Term structure: Humped at 41.4% for 5/08, elevated through 2027. Steep from near-dated (14.3%) to 30-45 DTE (~39%).
Spot vs MP: At $242.92 vs $245 max pain for 3/27 — slightly below by 0.8%
GEX regime: Pinning (GEX +$0.2M)
Gamma flip: ~$220.00 — Below $220, dealers may amplify moves downward. Current spot is well above.
OI concentrations: Major put walls at $220 (4,723 OI) and $240 (3,648 OI). Call wall at $260 (3,693 OI).
#1put spread
Sell $235/$230 put spread, 2026-05-15 (43 DTE)
High IV (39.5%) at this expiration. Short strike aligns with major OI support at $235 (2,853 OI). Positive GEX and spot near max pain support a pinning environment. Provides a 3.2% buffer from spot.
Mgmt: Close at 65% max profit. Exit if spot closes below $230 (long strike). Roll only if credit >0.50 can be collected to move strikes down.
#2iron condor
Sell $235/$230 put spread & $260/$265 call spread, 2026-05-15 (43 DTE)
Non-directional play capitalizing on high IV and pinning GEX. Range ($230-$260) is ~12% wide, encompassing the 43-day expected move ($217.42-$268.42). Short strikes align with major OI walls.
Mgmt: Close at 50% max profit. Exit entire position if either short strike is breached. Use limit orders to manage slippage.
#3cash-secured put
Sell $230 put, 2026-05-15 (43 DTE)
For sellers comfortable with assignment. High IV yields ~2.8% return on capital in 43 days. Strike is below the $235 OI cluster and provides a 5.3% buffer. Positive GEX reduces immediate crash risk.
Mgmt: Close at 80% max profit. Manage early if credit drops to $1.00. Be prepared to take assignment at $230 or roll down/out if tested.
#4call credit spread
Sell $260/$265 call spread, 2026-05-15 (43 DTE)
Defined-risk bearish hedge or standalone credit. Short strike aligns with the major $260 call wall (3,693 OI). Provides a 7% buffer from spot. High IV makes call premium attractive to sell.
Mgmt: Close at 65% max profit. Exit if spot closes above $262.50. Do not hold into earnings (6/11).
!Earnings on 2026-06-11 (~10 weeks out): Close or roll all short premium positions well before this date to avoid earnings IV crush and gap risk.
!Moderate Liquidity: Total OI 426k is moderate. Expect wider bid-ask spreads, especially on multi-leg strategies. Use limit orders for all entries and exits.
!Gamma Flip at ~$220: A break below this level could lead to accelerated selling pressure. This is a key risk level for all put-selling strategies.
!Net Premium Flow Negative (-$27.1M): Suggests more premium was paid to buy options than received to sell, indicating a potentially fearful or hedging market tone.
!Unusual Put Buying in April: High volume in 4/10 $230 and $235 puts (Vol/OI >4x) suggests institutional downside hedging. Monitor for increased volatility.