AInvestOption Pilot Program
Options/XLY
X

XLYState Street Consumer Discretionary Select Sector SPDR ETF

Options Analysis Report
AUM $22.6B|ARCX
● 2026-08-28$117.21
NEUTRAL
Analysis: 2026-08-27 EOD data
1Y +1.2%YTD -1.0%7D -0.7%
1,799
30D
±6.4%
12%

XLY Options Overview

Mixed signals. No clear edge detected.

REWARDS

RISK ANALYSIS

4.8VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Balanced conditions with no clear edge

Learn
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XLY Gamma Walls

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Value

Is IV priced right?

7.5
ExpensiveCheap

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

levels.

Risk Checks5/9 checks passed
≤35%

IV Rank 30.8% — cheap vs history

<1.05x

IV/HV 1.24x — IV premium over HV

Sector Relative≤50%

Sector percentile 50% — above sector median

<1.1x

Front/Back 1.19x — backwardation

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 24.2% — normal range

<80%

Effective IV 53.3% (ATM 24.2% + spread 14.5% + bias) — good value

<3.0%

Total drag 18.95% (spread 14.53% + slippage 4.42%) — high friction

≥5.0

Vega efficiency 8.37 (vega 12.159 / spread 14.53%) — efficient

Sentiment

Bullish or bearish?

4.6
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksNeutral - Moderate signal (Conviction: +8%, Raw: +2%)
|net sentiment| ≥25%

Conviction-weighted: +8% (neutral) — Raw: +2%

≥15%

|OI skew| 48.3% — put-heavy

Same sign, |vol skew| ≥10%

Vol skew -8.2%, OI skew -48.3% — weak (same direction)

≥2/3 conditions

0-DTE 12%, far-OTM 15%, avg DTE 30

|change| ≥3%

OI change +0.0% (5d) — stable

|weighted flow| ≥20%

ITM: +1%, ATM: -10%, OTM: +7% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 89% — very bearish vs sector

Activity

Unusual activity?

1.7
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks0/8 checks passed
≥1.5x

Volume 0.1x avg — normal

≥15%

Vol/OI 0.3% — normal turnover

≥2 days

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

≥5%

OI change -4.1% (5d) — unwinding

Sector Relative≥60%

Sector activity percentile 10% — quiet vs sector

≥30%

Large trade volume 17% — mixed

≥60%

Aggressive execution 23% — patient

≥30

Conviction +8 (bullish) — mixed

Liquidity

Can I trade efficiently?

3.4
IlliquidLiquid

Evaluates

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

Risk Checks3/8 checks passed
≤5.0%

Spread 14.5% — wide

≥10,000

OI 559,639 — deep

≥500

Volume 1,799/day — adequate

≤$0.50

$0.73 to cross — expensive

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 62% — wider than sector

≥100 contracts

Depth 192.10000000000002 contracts (bid:92.2 ask:99.9) — adequate

<1.0%

Avg slippage 4.42% — poor

Timing

Is now a good time?

6.8
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks6/9 checks passed
|slope| ≥5%

Slope +18.6% — backwardation

<30 or >70

IV percentile 31% — neutral

≥10pts kink

IV kink 4.1pts — no clear event

<0.5 or >2.0

θ/ν ratio 231.60 — favors income trades

≥3 expirations

4 liquid expirations — flexible

≥60% (safe)

safe window: No earnings detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow +8% @ 54% consistency — unclear

≥40 composite score

Score 47 (ITM 20% + inst 17%) — moderate institutional

Directional Strategy Fit

Option Buyers
Long Calls5.7
bullishIV cheap, mixed flow
Long Puts6.0
bearishIV cheap, mixed flow
Premium Sellers
Cash-Secured Put4.1
bullishIV too cheap, mixed flow
Covered Call4.4
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.