Options/XLV

XLVState Street Health Care Select Sector SPDR ETF

Options Analysis Report

AUM $44.1B|ARCX

● 2026-08-31$171.16

BEARISH

Analysis: 2026-08-28 EOD data

1Y +24.4%YTD +10.1%7D -2.0%

Options Vol

11,700

30D

Implied Move

±4.9%

IV Rank

20%

XLV Options Overview

IV is low with bearish flow. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for option buyers

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XLV Gamma Walls

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XLV Hedge Radar

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Full Hedge Radar

Fragility reads low; protection is priced cheap. Neither axis is a forecast — this is where XLV sits on protection cost vs. fragility today.

Protection is priced in the cheap band (3.6) — the move being priced is 1.45x this name's own median 19-trading-day move, and near-dated vol is priced 0% above far-dated, measured against this name's own rolling 19-trading-day realized moves (485 overlapping windows). Fragility reads resilient (3.38): it is trading 12% above its hedge wall on a wall graded MEDIUM for reliability, and its realized-vol regime is stable.

Protection cost

3.60/ 10cheap

Basis: cross_sectional

Fragility

3.38/ 10resilient

Basis: per_ticker

Value

Is IV priced right?

8.5

ExpensiveCheap

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

levels.

Risk Checks8/9 checks passed

IV Rank

≤35%

IV Rank 14.7% — cheap vs history

IV/HV Ratio

<1.05x

IV/HV 0.92x — IV ≤ HV

Sector Relative≤50%

Sector percentile 27% — below sector median

Term Structure

<1.1x

Front/Back 1.00x — flat

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 17.2% — normal range

Spread-Adjusted Value

<80%

Effective IV 26.0% (ATM 17.2% + spread 4.4% + bias) — excellent value

Execution Efficiency

<3.0%

Total drag 10.46% (spread 4.42% + slippage 6.04%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 38.66 (vega 17.086 / spread 4.42%) — efficient

Sentiment

Bullish or bearish?

2.7

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksBearish - Strong signal (Conviction: -22%, Raw: -15%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: -22% (bearish) — Raw: -15%

OI Skew Magnitude

≥15%

|OI skew| 17.8% — put-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew -25.4%, OI skew -17.8% — aligned

Conviction Quality

≥2/3 conditions

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

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: +4%, ATM: +19%, OTM: -28% — neutral (ITM/ATM aligned)

Sector Relative≤40% or ≥60%

Sector P/C percentile 92% — 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 1.8% — normal turnover

Multi-Day Persistence

≥2 days

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

OI Build

≥5%

OI change +4.1% (5d) — building

Sector Relative≥60%

Sector activity percentile 44% — neutral vs sector

Trade Quality

≥30%

Large trade volume 44% — institutional presence

Execution Urgency

≥60%

Aggressive execution 31% — patient

Flow Conviction

≥30

Conviction -22 (bearish) — mixed

Liquidity

Can I trade efficiently?

6.8

IlliquidLiquid

Evaluates

bid-ask spreads

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

Risk Checks6/8 checks passed

Tradeable Spread

≤5.0%

Spread 4.4% — acceptable

Adequate OI

≥10,000

OI 646,952 — deep

Active Volume

≥500

Volume 11,700/day — active

Reasonable Cost

≤$0.50

$0.22 to cross — cheap

Strike Coverage

≥5 strikes

8 liquid strikes — good coverage

Sector Relative≤40%

Sector spread percentile 44% — neutral vs sector

Order Book Depth

≥100 contracts

Depth 347.8 contracts (bid:175.4 ask:172.4) — adequate

Execution Quality

<1.0%

Avg slippage 6.04% — poor

Timing

Is now a good time?

6.8

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks6/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope +0.0% — flat/unclear

IV Percentile Clarity

<30 or >70

IV percentile 15% — buyer opportunity

Event Detection

≥10pts kink

IV kink 0.4pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 339.01 — 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 -22% @ 61% consistency — unclear

Smart Money Timing

≥40 composite score

Score 74 (ITM 20% + inst 44%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls6.0

bullishIV cheap, bearish flow

Long Puts7.9

bearishIV cheap, bearish flow

Premium Sellers

Cash-Secured Put3.8

bullishIV too cheap, bearish flow

Covered Call5.4

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 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 XLV

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