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 37.1% — elevated vs history
IV/HV 1.16x — IV premium over HV
Sector percentile 58% — above sector median
Front/Back 1.29x — backwardation
Put/Call IV 1.16x — elevated
ATM IV 27.5% — normal range
Effective IV 39.3% (ATM 27.5% + spread 5.9% + bias) — excellent value
Total drag 8.89% (spread 5.92% + slippage 2.97%) — high friction
Vega efficiency 6.57 (vega 3.889 / spread 5.92%) — acceptable
Bullish or bearish?
Analyzes
Conviction-weighted: +14% (bullish) — Raw: +9%
|OI skew| 22.9% — put-heavy
Vol skew -14.2%, OI skew -22.9% — aligned
0-DTE 3%, far-OTM 15%, avg DTE 30
OI change +0.0% (5d) — stable
ITM: +15%, ATM: +15%, OTM: +4% — bullish (ITM/ATM aligned)
Sector P/C percentile 91% — very bearish vs sector
Unusual activity?
Detects volume surges,
Volume 0.8x avg — normal
Vol/OI 2.7% — normal turnover
1 day(s) elevated — may be one-day event
OI change -9.3% (5d) — unwinding
Sector activity percentile 41% — neutral vs sector
Large trade volume 35% — institutional presence
Aggressive execution 42% — patient
Conviction +14 (bullish) — mixed
Can I trade efficiently?
Evaluates
Spread 5.9% — wide
OI 4,221,403 — deep
Volume 115,163/day — active
$0.30 to cross — cheap
0 liquid strikes — limited options
Sector spread percentile 68% — wider than sector
Depth 565.1 contracts (bid:281.1 ask:284.0) — deep
Avg slippage 2.97% — poor
Is now a good time?
Considers earnings proximity,
Slope +29.1% — backwardation
IV percentile 37% — neutral
IV kink 6.9pts — no clear event
θ/ν ratio 67.75 — favors income trades
5 liquid expirations — flexible
safe window: No earnings detected
Spread ratio 1.00x — stable
Flow +14% @ 57% consistency — unclear
Score 65 (ITM 20% + inst 35%) — HIGH institutional
For educational purposes only. Not investment advice.