Earnings Verdict
Earnings in ~85 days (est. June 24). IV is extremely elevated (78%), but the term structure shows a massive kink at the April 2 expiration, indicating a significant near-term event is priced in. The best strategy is to sell premium into this front-month IV spike, with a directional bias towards the upside given the strong bullish flow.
base 5; +1 high IV (78%); +0.5 clear term structure kink; -0.5 trending gamma regime; -0.5 limited historical data
Most important: Front-month (April 2) IV of 82% is 11+ vol points above the 70-71% term structure, signaling a major near-term catalyst. This is the earnings proxy.
⚠️Next official earnings is ~85 days away (June 24). The April 2nd expiry acts as a major event proxy with 82% IV. Trade the front-month catalyst.
📈Flow is overwhelmingly bullish (+$488M net premium). Market positioning favors upside.
Regime Classification
Gamma Regime
Trending (GEX $-7.4M — pro-cyclical)
Flow Regime
Bullish (net prem +$488.3M, P/C 0.61)
Spot vs MP
Below max pain by 10.5% (spot $337.84 vs MP $378)
Gamma flip: ~$300.00 — Below $300, negative GEX could accelerate selling pressure.
Earnings Overview
Next earnings: 2026-06-24 (85 days)explicit
Expected moves:
- 4/02 (2d): ±$32.03 (9.5%)
- 4/10 (10d): ±$41.58 (12.3%)
IV Setup
Term structure: Extreme kink at 4/02 (82.1% IV) vs 71.1% for 4/10. Steep drop post-4/02.
Crush estimate: ~11-12 vol points post-event, back to ~71%
Skew: Flow heavily bullish (P/C 0.61). Unusual activity shows heavy put selling in front month (e.g., $360P, $370P).
Historical Context
Beat rate: 100% (4/4 quarters)
Avg move vs expected: No explicit historical move data provided. Strong EPS beat history.
Directional bias: Consistent positive EPS surprises.
Key Levels
1$300 gamma flip / major PUT OI
2$377.5 max pain (3/27)
3$347.5 max pain (4/02)
4EM: $305 - $370 (4/02)
Flow Highlights
Massive bullish premium flow at $360 (+$52.7M net) and $350 (+$48.8M net).
Institutions are buying calls/selling puts, positioning for upside.
Unusual Volume in 4/02 puts ($360P, $370P) at 7.9x-8.3x OI with IV 54-59%.
Likely short put sales (premium collection) ahead of the event, a bullish/boundary bet.
Strategies
Front-Month Strangle Sale (IV Crush)
Sell $305 PUT / $370 CALL Strangle (4/02)
Trigger: Enter now to capture full elevated IV.
Exploit the 11+ vol point premium in the front month. Historical beats and bullish flow support a contained or upward move.
Outperforms: Stock stays within the 9.5% EM. IV crushes as expected.
Underperforms: Gap exceeds EM by >30%. Trending gamma regime could amplify a breakout.
Bullish Put Spread (Defined Risk)
Buy $320 PUT / Sell $300 PUT (4/10)
Trigger: Enter on any dip towards $330.
Aligns with bullish flow and OI support at $300. Defined risk in a high IV environment. Uses 4/10 expiry for slightly lower IV and more time.
Outperforms: Stock stays above $315.5. Benefits from IV crush and positive delta.
Underperforms: Stock breaks below $300 gamma flip, triggering accelerated selling.
Calendar Spread (Play the IV Drop)
Sell $340 CALL (4/02) / Buy $340 CALL (4/10)
Trigger: Enter 1-2 days before 4/02 expiration.
Pure volatility arbitrage on the steep IV term structure kink. Targets the IV crush in the front week.
Outperforms: Stock pins near $340 on 4/02. Front-month IV collapses faster than back-month.
Underperforms: Large directional move away from $340, especially above, as short front call loses more than long back call gains.
Risk Assessment
!Gap Risk: High. 9.5% EM is large. Trending (negative) gamma regime means dealers amplify moves, increasing gap risk.
!IV Crush: Significant (~11 vol points) expected post-4/02 event. Long premium strategies face steep decay.
!Liquidity: Excellent (2.3M+ OI). Top strikes have deep markets.
!Sizing: Use reduced size due to high implied volatility and pro-cyclical gamma.
What to Watch
?Price action relative to $347.5 (4/02 max pain)
?Unusual put selling volume in April 2nd expiry for clues on pin risk
?VIX term structure for broader market vol context