Options/XLP

XLPState Street Consumer Staples Select Sector SPDR ETF

Options Analysis Report

AUM $14.7B|ARCX

● 2026-08-28$85.08

NEUTRAL

Analysis: 2026-08-27 EOD data

1Y +6.0%YTD +9.5%7D -1.1%

Options Vol

38,475

30D

Implied Move

±5.2%

IV Rank

23%

XLP Options Overview

IV is low with bearish flow and unusual activity. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for option buyers

Learn

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XLP Gamma Walls

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XLP Hedge Radar

Neutral

Full Hedge Radar

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

Protection is priced in the fair band (5.7) — the move being priced is 1.87x this name's own median 20-trading-day move, and downside puts carry 3.0 IV points LESS than at-the-money, measured against this name's own rolling 20-trading-day realized moves (484 overlapping windows). Fragility reads neutral (5.12): it is trading 0% below its hedge wall on a wall graded HIGH for reliability, and its realized-vol regime is stable.

Protection cost

5.70/ 10fair

Basis: cross_sectional

Fragility

5.12/ 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 24.6% — cheap vs history

IV/HV Ratio

<1.05x

IV/HV 1.48x — IV premium over HV

Sector Relative≤50%

Sector percentile 42% — below sector median

Term Structure

<1.1x

Front/Back 1.43x — backwardation

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 21.5% — normal range

Spread-Adjusted Value

<80%

Effective IV 40.0% (ATM 21.5% + spread 9.3% + bias) — excellent value

Execution Efficiency

<3.0%

Total drag 12.97% (spread 9.27% + slippage 3.70%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 8.17 (vega 7.577 / spread 9.27%) — efficient

Sentiment

Bullish or bearish?

6.1

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksVery Bullish - Strong signal (Conviction: +74%, Raw: +64%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: +74% (strong bullish) — Raw: +64%

OI Skew Magnitude

≥15%

|OI skew| 58.0% — put-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew -59.5%, OI skew -58.0% — aligned

Conviction Quality

≥2/3 conditions

0-DTE 32%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: -13%, ATM: +48%, OTM: +77% — bullish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 96% — very bearish vs sector

Activity

Unusual activity?

5.1

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks3/8 checks passed

Volume Surge

≥1.5x

Volume 1.3x avg — normal

Turnover Rate

≥15%

Vol/OI 7.1% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change -5.3% (5d) — unwinding

Sector Relative≥60%

Sector activity percentile 77% — active vs sector

Trade Quality

≥30%

Large trade volume 70% — heavy institutional

Execution Urgency

≥60%

Aggressive execution 28% — patient

Flow Conviction

≥30

Conviction +74 (bullish) — strong conviction

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 9.3% — wide

Adequate OI

≥10,000

OI 538,617 — deep

Active Volume

≥500

Volume 38,475/day — active

Reasonable Cost

≤$0.50

$0.46 to cross — cheap

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 56% — neutral vs sector

Order Book Depth

≥100 contracts

Depth 183.6 contracts (bid:109.1 ask:74.5) — adequate

Execution Quality

<1.0%

Avg slippage 3.70% — poor

Timing

Is now a good time?

7.6

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks8/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope +43.4% — backwardation

IV Percentile Clarity

<30 or >70

IV percentile 25% — buyer opportunity

Event Detection

≥10pts kink

IV kink 6.3pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 179.13 — 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 +74% @ 87% consistency — STRONG directional (bullish)

Smart Money Timing

≥40 composite score

Score 100 (ITM 20% + inst 70%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls6.2

bullishIV cheap, bullish flow

Long Puts5.4

bearishIV cheap, bullish flow

Premium Sellers

Cash-Secured Put5.3

bullishIV too cheap, bullish flow

Covered Call4.6

bearishIV too cheap, bullish flow

For educational purposes only. Not investment advice.