Options/XLF

XLFState Street Financial Select Sector SPDR ETF

Options Analysis Report•STATE COMMERCIAL BANKS

AUM $55.3B|ARCX

● 2026-08-31$58.10

BULLISH

Analysis: 2026-08-28 EOD data

1Y +8.4%YTD +5.8%7D -0.2%

Options Vol

155,677

30D

Implied Move

±4.0%

IV Rank

XLF Options Overview

IV is low with bullish flow. No clear edge detected.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for option buyers

Learn

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XLF Gamma Walls

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XLF Hedge Radar

Neutral

Full Hedge Radar

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

Protection is priced in the cheap band (2.84) — near-dated vol is priced 14% below far-dated, and implied vol sits in the 1th 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

2.84/ 10cheap

Basis: cross_sectional

Fragility

4.96/ 10neutral

Basis: per_ticker

Value

Is IV priced right?

8.0

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 9.7% — cheap vs history

IV/HV Ratio

<1.05x

IV/HV 1.50x — IV premium over HV

Sector Relative≤50%

Sector percentile 17% — below sector median

Term Structure

<1.1x

Front/Back 0.86x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 15.0% — normal range

Spread-Adjusted Value

<80%

Effective IV 27.6% (ATM 15.0% + spread 6.3% + bias) — excellent value

Execution Efficiency

<3.0%

Total drag 9.38% (spread 6.32% + slippage 3.06%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 9.14 (vega 5.776 / spread 6.32%) — efficient

Sentiment

Bullish or bearish?

7.7

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksVery Bullish - Moderate signal (Conviction: +60%, Raw: +45%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +60% (strong bullish) — Raw: +45%

OI Skew Magnitude

≥15%

|OI skew| 23.2% — put-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew +47.5%, OI skew -23.2% — divergent (opposite)

Conviction Quality

≥2/3 conditions

0-DTE 2%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: +1%, ATM: -8%, OTM: +61% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 15% — very bullish vs sector

Activity

Unusual activity?

4.3

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks2/8 checks passed

Volume Surge

≥1.5x

Volume 1.1x avg — normal

Turnover Rate

≥15%

Vol/OI 2.5% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change +2.3% (5d) — building

Sector Relative≥60%

Sector activity percentile 53% — neutral vs sector

Trade Quality

≥30%

Large trade volume 74% — heavy institutional

Execution Urgency

≥60%

Aggressive execution 34% — patient

Flow Conviction

≥30

Conviction +60 (bullish) — strong conviction

Liquidity

Can I trade efficiently?

6.6

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks5/8 checks passed

Tradeable Spread

≤5.0%

Spread 6.3% — wide

Adequate OI

≥10,000

OI 6,210,467 — deep

Active Volume

≥500

Volume 155,677/day — active

Reasonable Cost

≤$0.50

$0.32 to cross — cheap

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 37% — tighter than sector

Order Book Depth

≥100 contracts

Depth 622.6 contracts (bid:314.0 ask:308.6) — deep

Execution Quality

<1.0%

Avg slippage 3.06% — poor

Timing

Is now a good time?

7.8

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks8/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -13.7% — contango

IV Percentile Clarity

<30 or >70

IV percentile 10% — buyer opportunity

Event Detection

≥10pts kink

IV kink -0.5pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 385.07 — favors income trades

Expiration Distribution

≥3 expirations

5 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 +60% @ 80% consistency — STRONG directional (bullish)

Smart Money Timing

≥40 composite score

Score 104 (ITM 20% + inst 74%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls8.1

bullishIV cheap, bullish flow

Long Puts5.8

bearishIV cheap, bullish flow

Premium Sellers

Cash-Secured Put5.8

bullishIV too cheap, bullish flow

Covered Call3.9

bearishIV too cheap, bullish 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.

More on XLF

XLF gamma walls XLF max pain XLF IV rank XLF options flow