Options/XBI

XBIState Street SPDR S&P Biotech ETF

Options Analysis Report

AUM $12.0B|ARCX

● 2026-08-28$162.38

NEUTRAL

Analysis: 2026-08-27 EOD data

1Y +80.7%YTD +33.6%7D -2.0%

Options Vol

14,363

30D

Implied Move

±9.0%

IV Rank

10%

XBI Options Overview

Mixed signals. Conditions favor premium sellers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Balanced conditions with no clear edge

Learn

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XBI Gamma Walls

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XBI Hedge Radar

Neutral

Full Hedge Radar

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

Protection is priced in the cheap band (3.15) — the move being priced is 1.64x this name's own median 20-trading-day move, and downside puts carry 0.6 IV points more than at-the-money, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads neutral (4.22): it is trading 3% above its hedge wall on a wall graded HIGH for reliability, and its realized-vol regime is stable.

Protection cost

3.15/ 10cheap

Basis: cross_sectional

Fragility

4.22/ 10neutral

Basis: per_ticker

Value

Is IV priced right?

6.2

ExpensiveCheap

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

levels.

Risk Checks6/9 checks passed

IV Rank

≤35%

IV Rank 48.9% — elevated vs history

IV/HV Ratio

<1.05x

IV/HV 0.99x — IV ≤ HV

Sector Relative≤50%

Sector percentile 69% — above sector median

Term Structure

<1.1x

Front/Back 0.97x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 32.6% — normal range

Spread-Adjusted Value

<80%

Effective IV 49.8% (ATM 32.6% + spread 8.6% + bias) — excellent value

Execution Efficiency

<3.0%

Total drag 13.45% (spread 8.59% + slippage 4.86%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 23.61 (vega 20.280 / spread 8.59%) — efficient

Sentiment

Bullish or bearish?

5.1

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksVery Bullish - Moderate signal (Conviction: +40%, Raw: +32%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +40% (strong bullish) — Raw: +32%

OI Skew Magnitude

≥15%

|OI skew| 6.5% — balanced

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew -35.4%, OI skew -6.5% — aligned

Conviction Quality

≥2/3 conditions

0-DTE 25%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: -44%, ATM: +52%, OTM: +26% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 93% — very bearish vs sector

Activity

Unusual activity?

3.6

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks1/8 checks passed

Volume Surge

≥1.5x

Volume 0.6x avg — normal

Turnover Rate

≥15%

Vol/OI 2.4% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change -11.6% (5d) — unwinding

Sector Relative≥60%

Sector activity percentile 49% — neutral vs sector

Trade Quality

≥30%

Large trade volume 29% — mixed

Execution Urgency

≥60%

Aggressive execution 29% — patient

Flow Conviction

≥30

Conviction +40 (bullish) — moderate

Liquidity

Can I trade efficiently?

4.7

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks4/8 checks passed

Tradeable Spread

≤5.0%

Spread 8.6% — wide

Adequate OI

≥10,000

OI 593,799 — deep

Active Volume

≥500

Volume 14,363/day — active

Reasonable Cost

≤$0.50

$0.43 to cross — cheap

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 77% — wider than sector

Order Book Depth

≥100 contracts

Depth 266.3 contracts (bid:125.4 ask:140.9) — adequate

Execution Quality

<1.0%

Avg slippage 4.86% — poor

Timing

Is now a good time?

7.4

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks6/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -3.4% — flat/unclear

IV Percentile Clarity

<30 or >70

IV percentile 49% — neutral

Event Detection

≥10pts kink

IV kink -0.6pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 197.85 — favors income trades

Expiration Distribution

≥3 expirations

4 liquid expirations — flexible

Event Risk

≥60% (safe)

safe window: No earnings detected

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow +40% @ 70% consistency — STRONG directional (bullish)

Smart Money Timing

≥40 composite score

Score 59 (ITM 20% + inst 29%) — moderate institutional

Directional Strategy Fit

Option Buyers

Long Calls5.8

bullishIV cheap, mixed flow

Long Puts5.7

bearishIV cheap, mixed flow

Premium Sellers

Cash-Secured Put5.0

bullishIV too cheap, mixed flow

Covered Call4.9

bearishIV too cheap, 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.