base 4; +1 pinning regime; +1 normal IV; +0.5 spot further above MP; -1 liquidity constraints
Term structure: Humped at 4/17 (46.5%), elevated through May, then declining to ~36%
Spot vs MP: Above by 5.9% (spot $863.04 vs MP $815)
GEX regime: Pinning (GEX +$4.0M — mean-reverting)
Gamma flip: ~$800.00 — Below $800, dealers amplify moves; current spot well above
OI concentrations: Put wall $800 (2,035 OI), Call wall $900 (2,385 OI), Distant Call walls at $1360/$1280
#1put spread
Sell $800/$785 put spread 4/17 (15 DTE)
Targets the major OI support at $800 (2,035 OI), which is below current max pain ($815) and the gamma flip. Spot is $63 above the short strike, offering a large buffer. Positive GEX supports pinning. 15 DTE captures the peak IV (46.5%) for accelerated theta decay.
Mgmt: Close at 65% profit (~$1.50 credit remaining). Exit if GS closes below $815 (breaches max pain). Roll down/out if $800 tested but not breached. CLOSE BEFORE 4/13 EARNINGS.
#2iron condor
Sell $800/$785P x $900/$915C 4/17 (15 DTE)
Plays the clear range between major OI concentrations ($800P, $900C). Positive GEX strongly favors pinning. Expected move is ±$59.55, giving a ~$37 buffer to the call side and a ~$63 buffer to the put side from current price. Collects premium from both sides in a pinning regime.
Mgmt: Close at 50% profit. Manage wings independently: roll tested side out in time. Close entire position if spot breaches $830 or $885. CLOSE BEFORE 4/13 EARNINGS.
#3cash-secured put
Sell $800 put 5/15 (43 DTE)
For premium sellers willing to own GS. Collects high premium at the strongest OI support level. 43 DTE allows time for management and benefits from still-elevated IV (40.0%). Cost basis of ~$778 would be a 9.8% discount to current price and near the 6/18 max pain of $810.
Mgmt: Roll down/out at 21 DTE if put is ATM. Close at 70% profit. Accept assignment below $800 if comfortable with cost basis ~$778. CLOSE OR ROLL BEFORE 4/13 EARNINGS.
#4call credit spread
Sell $900/$885 call spread 4/10 (8 DTE)
A more aggressive, short-delta play against the $900 call wall. Spot is $37 below the short strike. Uses weekly expiration to capitalize on rapid theta decay in a high-probability setup. The 4/10 max pain is $835, suggesting resistance to a large move higher this week.
Mgmt: Close at 80% profit due to short DTE. Exit immediately if GS trades above $885. This is a tactical play—do not hold into earnings week.
!Earnings estimated 4/13 — CLOSE ALL SHORT OPTIONS POSITIONS BEFORE THIS DATE. Never sell naked through earnings.
!Gamma flip at ~$800 — a close below this level could trigger accelerated selling. This is the key invalidation for all put-side strategies.
!Moderate liquidity — multi-leg strategies will face slippage. Use limit orders and assume mid-point of bid-ask for credit estimates.
!Spot has risen significantly ($845 → $863) since prior report, moving closer to the $900 call wall. Monitor for resistance.
!Unusual put activity in 2027 $290 and Sept 2026 $370 puts — suggests some institutional long-term hedging, but not a near-term threat.
!Max pain trend is rising ($815 → $835 across near-term expirations) — could create upward pinning pressure toward $835-$850.