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ASML

ASML Holding N.V. - New York ReClose $1550.13EOD only
Max Pain
$1482.50
Next expiry May 22, 2026
Expected Move
±$59.25
3.8% from close
Price Gap
-67.63
Distance to max pain
IV Rank
26
Middle-high premium
P/C OI
1.33
Slightly put-heavy
Consensus
4.0/10
Bearish tilt
Published snapshot: May 20, 2026 close
End-of-day snapshot

This page reflects ASML options positioning from the latest published market-close snapshot. Intraday price and contract changes are not displayed.

Published Snapshot
May 20, 2026 close
ASML Earnings Report
Analysis based on market close March 31, 2026
DirectionalTheta GangFlowEarningsConsensus

Historical consensus-supported lens with full content, report chain context, and metric rail.

You are viewing an older report from March 31, 2026. A newer earnings report is available for April 6, 2026.

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Earnings Verdict

Earnings expected around 4/15, with IV sharply elevated in the 4/17 expiration (64.8%). The high IV and historical tendency to under-move expected moves favor premium-selling strategies, but the pro-cyclical gamma regime increases gap risk. Best strategy is a short strangle to capture IV crush, with a defined-risk iron condor as a more conservative alternative.

Confidence:
6 / 10
base 5; +1 high IV (59%) and clear term structure kink; +0 historical data available; -0.5 gamma trending (pro-cyclical) increases gap risk
Most important: IV term structure shows a clear kink at the 4/17 expiration (64.8% vs 52.6% on 4/10), strongly suggesting earnings are scheduled for that week.
⚠️Gamma regime is 'Trending' (GEX negative). This increases the risk of an accelerated move if spot breaks away from current levels, particularly to the downside.
📊Earnings date inferred from IV term structure kink at 4/17 expiration. Confirm via company IR.
🎯Major put OI concentration at $1245, just above the lower EM bound ($1165). This could act as a magnet or support if tested.

Regime Classification

Vol Regime
High (IV 59%)
Gamma Regime
Trending (GEX $-2.4M — pro-cyclical)
Flow Regime
Mixed (net prem +$65.1M, P/C 1.31)
Spot vs MP
Below max pain by 2.2% (spot $1320.83 vs MP $1350)
Gamma flip: ~$1245.00 — Below ~$1245, negative GEX suggests dealers amplify downside moves.

Earnings Overview

Next earnings: 2026-04-15 (15 days)inferred from term structure kink at 4/17 expiration, aligns with provided EPS date

Expected moves:

  • 4/17 (17d): ±$154.85 (11.7%) [$1165.98 - $1475.68]

IV Setup

Term structure: Sharp kink at 4/17 expiration (64.8%) vs 52.6% on 4/10 and 61.5% on 4/24. Confirms earnings event.

Crush estimate: ~12-15 vol pts post-earnings, back to ~50% range.

Skew: P/C OI ratio of 1.41 shows more put open interest, but P/C volume ratio of 1.31 is more balanced. Top premium flow is heavily call-biased at low strikes ($340, $380), suggesting institutional/hedge flow rather than directional bets.

Historical Context

Beat rate: 75% (3/4 quarters)

Avg move vs expected: Insufficient data for precise EM comparison, but 4-quarter EPS surprise avg: +3.75%.

Directional bias: Mixed: 2 gaps up, 1 gap down, 1 flat on last report.

Key Levels

1$1245 (Gamma Flip / Major Put OI)
2$1400 (Call OI Wall)
3$1330 (Near-term Max Pain)
4EM Bounds: $1165 - $1475

Flow Highlights

Heavy $1430C 4/02 buying (1,482 vol vs 138 OI, IV 47.8%)

Near-term upside speculation, but IV is lower than ATM, may be a volatility sale or spread leg.

Large $790P 4/24 block (527 vol, IV 106.3%)

Extreme OTM put purchase, likely a cheap tail hedge or part of a complex strategy, not a direct earnings bet.

Massive net call premium at ultra-low strikes ($340, $380).

Likely non-directional institutional flow (e.g., collar rolls, financing trades). Disregard for directional signal.

Strategies

Short Strangle (Premium Sale)
Sell $1165 PUT / Sell $1475 CALL 4/17
Credit: $45.00-$55.00
Max loss: Unlimited
Max gain: $50.00
BE: 1115.0 / 1525.0 (approx, using $1165/$1475)
Trigger: Enter 3-5 days before earnings if IV > 60%
Captures high IV (64.8%) with strikes set just outside the 11.7% expected move. Historical EPS beat rate is good, but not extreme, supporting a range-bound outcome.
Outperforms: Stock stays within a wide range (~$1150-$1490), IV crushes post-earnings.
Underperforms: Gap exceeds EM by >20% ($110 or ~8.5%).
Iron Condor (Defined Risk)
Sell $1200/$1180 Put Spread x Sell $1440/$1460 Call Spread 4/17
Credit: $8.50-$10.50
Max loss: $11.50
Max gain: $9.50
BE: 1191.5 / 1448.5 (approx)
Trigger: Enter 2-4 days before earnings.
Defined-risk alternative to the strangle. Tighter wings (inside the EM) for higher probability of success, sacrificing some premium. Aligns with spot below near-term max pain ($1330).
Outperforms: Stock stays between $1200 and $1440.
Underperforms: Move exceeds ~9% in either direction.
Long Straddle (Directional Volatility)
Buy $1320 Straddle 4/17
Max loss: Cost of straddle (~$155)
Max gain: Unlimited
BE: 1165.0 / 1475.0
Trigger: Enter only if IV dips below 60% before earnings, or on a volatility spike day.
High-cost, low-probability play. Justified only if you anticipate a significant guidance shock or a break from historical patterns. The high IV makes this expensive.
Outperforms: Actual move exceeds EM (11.7%) by >15%.
Underperforms: Stock pins near $1320 and IV crushes heavily post-earnings.

Risk Assessment

!Gap Risk: Elevated. 11.7% EM is large. Pro-cyclical gamma (GEX -$2.4M) means any directional move could be amplified by dealer hedging, increasing gap potential.
!IV Crush: Significant. Expect IV to drop from ~65% to ~50% post-event, punishing long premium strategies.
!Liquidity: Good. High OI at key strikes ($1245P, $1400C), ample strikes available. Top premium flow is concentrated in low-dollar strikes, which is atypical but not a liquidity concern for near-ATM.
!Sizing: Size short premium strategies small (1-2% risk capital). The trending gamma regime warrants caution.

What to Watch

?IV trajectory in the 4/17 expiration over the next week — further spikes improve short premium entry.
?Spot price action relative to the $1245 gamma flip level and $1330 max pain.
?Any unusual OTM call or put activity in the 4/17 expiration for clues on institutional positioning.
How to Use These Reports
This earnings reflects the market close on March 31, 2026.
What the reports do

Each report translates the same market-close options snapshot into a specific lens such as directional bias, premium-selling posture, flow quality, or earnings setup.

How traders use them

Reports are most useful for narrowing the playbook, surfacing entry and risk context, and deciding which raw data page to inspect next.

What to remember

These are interpretation layers, not execution guarantees. Validate the setup against chain liquidity, expected move, and exposure before sizing risk.

If the report conviction and the raw data disagree, slow down and resolve the mismatch before sizing risk.