base 5; +2 extremely high IV; +1 pinning regime; +1 spot below max pain; -2 extreme stock volatility
Term structure: Steep upward slope from 63% (2 DTE) to ~88% (45-79 DTE), then flat. Peak IV around 38-79 DTE.
Spot vs MP: Spot $28.83 is 7.0% below nearest max pain ($31 on 3/27).
GEX regime: Pinning (Positive GEX +$2.3M). Dealers are net long gamma, promoting mean reversion.
Gamma flip: ~$20.00 — Estimated ~$20 based on large $20 Put OI (12,034). Below this, negative delta hedging could accelerate selling.
OI concentrations: Major Put walls at $30 (18.5K OI) and $20 (12K OI). Major Call wall at $40 (13K OI).
#1put spread
Sell $25 / Buy $22.5 Put Spread, exp 2026-05-15 (45 DTE)
Sells into extremely high IV (~88%). Strikes are below the massive $30 put OI wall and above the critical $20 gamma flip/support. Provides a 26% buffer from spot to short strike. Targets the 45 DTE IV peak for maximum theta decay.
Mgmt: Close at 65% profit. Roll the spread down/out if $25 is breached. Exit entirely if price closes below $22.50.
#2iron condor
Sell $25/$22.5 Put Spread & Sell $35/$37.5 Call Spread, exp 2026-05-15 (45 DTE)
Capitalizes on high IV across both sides. Call wing is placed above the $35 call OI wall and near the 45 DTE expected move high ($36.12). Put wing is the same as Opportunity #1. Positive GEX supports a range-bound pin between major OI levels.
Mgmt: Close at 50% profit. Manage wings independently: roll tested side out for a credit. Exit entire position if price breaches either short strike.
#3cash-secured put
Sell $22.5 Put, exp 2026-06-18 (79 DTE)
For capital-secure sellers comfortable with assignment. Targets the major $20 OI support/gamma flip level. Collects massive premium (~16-20% of strike) for 79 DTE. High IV and pinning regime provide a strong tailwind.
Mgmt: Roll down/out for a credit if tested. Be prepared to take assignment below $19.00 breakeven, which is near the estimated gamma flip.
#4call credit spread
Sell $35 / Buy $37.5 Call Spread, exp 2026-04-17 (17 DTE)
Shorter-dated play on resistance at the large $35 call OI wall (12.6K OI). Spot is 21% below the short strike. Uses weekly expiration in a high-IV environment for rapid theta decay. Complements a bullish pinning thesis.
Mgmt: Close at 80% profit. Exit if price closes above $35. Do not hold through earnings (May 6th).
!Earnings estimated 2026-05-06 (~36 days out). Close all short premium positions at least 1 week prior to avoid IV crush and gap risk.
!Gamma flip estimated at ~$20. A break below this level could lead to accelerated selling due to dealer hedging. This is the ultimate risk level for put sellers.
!Extreme Implied Volatility (98%) indicates the market prices in huge swings. While great for premium, it warns of underlying instability.
!Bearish Flow Regime: Net premium flow is -$30.2M (P/C 1.74), indicating more money paid for puts. This is a contrarian signal for our premium selling but warrants caution.
!Unusual Activity: Large block of June $30 Puts traded (37k volume vs 2.2k OI). This could be a hedge or a directional bet. Monitor $30 level closely.