Earnings Verdict
Earnings on 2026-04-30 (24 days out). IV term structure shows a sharp kink at 2026-05-01 (44.2% vs 31.7% pre), confirming elevated earnings IV. Expected move ±9.1% ($19.35). Historical EPS beat rate 75% with average move under EM. Best strategy: volatility calendar spread to capitalize on IV differential and crush. Key risk: stock gaps far from strike, reducing calendar spread profitability.
base 5; -1 GEX/flow contradict; +1 GEX positive (pinning); -0.5 spot 3.8% from MP
Most important: IV term structure kink at 2026-05-01 (44.2% vs 37.2% in June) presents a ~7.0 vol point differential for calendar spreads.
📅Earnings confirmed 2026-04-30, 24 days out
⚠️No explicit historical move data; rely on EPS beat rate for directional bias
📊IV differential ~7.0 vol points between May and June expiries supports calendar spreads
Regime Classification
Earnings Overview
Next earnings: 2026-04-30 (24 days)explicit
Expected moves:
- 2026-05-01 (25d): ±$19.35 (9.1%)
IV Setup
Term structure: Sharp kink at 2026-05-01: ATM IV 44.2% vs 31.7% pre (2026-04-24) and 37.2% post (2026-06-18), elevated for earnings.
Crush estimate: ~7.0 vol pts differential between May and June expiries, supporting calendar spreads.
Skew: P/C OI ratio 0.58 indicates more call OI; P/C volume ratio 0.85 shows balanced flow.
Historical Context
Beat rate: 75% (3/4 quarters)
Avg move vs expected: No explicit historical move data provided; EPS surprise positive 3/4 quarters.
Directional bias: No explicit gap data; EPS surprises suggest upside bias.
Key Levels
1$210.00
2$207.50
3$205.00
4$215.00
5$217.50
6$220.00
Flow Highlights
Heavy $245.00 put flow: net $-35,224,006 (premium to sellers), OI not provided.
Large institutional put selling for income, suggesting limited downside fear.
Unusual $212.50 PUT 2026-04-08: Vol 2,622 vs OI 115 (22.8x), IV 35.5%, last $2.04.
Fresh OTM put buying near spot, possibly hedging or betting on slight dip.
Strategies
Volatility calendar spread
Sell $212.50 CALL 2026-05-01 / Buy $212.50 CALL 2026-06-18
Trigger: Enter 1-2 weeks before earnings when IV differential >5 vol points.
Capitalizes on ~7.0 vol point IV differential (44.2% vs 37.2%) between May and June expiries; defined risk vs outright short volatility.
Outperforms: Stock near $212.50 at May expiry, IV crushes post-earnings faster than June IV decays.
Underperforms: Stock gaps far from $212.50, reducing calendar spread value; or IV rises in both expiries.
Short strangle
Sell $190 PUT x $240 CALL 2026-05-01
Trigger: Enter 1-2 weeks before earnings if IV >40%.
Elevated IV at 44.2% supports premium selling; historical EPS beat rate 75% but no big move data suggests range-bound outcome.
Outperforms: Stock stays within EM bounds ($193.44-$232.14), IV crushes post-earnings.
Underperforms: Stock gaps beyond EM by >10%, causing large losses.
Long straddle
Buy $212.50 straddle 2026-05-01
Trigger: Enter if IV <45% and expected move underestimates potential surprise.
IV kink indicates earnings premium; historical EPS surprises suggest potential for larger move, but crush risk high.
Outperforms: Actual move exceeds EM by >30% (beyond $184.51-$241.06).
Underperforms: Stock pins near $212.50, IV crushes to ~32%.
Risk Assessment
!Gap risk: EM ±9.1% ($19.35) but could exceed on guidance change given historical EPS surprises.
!IV crush: Estimated ~7.0 vol pts differential between May and June; calendar spreads benefit, long premium suffers.
!Liquidity: High (4M+ OI, 324K volume), but watch for wide spreads in OTM strikes.
!Sizing: Keep positions small (<5% of portfolio) due to elevated IV and event risk.
What to Watch
?IV trajectory into earnings (monitor 2026-05-01 vs 2026-06-18 IV differential)
?Spot action near $212.50 strike for calendar spread profitability
?Unusual OTM put activity (e.g., $212.50 PUT)