview

Mixed signals. No clear edge detected.

REWARDS

RISK ANALYSIS

5.0VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Balanced conditions with no clear edge

Learn
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KBE Gamma Walls

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Value

Is IV priced right?

5.7
ExpensiveCheap

Measures whether options are cheap, fair, or rich relative to historical and peer

levels.

Risk Checks3/9 checks passed
≤35%

IV Rank 35.7% — elevated vs history

<1.05x

IV/HV 1.98x — IV premium over HV

Sector Relative≤50%

Sector percentile 56% — above sector median

<1.1x

Front/Back 1.43x — backwardation

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 25.7% — normal range

<80%

Effective IV 72.9% (ATM 25.7% + spread 23.6% + bias) — fair

<3.0%

Total drag 31.06% (spread 23.61% + slippage 7.45%) — high friction

≥5.0

Vega efficiency 2.74 (vega 6.480 / spread 23.61%) — spread drag

Sentiment

Bullish or bearish?

5.9
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksVery Bullish - Strong signal (Conviction: +69%, Raw: +64%)
|net sentiment| ≥25%

Conviction-weighted: +69% (strong bullish) — Raw: +64%

≥15%

|OI skew| 73.8% — put-heavy

Same sign, |vol skew| ≥10%

Vol skew -26.7%, OI skew -73.8% — aligned

≥2/3 conditions

0-DTE 0%, far-OTM 15%, avg DTE 30

|change| ≥3%

OI change +0.0% (5d) — stable

|weighted flow| ≥20%

ITM: +100%, ATM: +98%, OTM: +2% — strong bullish (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 92% — very bearish vs sector

Activity

Unusual activity?

2.6
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed
≥1.5x

Volume 0.8x avg — normal

≥15%

Vol/OI 0.1% — normal turnover

≥2 days

1 day(s) elevated — may be one-day event

≥5%

OI change +1.6% (5d) — stable

Sector Relative≥60%

Sector activity percentile 4% — quiet vs sector

≥30%

Large trade volume 0% — mostly retail

≥60%

Aggressive execution 7% — patient

≥30

Conviction +69 (bullish) — strong conviction

Liquidity

Can I trade efficiently?

2.9
IlliquidLiquid

Evaluates

, volume depth, and open interest for trade execution quality.

Risk Checks2/8 checks passed
≤5.0%

Spread 23.6% — wide

≥10,000

OI 154,405 — deep

≥500

Volume 180/day — thin

≤$0.50

$1.18 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 66% — wider than sector

≥100 contracts

Depth 207.3 contracts (bid:87.8 ask:119.5) — adequate

<1.0%

Avg slippage 7.45% — poor

Timing

Is now a good time?

7.6
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks6/9 checks passed
|slope| ≥5%

Slope +43.1% — backwardation

<30 or >70

IV percentile 36% — neutral

≥10pts kink

IV kink 9.7pts — no clear event

<0.5 or >2.0

θ/ν ratio 113.69 — favors income trades

≥3 expirations

3 liquid expirations — flexible

≥60% (safe)

safe window: No earnings detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow +69% @ 85% consistency — STRONG directional (bullish)

≥40 composite score

Score 30 (ITM 20% + inst 0%) — retail dominated

Directional Strategy Fit

Option Buyers
Long Calls5.7
bullishIV fair, mixed flow
Long Puts5.0
bearishIV fair, mixed flow
Premium Sellers
Cash-Secured Put5.1
bullishIV fair, mixed flow
Covered Call4.4
bearishIV fair, mixed flow

For educational purposes only. Not investment advice.

The Options Desk tracks the move options price into every US earnings report the week of Aug 31, 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.

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