JPM Theta Gang Report
Analysis based on market close March 31, 2026
Theta Verdict
Confidence:7 / 10
base 5; +1 strong pinning regime; +1 normal IV; +1 rising max pain trend; -1 mixed flow
IV Environment
IV Regime
Normal
IV vs VIX
IV 28.7% — Normal for large-cap financial
Favorable?
Yes
Term structure: Humped at 4/17 (33.7%), elevated at 5/08 (34.6%)
Normal IV provides decent premium without excessive risk
Term structure hump at 4/17 offers higher premium for 45 DTE
Pin Risk Assessment
Spot vs MP: Above max pain by 1.4% (spot $294.16 vs MP $290)
GEX regime: Strong Pinning (GEX +$26.9M — mean-reverting)
Gamma flip: ~$200.00 — Gamma flip far below at ~$200, current regime strongly pinning
OI concentrations: Major put walls: $200 (14.5K), $250 (13.9K), $230 (9.2K). Call wall: $320 (11.2K)
Verdict: Highly favorable — strong positive GEX and major OI concentrations support pinning near current levels
Premium Opportunities
#1
put spread
Sell $280/$275 put spread 4/17 (17 DTE)
Strong pinning regime with positive GEX. $280 has 5,537 OI providing support. Current price well above. 17 DTE captures elevated IV (33.7%) at term structure hump.
Mgmt: Close at 65% profit. Exit if price closes below $282.50 (below short strike). Roll down/out if tested but pinning holds.
#2
iron condor
Sell $280/$275P x $310/$315C 4/17 (17 DTE)
Capitalizes on strong pinning between major OI levels ($280P, $310C). Expected move ±$16.77 provides buffer. Positive GEX supports range-bound price action.
Mgmt: Close at 50% profit. Manage wings independently: roll tested side out in time. Exit if price breaches either short strike by more than $2.
#3
cash-secured put
Sell $280 put 5/15 (45 DTE)
Longer DTE captures time decay with solid support at $280 OI. 45 DTE IV (30.9%) reasonable. Willing to own at $280 in pinning regime.
Mgmt: Close at 50% profit. Roll down/out if price approaches $282. Monitor for early assignment risk if deep ITM.
#4
call credit spread
Sell $310/$315 call spread 4/24 (24 DTE)
Call side of iron condor isolated. $310 is major call OI (5,819) creating resistance. Current price $294 provides $16 buffer to short strike.
Mgmt: Close at 65% profit. Exit if price closes above $308. Roll up/out if tested but resistance holds.
Risk Alerts
Earnings estimated 4/14/2026 (~2 weeks) — close or roll all short premium positions before announcement
Mixed flow regime (net prem $27.2M, P/C 0.81) suggests some directional uncertainty
Unusual put activity at $250 (4/10) and $230 (5/8) with high IV (>49%) — monitor for downward pressure
Max pain rising trend ($290 → $310) suggests upward bias over time, but near-term pinning at $290
Ex-dividend dates not provided — check for upcoming dividends to avoid early assignment on short calls
Read the Theta Gang analysis for JPM. 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.