thetaOwl
HomeOptionsMRNAReports

MRNA

Moderna, Inc.Close $48.12EOD only
Max Pain
$50.00
Next expiry May 22, 2026
Expected Move
±$2.29
4.8% from close
Price Gap
+1.88
Distance to max pain
IV Rank
8
Low premium
P/C OI
0.86
Slightly call-heavy
Consensus
3/4
Partial coverage
Published snapshot: May 20, 2026 close
End-of-day snapshot

This page reflects MRNA options positioning from the latest published market-close snapshot. Intraday price and contract changes are not displayed.

Published Snapshot
May 20, 2026 close
MRNA Earnings Report
Analysis based on market close March 31, 2026
DirectionalTheta GangFlowEarningsConsensus

Historical consensus-supported lens with full content, report chain context, and metric rail.

Earnings Verdict

Earnings expected ~Apr 30 (31 days out). IV is extremely elevated (81%), making IV crush plays attractive. The stock is pinned near max pain with strong gamma support, suggesting a contained move. Historical EPS beats support a potential upside surprise, but the high-vol market regime adds risk.

Confidence:
6.5 / 10
base 5; +1 high IV (81%) for crush; +0.5 consistent EPS beat history; -0.5 elevated VIX regime; -0.5 gamma pinning near spot
Most important: IV term structure shows a sharp kink at May 1 (31d) expiration to 72.4%, confirming the implied earnings date and offering a clear crush target.
⚠️Earnings date is implied from IV kink at May 1 expiration (~Apr 30). Confirm via company IR.
📈100% EPS beat rate last 4 quarters provides a directional bias for potential upside surprise.
🎯Stock pinned near max pain ($52) with high GEX. Expect resistance to large moves until earnings.

Regime Classification

Vol Regime
High (IV 81%)
Gamma Regime
Pinning (GEX +$28.9M — mean-reverting)
Flow Regime
Mixed (net prem $-49.4M, P/C 0.85)
Spot vs MP
Below max pain by 2.3% (spot $50.80 vs MP $52)
Gamma flip: ~$25.00 — Estimated ~$25 based on put OI concentration. Below this, dealer hedging could amplify downside moves.

Earnings Overview

Next earnings: 2026-04-30 (31 days)implied (IV kink at May 1 expiration)

Expected moves:

  • 5/01 (31d): ±$8.53 (16.8%) [$42.27 - $59.32]

IV Setup

Term structure: Sharp kink at May 1 (31d) to 72.4% vs 67.7% (Apr 24) and 75.0% (May 8). Front-week (Apr 2) IV at 71.2% is also elevated.

Crush estimate: ~10-15 vol pts post-earnings, back to ~60-65% range.

Skew: P/C OI ratio near 1.00 indicates balanced positioning. Unusual deep OTM put flow (e.g., $85, $135 Dec'26) suggests long-term hedging/tail risk buying.

Historical Context

Beat rate: 100% (4/4 quarters)

Avg move vs expected: No price move data provided, but consistent EPS beats suggest positive directional bias.

Directional bias: Implied positive given 100% EPS beat rate over last 4 quarters.

Key Levels

1$52 max pain (near-term)
2$50 call OI wall (25,550)
3$40 put OI wall (14,290)
4EM: $42 - $59

Flow Highlights

Massive net put premium at strikes $200, $230, $135, $125 (millions $ negative net).

Institutional long-dated downside hedging or tail-risk purchases, not directly related to near-term earnings.

Large $30 call net premium (+$1.42M).

Significant bullish flow at a deep ITM strike, possibly for financing or delta exposure.

Strategies

Short Iron Condor (IV Crush)
Sell $42.5/$40P x $59/$61C 5/01
Credit: $1.50-$2.00
Max loss: $3.50
Max gain: $1.75
BE: $41.75 / $59.25
Trigger: Enter 5-7 days before expected earnings (late April).
Capitalizes on extreme IV (81%) and expected crush. Strikes calibrated just outside the expected move to provide a cushion, acknowledging historical beats.
Outperforms: Stock stays within the 16.8% expected move bounds and IV crushes post-earnings.
Underperforms: Stock gaps beyond short strikes ($40 or $61).
Long Put Calendar Spread (Directional Bearish/Vol Play)
Buy $50 put 5/01 (long), Sell $50 put 4/24 (short)
Max loss: Debit paid
Max gain: Theoretical: short put decays rapidly post-earnings while long put retains longer-dated vol.
BE: Complex; benefits from IV crush on short leg and spot below $50.
Trigger: Enter 1-2 weeks before earnings.
Targets the gamma pinning at $50/$52 and high front-week IV. Benefits from crush on the short-dated option while maintaining longer-dated optionality. Aligns with spot below near-term max pain.
Outperforms: Stock is at or below $50 post-earnings and IV crushes sharply on the front week (Apr 24).
Underperforms: Stock rallies sharply or IV does not crush as expected.
Long Straddle (Directional Breakout)
Buy $51 straddle 5/01
Max loss: Debit paid (~$8.53 estimated cost based on EM)
Max gain: Unlimited
BE: $42.47 / $59.53 (using EM as cost proxy)
Trigger: Enter if IV dips into earnings or on a volatility pullback.
High historical beat rate and elevated IV can lead to larger-than-expected moves. The straddle buys the expected move, betting on an overshoot. Risk is high due to expensive premium.
Outperforms: Actual move exceeds the 16.8% expected move by a significant margin (>30%).
Underperforms: Stock pins near $51 and IV crushes post-earnings.

Risk Assessment

!Gap Risk: Expected move is wide (±16.8%). A binary outcome on pipeline/news could cause a gap beyond strikes.
!IV Crush Impact: Critical for short premium strategies. If VIX remains elevated, crush may be less severe.
!Liquidity: Options are liquid (768k OI) but not hyper-liquid. Focus on strikes with high OI ($40, $50, $53, $56).
!Sizing: Size small due to high volatility and binary event nature. High IV means wide bid-ask spreads.

What to Watch

?IV trajectory into late April — any spike above 85% favors short premium.
?Spot price action relative to $52 max pain and $50 gamma level.
?Unusual activity in May 1 expiration for confirmation of positioning.
How to Use These Reports
This earnings reflects the market close on March 31, 2026.
What the reports do

Each report translates the same market-close options snapshot into a specific lens such as directional bias, premium-selling posture, flow quality, or earnings setup.

How traders use them

Reports are most useful for narrowing the playbook, surfacing entry and risk context, and deciding which raw data page to inspect next.

What to remember

These are interpretation layers, not execution guarantees. Validate the setup against chain liquidity, expected move, and exposure before sizing risk.

If the report conviction and the raw data disagree, slow down and resolve the mismatch before sizing risk.