Earnings Verdict
Earnings expected around 4/02 (6 days). IV has surged to extreme levels (114%), making premium selling the primary play. The spot has rallied closer to max pain, but massive OTM put buying and pro-cyclical gamma remain significant risk factors. The expected move has expanded to ±10.9%.
base 5; +1 for extreme IV (114%) and clear crush setup; +1 for historical under-move pattern; -0.5 for pro-cyclical gamma amplifying risk; -0.5 for contradictory flow signals and moderate liquidity; +0.5 for spot moving further toward max pain (now 4.7% below vs 2.8% prior)
Most important: IV has jumped ~9 points since yesterday, confirming extreme earnings premium. The spot rally toward $34 max pain is constructive, but the persistent massive OTM put wall ($40P, $75P) signals unresolved catastrophic risk.
⚠️IV has surged to 114%, confirming extreme earnings premium. Confidence in crush plays is higher, but binary event risk remains elevated.
📈Spot rally from $32.12 to $31.94 brings it closer to the $34 max pain (4.7% below vs 2.8% prior), supporting a continued grind higher into the event.
🎯Expected move has expanded to ±$3.48 (10.9%). The $27.50 call OI wall and $30 put OI wall are key magnetic levels for a bounded post-earnings move.
Regime Classification
Vol Regime
Extreme (IV 114%)
Gamma Regime
Trending (GEX $-0.1M — pro-cyclical)
Flow Regime
Mixed (net prem $-1.0M, P/C 0.50)
Spot vs MP
Below max pain by 4.7% (spot $31.94 vs MP $34)
Gamma flip: ~$30.00 — Below $30, dealers amplify moves to the downside due to put OI concentration of 5,661 contracts at $30P.
Earnings Overview
Next earnings: 2026-04-02 (6 days)inferred from term structure and expected move kink
Expected moves:
- 4/02 (6d): ±$3.48 (10.9%)
- 4/10 (14d): ±$4.83 (15.1%)
IV Setup
Term structure: Extreme kink at 4/02 expiry (98.4% vs 93.5% for 4/10). IV has surged across all near-term expiries since yesterday (4/02 up from 86.5% to 98.4%).
Crush estimate: ~20-25 vol pts post-earnings, back to ~70-75% range.
Skew: Net premium flow remains heavily negative (-$1.0M), dominated by large put buying at strikes $36-$80, despite a P/C OI ratio of 0.65 favoring calls.
Historical Context
Beat rate: Not provided in dataset
Avg move vs expected: Inferred from prior report: 'Actual 3.2% vs EM 4.1% — under-moves'
Directional bias: Inferred from prior report: '5/8 gap up post-earnings'
Key Levels
1$30 gamma flip / major put OI (5,661)
2$31.94 spot
3$34 max pain (4/02)
4$35.00 max pain (4/02)
5EM Bounds: $28.47 - $35.42 (4/02)
6$27.50 major call OI wall
Flow Highlights
Massive net negative premium at $40P (-$334k), $75P (-$231k), $36P (-$217k). Far OTM put dominance continues, slightly increased in magnitude.
Institutional or large speculative put buying for catastrophic downside protection remains the dominant flow theme, indicating deep fear or hedging against a major drop.
Notable call buying at $32C (+$109k net premium) and $37.50C (+$131k net premium).
Bullish call flow exists alongside the massive put buying, creating a contradictory but potentially range-bound setup. The $37.50 call flow aligns with the $35-$40 zone.
Strategies
Short Strangle (High Risk/High Reward IV Crush)
Sell FIGR $28 Put, Sell FIGR $36 Call, exp 4/02
Trigger: Enter 1-2 days before suspected earnings (3/31-4/01)
Extreme IV (98.4%) favors premium selling. This strangle collects ~10% of the stock price in premium. Short strikes are set ~10% OTM from spot, outside the expected move bounds but inside major OI levels ($30P, $27.50C). Best for high-conviction range-bound play.
Outperforms: Stock stays within $28-$36 at expiration. Captures maximum IV crush.
Underperforms: Stock gaps beyond short strikes. High risk of large loss on a big move.
Call Debit Spread (Bullish, Targeting Max Pain Rally)
Buy FIGR $32 Call, Sell FIGR $35 Call, exp 4/02
Trigger: Enter if spot holds above $32 and shows momentum toward $34 max pain.
Aligns with the spot's rally toward the $34 max pain and near-term call flow at $32 and $37.50. Targets a move to the $34-$35 zone. Defined risk, simple to execute. Historical bias for gap-ups post-earnings provides a tailwind.
Outperforms: Stock rallies to or above $35 at expiration. Benefits from directional move and some IV crush.
Underperforms: Stock stays flat or declines. Loses full debit if below $32.
Put Butterfly (Defined Risk, Moderate Bearish/Bound)
Buy 1 FIGR $30 Put, Sell 2 FIGR $27.50 Puts, Buy 1 FIGR $25 Put, exp 4/02
Trigger: Enter if spot shows weakness and breaks below $31, confirming bearish put flow thesis.
Directly targets the high-OI $27.50 level, which is also the lower bound of the call OI wall and near the expected move low. Defined risk play on a moderate drop to a key level. Cheap to enter due to high IV.
Outperforms: Stock lands at $27.50 at expiration (max gain). Profitable between $28.30 and $26.70.
Underperforms: Stock rallies above $30 or crashes below $25.
Risk Assessment
!Gap Risk: Expected move is ±10.9% ($3.48). Pro-cyclical gamma (GEX -$0.1M) means a break below the $30 gamma flip could trigger accelerated selling. The massive OTM put positions represent tail risk.
!IV Crush Impact: Central to all strategies. IV has surged ~9 points; a crush of 20-25 points is estimated. If crush is less, premium-selling plays underperform.
!Liquidity & Execution: Moderate OI (95k) but concentrated. Multi-leg orders may face slippage; prioritize simpler spreads. The strangle requires careful management.
!Flow Contradiction: Massive OTM put buying vs. near-term call buying and spot rally indicates a market still split. This elevates uncertainty and the potential for a sharp, volatile move in either direction post-earnings.
What to Watch
?Spot price action relative to the $34 max pain level. A hold above $32 supports the bullish call flow thesis.
?Any change in the massive OTM put positions (e.g., $40P, $75P) – covering would be a major bullish signal.
?IV trajectory on the 4/02 expiry into the event—does it continue rising or stabilize?