ThetaOwl

COST Earnings Report

Analysis based on market close March 31, 2026

Earnings Verdict

Earnings in ~58 days. IV is normal (29%), and the expected move is modest (±2.9% for 10d). The stock is pinned above max pain with strong gamma support. Best strategy is selling premium via a short strangle, capitalizing on pinning and a low expected move. Key risk is a break below the $820 gamma flip level.

Confidence:
5 / 10
base 5; +0 strong pinning; +0 normal vol; -0 limited historical data
Most important: Strong pinning regime (GEX +$11.7M) and spot well above max pain suggest mean-reverting price action, favoring premium sellers.
📅Earnings confirmed for 5/28, ~58 days out. IV not yet elevated.
📍Strong pinning regime (GEX +$11.7M) supports range-bound price action.
⚠️Gamma flip at $820. A break below could lead to volatile downside.

Regime Classification

Vol Regime
Normal (IV 29%)
Gamma Regime
Pinning (GEX +$11.7M — mean-reverting)
Flow Regime
Mixed (net prem $47.0M, P/C 1.41)
Spot vs MP
Above max pain by 1.9% (spot $996.43 vs MP $978)
Gamma flip: ~$820.00Below $820, dealers may amplify downward moves due to put OI concentration.

Earnings Overview

Next earnings: 2026-05-28 (58 days)explicit

Expected moves:

  • 5/01 (31d): ±$25.20 (2.5%)
  • 5/08 (38d): ±$29.60 (3.0%)
  • 5/15 (45d): ±$61.20 (6.1%)

IV Setup

Term structure: Flat to slightly upward sloping. No significant earnings kink yet (IV ~23-26% across expirations).

Crush estimate: Minimal. IV is not elevated, so crush magnitude will be low.

Skew: P/C volume ratio of 1.41 indicates more put volume, but OI ratio is balanced (1.04).

Historical Context

Historical earnings data not available.

Key Levels

1$820 gamma flip
2$977.5 max pain (closest)
3$1000 call OI wall
4EM 5/08: $965 - $1025

Flow Highlights

Massive net call premium at deep OTM strikes ($460C: +$22.9M).

Likely long-dated, far OTM call spreads or financing for other positions, not a near-term directional bet.

Unusual volume in 4/17 $580 Put (Vol=1,103, IV 132%).

Possible tail-risk hedge or speculative bearish bet, but strike is ~42% OTM, making it an expensive lottery ticket.

Strategies

Short Strangle (Gamma Pinning Play)
Sell $965 Put / Sell $1025 Call, exp 5/08
Credit: $8.00-$12.00
Max loss: Unlimited
Max gain: $10.00
BE: $955 / $1035
Trigger: Enter now or on a bounce toward $1000.
Capitalizes on strong pinning regime (GEX +$11.7M), spot above max pain, and a modest expected move. Strikes are placed just outside the 5/08 expected move bounds.
Outperforms: Stock remains pinned between $980-$1010, IV stays flat or decays.
Underperforms: Stock gaps beyond breakevens, especially below $955.
Put Credit Spread (Bullish Bias)
Sell $960 Put / Buy $950 Put, exp 5/08
Credit: $2.50-$3.50
Max loss: $6.50
Max gain: $3.00
BE: $957.00
Trigger: On a pullback toward $990.
Defined-risk way to express a bullish view anchored by the pinning regime and max pain at $977.5. Provides a cushion below the expected move lower bound.
Outperforms: Stock stays above $960, benefiting from pinning and positive gamma.
Underperforms: Stock breaks below $950, violating key support.
Long Call Diagonal (Earnings Prep)
Buy $1000 Call exp 6/18 / Sell $1025 Call exp 5/08
Max loss: Debit paid
Max gain: Uncapped above $1025, reduced by short call
BE: $1000 + net debit
Trigger: Enter 3-4 weeks before earnings if IV remains low.
A low-cost way to position for a potential pre-earnings rally while financing the trade with a short-dated call. Benefits from IV expansion closer to the event.
Outperforms: Stock grinds higher into May, and IV expands into earnings.
Underperforms: Stock stagnates or falls, suffering time decay on long leg.

Risk Assessment

!Gap risk: The 5/08 expected move is ±3.0%. A break below $820 gamma flip could trigger accelerated selling.
!IV crush risk: Low, as current IV is not elevated. Primary risk is directional.
!Liquidity: Excellent, with 147 active strikes and tight spreads expected near the money.
!Sizing: Keep position size modest due to the binary risk of a break below the gamma flip level.

What to Watch

?Price action relative to $977.5 max pain and $1000 psychological level.
?Any buildup of OI or IV in the May expirations as earnings approaches.
?VIX trajectory for broader market vol context.

Read the Earnings analysis for COST. 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.

COST Earnings Report | ThetaOwl