base 4; +1 high IV; +1 pinning regime; +1 spot above MP; -2.5 low liquidity (OI 40K)
Term structure: Humped at 38 DTE (48.4%) and 45 DTE (52.3%). Backwardation from 2d to 10d, then upward sloping.
Spot vs MP: Above max pain by 4.8% (spot $1729 vs MP $1650)
GEX regime: Pinning (Total GEX +$151K, positive but small magnitude)
Gamma flip: ~$1620.00 — Gamma flip estimated at ~$1620 based on put OI concentration. Below this, dealer hedging could amplify downside moves.
OI concentrations: Major Put Walls: $1620 (OI 354), $1560 (OI 347), $1600 (OI 320). Major Call Wall: $1320 (OI 366).
#1put spread
Sell $1620/$1560 Put Spread, Exp 2026-05-15 (45 DTE)
Targets the largest put OI wall ($1620) for support. 45 DTE captures peak IV (52.3%) and allows for theta decay. Credit is 25-30% of spread width. Well above gamma flip.
Mgmt: Close at 65% max profit (~$8-12 credit kept). Exit if MELI closes below $1640 (just above near-term max pain). Roll not advised due to liquidity; manage by closing.
#2cash-secured put
Sell $1650 Put, Exp 2026-04-24 (24 DTE)
Strike aligns with near-term max pain ($1650 for 3/27) and 24 DTE expected move ($135). Collects rich premium with ~2% downside cushion. Suitable for those willing to own MELI at a 4.6% discount.
Mgmt: Close at 50% profit. Roll down/out only if strike is tested and IV remains elevated (>40%).
#3call credit spread
Sell $1920/$1940 Call Spread, Exp 2026-05-01 (31 DTE)
Defined-risk bearish hedge. Strike is above the 31 DTE expected move high ($1885) and near a call OI wall ($1920 OI 304). IV is still elevated (41.8%) at this expiry.
Mgmt: Close at 50% profit. Exit if MELI closes above $1850 (approaching short strike).
#4iron condor (illustrative)
Sell $1620/$1560 Put Spread & $1920/$1940 Call Spread, Exp 2026-05-01 (31 DTE)
Illustrative only due to liquidity. Combines top put and call spread ideas for a non-directional, high-IV play. Range ($1560-$1920) is wide, encompassing multiple max pain points.
Mgmt: Close entire position at 50% profit. Leg out of tested side if necessary. Likely challenging to execute; consider separate spreads instead.
!Earnings 2026-05-07 (38 days away): IV will crush post-earnings. Close all short premium positions before the announcement.
!Low Liquidity (40,678 Total OI): Bid-ask spreads will be wide, especially for multi-leg strategies. Credit received may be lower than theoretical.
!Gamma Flip ~$1620: A close below this level risks accelerated selling due to dealer gamma hedging. Exit all credit put positions.
!Net Premium Flow Negative (-$14.4M): Suggests more premium paid for puts than calls, indicating institutional hedging or bearish positioning.
!IV Term Structure Kink: High IV at 38-45 DTE (48-52%) may compress, leading to vega risk for longer-dated positions.