COP Theta Gang Report
Analysis based on market close March 31, 2026
Theta Verdict
Confidence:5 / 10
base 4; +1 pinning regime; +1 normal IV; -1 low liquidity; -0.5 earnings in 4 weeks
IV Environment
IV Regime
Normal
IV vs VIX
IV 41.6% — Normal for energy sector
Favorable?
Yes
Term structure: Steep front-month IV (53.2% for 4/2), normalizing to ~38% for 30-45 DTE
Normal IV provides decent premium without extreme risk
Front-month IV elevated — consider 30-45 DTE for better decay
Pin Risk Assessment
Spot vs MP: Above max pain by 9.1% (spot $132 vs MP $121)
GEX regime: Strong Pinning (GEX +$23.7M)
Gamma flip: ~$95.00 — Gamma flip far below at ~$95 — strong pinning above this level
OI concentrations: Major put wall at $95 (10.8K OI), call walls at $115 (14.4K OI) and $120 (6.4K OI)
Verdict: Highly favorable — strong positive GEX and OI concentrations support mean reversion
Premium Opportunities
#1
put spread
Sell $120/$115 put spread 2026-05-15 (45 DTE)
Strikes below current price but above major OI support. $120 is near-term max pain (4/2) and has significant premium flow. 45 DTE captures normal IV while avoiding front-month skew.
Mgmt: Close at 65% profit (~$0.90 credit). Roll down/out if $120 tested. Exit on close below $125 (key support).
#2
covered call
Own stock at $132, sell $145 call 2026-05-15 (45 DTE)
Stock above max pain with pinning regime. $145 is above expected move ($145.35) and has significant put premium flow, suggesting resistance. Collect ~1.4% premium in 45 days.
Mgmt: Close call at 50% profit. Roll up and out if stock approaches $144. Consider closing before earnings (4/30).
#3
iron condor
Sell $120/$115 put spread x $145/$150 call spread 2026-05-15 (45 DTE)
Defined-risk play on the pinning range. Short strikes at key OI levels ($120 put, $145 call) with buffer from expected move ($118.65-$145.35). Positive GEX supports range-bound action.
Mgmt: Close at 50% profit. Adjust if either short strike tested. Exit entire position if spot breaks $125 or $140.
#4
cash-secured put
Sell $115 put 2026-05-15 (45 DTE)
Major OI support at $115 (call wall) and $95 (put wall). $115 is 12.9% below spot, outside 45-day expected move. Collect ~2.2% premium for potential assignment at strong level.
Mgmt: Roll down/out at 21 DTE if challenged. Close at 70% profit. Accept assignment below $115 if comfortable owning at that level.
Risk Alerts
Earnings estimated 2026-04-30 (~4 weeks) — close all short premium positions before announcement
Low liquidity — expect wider bid-ask spreads, especially on multi-leg strategies
Gamma flip at ~$95 — below this level, dealers amplify moves (far from current price)
Unusual put activity at $115 strike for 4/24 expiration — monitor for increased put buying
Net premium flow negative at $130, $135, $145 strikes — institutional put selling/support at these levels
Max pain trend falling from $121 to $110 over next 16 expirations — suggests gradual downward pull
Read the Theta Gang analysis for COP. This AI-generated report covers regime classification, key price levels, strategy recommendations, and actionable trade ideas drawn from end-of-day options data including gamma exposure, delta exposure, and implied volatility.