AInvestOption Pilot Program
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XSP

Options Analysis Report
Market Cap: --
● 2026-08-31$771.18
NEUTRAL
Analysis: 2026-08-28 EOD data
1Y +0.0%YTD +0.0%7D +0.0%
340,054
30D
±3.1%
40%
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XSP Options Overview

IV is low with unusual activity. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

6.7VALUESENTIMENTACTIVITYLIQUIDITYTIMING

Snowflake Analysis

Favorable conditions for option buyers

Learn
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XSP Gamma Walls

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Value

Is IV priced right?

8.7
ExpensiveCheap

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

levels.

Risk Checks8/9 checks passed
≤35%

IV Rank 3.5% — cheap vs history

<1.05x

IV/HV 1.00x — IV ≤ HV

Sector Relative≤50%

Sector percentile 4% — below sector median

<1.1x

Front/Back 0.57x — contango

<1.25x

Put/Call IV 1.16x — elevated

<80%

ATM IV 11.8% — normal range

<80%

Effective IV 21.2% (ATM 11.8% + spread 4.7% + bias) — excellent value

<3.0%

Total drag 7.08% (spread 4.72% + slippage 2.36%) — high friction

≥5.0

Vega efficiency 421.15 (vega 198.782 / spread 4.72%) — efficient

Sentiment

Bullish or bearish?

5.0
BearishBullish

Analyzes

,
, and flow direction to determine market bias.

Risk ChecksNeutral - Weak signal (Conviction: +0%, Raw: +8%)
|net sentiment| ≥25%

Conviction-weighted: +0% (neutral) — Raw: +8%

≥15%

|OI skew| 43.3% — put-heavy

Same sign, |vol skew| ≥10%

Vol skew +2.1%, OI skew -43.3% — divergent (opposite)

≥2/3 conditions

0-DTE 43%, far-OTM 15%, avg DTE 30

|change| ≥3%

OI change +0.0% (5d) — stable

|weighted flow| ≥20%

ITM: +0%, ATM: +0%, OTM: +0% — neutral (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 45% — neutral vs sector

Activity

Unusual activity?

5.5
QuietActive

Detects volume surges,

, and unusual options activity that may signal moves.

Risk Checks2/8 checks passed
≥1.5x

Volume 1.4x avg — normal

≥15%

Vol/OI 43.4% — high turnover

≥2 days

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

≥5%

OI change +3.3% (5d) — building

Sector Relative≥60%

Sector activity percentile 98% — very active vs sector

≥30%

Large trade volume 15% — mixed

≥60%

Aggressive execution 41% — patient

≥30

Conviction +0 (neutral) — mixed

Liquidity

Can I trade efficiently?

7.2
IlliquidLiquid

Evaluates

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

Risk Checks6/8 checks passed
≤5.0%

Spread 4.7% — acceptable

≥10,000

OI 784,446 — deep

≥500

Volume 340,054/day — active

≤$0.50

$0.24 to cross — cheap

≥5 strikes

3 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 39% — tighter than sector

≥100 contracts

Depth 326.7 contracts (bid:155.6 ask:171.1) — adequate

<1.0%

Avg slippage 2.36% — poor

Timing

Is now a good time?

7.2
RiskyFavorable

Considers earnings proximity,

, and event calendar for optimal entry timing.

Risk Checks7/9 checks passed
|slope| ≥5%

Slope -42.7% — contango

<30 or >70

IV percentile 4% — buyer opportunity

≥10pts kink

IV kink -4.0pts — no clear event

<0.5 or >2.0

θ/ν ratio 1497.98 — favors income trades

≥3 expirations

5 liquid expirations — flexible

≥60% (safe)

safe window: No earnings detected

<1.2 ratio

Spread ratio 1.00x — stable

≥25% strength + ≥50% consistency

Flow +0% @ 54% consistency — unclear

≥40 composite score

Score 45 (ITM 20% + inst 15%) — moderate institutional

Directional Strategy Fit

Option Buyers
Long Calls6.9
bullishIV cheap, mixed flow
Long Puts7.0
bearishIV cheap, mixed flow
Premium Sellers
Cash-Secured Put4.6
bullishIV too cheap, mixed flow
Covered Call4.7
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.

More on XSP

XSP gamma wallsXSP max painXSP IV rankXSP options flow