Options/SPY

SPYState Street SPDR S&P 500 ETF Trust

Options Analysis Report

AUM $799.4B|ARCX

● 2026-09-14$764.29

NEUTRAL

Analysis: 2026-09-11 EOD data

1Y +15.6%YTD +11.9%7D -0.8%

Options Vol

10,497,400

30D

Implied Move

±3.5%

IV Rank

SPY Options Overview

IV is low. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for option buyers

Learn

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SPY Gamma Walls

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SPY Hedge Radar

Neutral

Full Hedge Radar

Neither score is at an extreme today. Neither axis is a forecast — this is where SPY sits on protection cost vs. fragility today.

Protection is priced in the cheap band (3.06) — near-dated vol is priced 24% below far-dated, and implied vol sits in the 4th percentile of its own past year, measured against this name's own rolling 19-trading-day realized moves (485 overlapping windows). Fragility reads neutral (4.96): it is trading 0% above its hedge wall on a wall graded HIGH for reliability, and its realized-vol regime is stable.

Protection cost

3.06/ 10cheap

Basis: cross_sectional

Fragility

4.96/ 10neutral

Basis: per_ticker

Value

Is IV priced right?

8.6

ExpensiveCheap

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

levels.

Risk Checks7/9 checks passed

IV Rank

≤35%

IV Rank 3.5% — cheap vs history

IV/HV Ratio

<1.05x

IV/HV 1.46x — IV premium over HV

Sector Relative≤50%

Sector percentile 6% — below sector median

Term Structure

<1.1x

Front/Back 0.76x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 12.8% — normal range

Spread-Adjusted Value

<80%

Effective IV 15.4% (ATM 12.8% + spread 1.3% + bias) — excellent value

Execution Efficiency

<3.0%

Total drag 3.36% (spread 1.28% + slippage 2.08%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 1463.91 (vega 187.380 / spread 1.28%) — efficient

Sentiment

Bullish or bearish?

3.8

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksNeutral - Moderate signal (Conviction: -2%, Raw: -3%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: -2% (neutral) — Raw: -3%

OI Skew Magnitude

≥15%

|OI skew| 43.4% — put-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew -15.5%, OI skew -43.4% — aligned

Conviction Quality

≥2/3 conditions

0-DTE 40%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: +22%, ATM: -2%, OTM: -10% — bullish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 91% — very bearish vs sector

Activity

Unusual activity?

6.5

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks4/8 checks passed

Volume Surge

≥1.5x

Volume 1.0x avg — normal

Turnover Rate

≥15%

Vol/OI 51.5% — high turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change +4.0% (5d) — building

Sector Relative≥60%

Sector activity percentile 98% — very active vs sector

Trade Quality

≥30%

Large trade volume 33% — institutional presence

Execution Urgency

≥60%

Aggressive execution 87% — highly urgent

Flow Conviction

≥30

Conviction -2 (bearish) — mixed

Liquidity

Can I trade efficiently?

8.8

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks7/8 checks passed

Tradeable Spread

≤5.0%

Spread 1.3% — tight

Adequate OI

≥10,000

OI 20,377,802 — deep

Active Volume

≥500

Volume 10,497,400/day — active

Reasonable Cost

≤$0.50

$0.06 to cross — cheap

Strike Coverage

≥5 strikes

63 liquid strikes — good coverage

Sector Relative≤40%

Sector spread percentile 29% — tighter than sector

Order Book Depth

≥100 contracts

Depth 1,116.4 contracts (bid:528.6 ask:587.8) — deep

Execution Quality

<1.0%

Avg slippage 2.08% — poor

Timing

Is now a good time?

6.5

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks6/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -23.9% — contango

IV Percentile Clarity

<30 or >70

IV percentile 4% — buyer opportunity

Event Detection

≥10pts kink

IV kink -1.9pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 1430.38 — favors income trades

Expiration Distribution

≥3 expirations

5 liquid expirations — flexible

Event Risk

≥60% (safe)

HIGH RISK: No earnings detected; FOMC in 2d (HIGH)

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow -2% @ 51% consistency — unclear

Smart Money Timing

≥40 composite score

Score 63 (ITM 20% + inst 33%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls6.6

bullishIV cheap, bearish flow

Long Puts7.5

bearishIV cheap, bearish flow

Premium Sellers

Cash-Secured Put4.5

bullishIV too cheap, bearish flow

Covered Call5.3

bearishIV too cheap, bearish flow

For educational purposes only. Not investment advice.

The Options Desk tracks the move options price into every US earnings report the week of Sep 14, 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.

More on SPY

SPY gamma walls SPY option chain SPY max pain SPY expected move SPY IV rank SPY put/call ratio SPY options flow