base 5; -1 GEX/flow contradict; +1 GEX positive (pinning); -0.5 spot 3.4% from MP; +0.5 VIX 20
Term structure: Front-end skew steep (call IV 54.9% vs put 43.0% on 1d); 6/12 shows even higher skew; 6/18 has extreme put IV (177.8%) indicating event risk. Overall term structure is mixed with backwardation near-term.
Spot vs MP: Below
GEX regime: Pinning ($+6.2M)
OI concentrations: Concentrated OI at $600 and $605 on near-term expirations, with call wall at $700-$800.
#1Call credit spread
Sell 2026-06-12 $595.00/$605.00 call spread
Sells $595/$605 call spread to benefit from IV crush and price staying below $605.
Mgmt: Monitor delta; adjust or close if spot breaks $605.
#2Put credit spread
Sell 2026-06-12 $572.50/$555.00 put spread
Sells $572.50/$555 put spread, collecting premium with wide safety buffer.
Mgmt: Set stop at $555; roll if spot approaches.
#3Iron condor
Sell 2026-06-12 $575.00/$555.00 put wing and $595.00/$605.00 call wing
Sells call wing at $595/$605 and put wing at $575/$555 to profit from range-bound price.
Mgmt: Adjust wings if pinning shifts; target 50% profit.
!Front-end IV skew extreme – avoid naked short calls near event.
!Pinning risk at $600/$605 – manage deltas tightly.
!Term structure inconsistency – watch for roll-down risk.