Earnings Verdict
ASML earnings 28 days out; elevated IV with heavy put flow; historical beat rate 80% but uncertainty high
base 5; +2 GEX/flow strongly aligned; +1 GEX positive (pinning); -1 spot 19.7% from MP; +0.5 VIX 18
Most important: Dominant put flow and high put/call volume ratio signal bearish hedging before earnings.
📉Heavy put flow dominates; net premium $134M put-skewed
📈Aggressive out-of-money call buying $2100 suggests some upside bets
⚡High IV and gamma pinning keep near-term range tight
Regime Classification
Gamma flip: ~$1400.00 — Approx — based on put OI concentration of 3,624 (25.0% below spot)
Earnings Overview
Next earnings: 2026-07-15 (28 days)explicit
Expected moves:
- 2026-06-18 (1d): ±$50.35 (2.7%)
- 2026-06-26 (9d): ±$141.65 (7.6%)
- 2026-07-02 (15d): ±$87.60 (4.7%)
IV Setup
Term structure: Short-dated IV elevated (1d ±2.7%), 9d higher than 15d; longer-dated moderate
Crush estimate: Earnings IV not yet priced; crush not applicable until 07/15
Skew: Put/call volume ratio 1.54, OI 1.31; strong put demand skew.
Historical Context
Beat rate: 80% (4/5 quarters)
Avg move vs expected: Avg move vs expected not available; beat rate 80%
Directional bias: Historical beat rate suggests upward bias but reaction mixed.
Key Levels
1$1400.00 gamma flip
2EM guardrails: 2d $1817.48/$1918.18; 1w $1726.18/$2009.48
3Max pain pins: $1560 (2026-06-18); $1680 (2026-06-26); $1680 (2026-07-02)
Flow Highlights
Unusual $1800 Put vol 1270 OI 214 V/O 5.9
Large put buying far below spot, possibly hedge for downside
Unusual $2100 Call vol 572 OI 188 IV 71.6%
Aggressive out-of-the-money call buying into high IV.
Strategies
Risk Assessment
!High put volume may pressure spot
!Call walls at $2000-$2100 could cap upside
!Gamma flip at $1400 adds tail risk
What to Watch
?Spot reaction at $1800 put strike
?$2000 call OI growth
?VIX and regime shifts