base 4; +2 high IV with term structure edge; -0 GEX/flow contradict; -2 low liquidity
Term structure: Humped at 11 DTE (68.0%), then drops sharply to 60.4% at 18 DTE and 57.9% at 25 DTE — a significant term structure anomaly.
Spot vs MP: Spot $1304.01 is below near-term max pain ($1340, $1350, $1370).
GEX regime: Trending (Total GEX -$1.8M). Negative GEX suggests dealers amplify moves, reducing pinning.
Gamma flip: ~$1150.00 — Gamma flip ~$1150 is 11.8% below spot. Below this level, negative gamma accelerates selling pressure.
OI concentrations: Major put OI at $1150 (2,068), $800 (1,031); call OI at $1400 (1,047), $1500 (690).
#1put calendar spread
Sell $1200 put exp 2026-04-17 (11 DTE) / Buy $1200 put exp 2026-04-24 (18 DTE)
Capitalizes on the IV term structure anomaly: sell overpriced 11 DTE put at ~68% IV, buy relatively cheaper 18 DTE put at ~60.4% IV. Strike is 8% OTM at $1200, aligning with major put OI (634) and below spot. Negative GEX and falling max pain support bearish bias.
Mgmt: Close when near-term IV collapses or at 50% of max credit. Exit if price breaches $1150. Assume wide bid-ask (~$1.00).
#2put calendar spread
Sell $1150 put exp 2026-04-17 (11 DTE) / Buy $1150 put exp 2026-05-01 (25 DTE)
Targets largest put OI cluster (2,068 at $1150) with a larger IV differential: sell 11 DTE at 68% IV, buy 25 DTE at 57.9% IV (10.1 vol-point edge). Strike is 11.8% OTM, near gamma flip, offering downside buffer.
Mgmt: Close when IV differential narrows to 3 vol points or at 60% profit. Exit on close below $1150. Assume wide bid-ask (~$1.50).
#3put spread
Sell $1200/$1180 put spread exp 2026-04-10 (4 DTE)
High IV (65.1% at $1200 put) provides premium. Strike is 8% OTM, within expected move (-$62.05). Defined-risk suits low liquidity; negative GEX favors bearish spreads.
Mgmt: Close at 65% profit. Exit if price closes below $1180. Assume wide bid-ask (~$0.50).
#4covered call
Sell $1400 covered call exp 2026-04-24 (18 DTE) against long stock
Call IV 53.8% is elevated. Strike is 7.4% OTM, aligns with max pain pin at $1370 and major call OI wall. Provides income in a trending regime.
Mgmt: Close call at 80% profit or roll up/out if tested. Avoid assignment before ex-div (none noted).
!Earnings on 2026-04-15 (9 days away) — close all short premium positions before announcement to avoid IV crush and gap risk.
!Total GEX -$1.8M indicates trending regime; be prepared for accelerated moves, not pinning.
!Low liquidity (136,947 total OI, 238 active strikes) — bid-ask spreads are wide, making multi-leg strategies like calendars difficult to execute.
!Gamma flip at $1150 (11.8% below spot) — a break below could trigger accelerated selling, threatening put positions.
!IV term structure anomaly may flatten quickly — monitor daily for IV convergence, which would erode calendar spread edge.
!Unusual put activity at $790 (39% OTM, 114.1% IV) exp 4/24 — suggests institutional hedging or tail-risk bets; monitor for broader downside pressure.