ThetaOwl

GS Theta Gang Report

Analysis based on market close April 6, 2026

DirectionalTheta GangFlowEarningsConsensus

Theta Verdict

Attractiveness7.5 / 10
Sizing: Moderate
Primary: Sell put spreads near OI support
Invalidation: Close below $740 gamma flip
Confidence:
6 / 10
base 5; +2 GEX/flow strongly aligned; +1 GEX positive (pinning); -0.5 spot 3.1% from MP; -1.5 liquidity constraint

IV Environment

IV Regime
Normal
IV vs VIX
IV 41.9% — no VIX provided for comparison
Favorable?
Yes

Term structure: Humped at 4/17 (47.3%), 5.5 vol-points above 4/10 (41.8%) — inversion favors reverse calendars

💰IV 41.9% provides attractive premium
📊IV term structure inversion: 4/10 IV 41.8% vs 4/17 IV 47.3% (5.5-point differential)

Pin Risk Assessment

Spot vs MP: Above by 3.1%

GEX regime: Pinning (GEX +$5.7M)

Gamma flip: ~$740.00 — Below $740, dealers amplify moves

OI concentrations: Call wall $925 (2,195 OI), put floor $740 (2,105 OI)

Verdict: Favorable — positive GEX and OI clusters create strong pinning magnets

Premium Opportunities

#1
reverse calendar spread
Buy $870 call 4/17, sell $870 call 4/10
IV term structure inversion: 4/10 IV 41.8% vs 4/17 IV 47.3% (5.5-point differential). Strike near spot ($866.05) and GEX pin magnet ($870). Capitalizes on volatility mispricing.
Debit: $-1.50-$-2.00
Max loss: $2.00
BE: Requires modeling; profit if near-term IV rises or term structure normalizes
Mgmt: Close if IV differential narrows to <2 points or at 50% max profit; exit if spot moves >±3% from strike
#2
put spread
Sell $800/$795 put spread 4/10 (4 DTE)
High IV (51.4% at $800 put), spot well above strike, near max pain $840. Weekly defined risk in pinning regime.
Credit: $0.35-$0.45
Max loss: $4.55
BE: $799.55
Mgmt: Close at 70% profit; exit if spot closes below $810
#3
put spread
Sell $825/$820 put spread 4/17 (11 DTE)
11 DTE captures IV hump (47.3%), strike below max pain $850 and near-term support. Positive GEX at $865/$870 provides buffer.
Credit: $0.80-$1.20
Max loss: $4.20
BE: $824.20
Mgmt: Close at 60% profit; roll down/out if spot breaches $840
#4
iron condor
Sell $825/$820P x $900/$905C 4/17 (11 DTE)
Range bound by expected move ($812.40-$919.70) and OI clusters. Call side uses $900 call wall (2,388 OI), put side uses $825 support.
Credit: $1.50-$2.00
Max loss: $3.50
BE: 818.50/906.50
Mgmt: Close at 50% profit; adjust if either short strike tested

Risk Alerts

!Earnings 4/13 — close all short premium positions before announcement
!Gamma flip $740 — breach would trigger dealer selling acceleration
!Moderate liquidity — multi-leg strategies face slippage; use limit orders
!Unusual put flow at $830-$840 (4/10) suggests near-term bearish pressure
!VIX not provided — monitor for broad market vol spikes
!Reverse calendar spread is sensitive to IV changes and theta decay mismatch — manage closely

Read the Theta Gang analysis for GS for 2026-04-06. 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.