Earnings Verdict
Earnings expected ~April 22-23 (24 days out). IV is highly elevated (68% for nearest expiry), presenting a classic IV crush setup. Historical data shows a consistent pattern of positive EPS surprises and upward moves. The best strategy is a short premium play, capitalizing on the high IV and historical tendency to under-move relative to elevated expectations.
base 6; +1 strong historical beat rate; +0.5 elevated IV & clear term structure kink; -0 high VIX environment
Most important: IV term structure shows a massive kink at the 4/24 expiry (58.7% vs 55.6% for 4/17), strongly implying earnings between 4/17 and 4/24, aligning with the provided 4/22-23 dates.
📈Perfect 4/4 EPS beat history. Strong directional bias to the upside.
⚡IV for nearest expiry (68.3%) is extremely elevated, offering rich premium to sell.
📍Spot ($108.25) is 8.2% above max pain ($100), suggesting some gravitational pull lower is possible.
Regime Classification
Gamma Regime
Pinning (GEX +$3.3M — mean-reverting)
Flow Regime
Bullish (net prem +$15.0M, P/C 0.60)
Spot vs MP
Above max pain by 8.2% (spot $108.25 vs MP $100)
Gamma flip: ~$95.00 — Gamma flip estimated at ~$95. Below this, dealer hedging could accelerate selling.
Earnings Overview
Next earnings: 2026-04-22 (22 days)inferred from term structure kink between 4/17 and 4/24, aligning with provided dates
Expected moves:
- 4/24 (24d): ±$14.10 (13.0%)
- 5/01 (31d): ±$15.57 (14.4%)
IV Setup
Term structure: Extreme kink at 4/02 (68.3%), elevated through 5/01 (~58%). Sharp drop to 53.5% by June.
Crush estimate: ~10-15 vol pts post-earnings, back toward 50-55% range.
Skew: Flow is net bullish (P/C 0.60), but OI shows large put walls at $95 and $105.
Historical Context
Beat rate: 100% (4/4 quarters)
Avg move vs expected: Cannot compute exact % move from provided data, but consistent positive EPS surprises of +$0.19 to +$0.37 suggest bullish bias.
Directional bias: Strongly bullish based on consecutive positive EPS surprises.
Key Levels
1$95 (Major PUT OI wall)
2$105 (PUT OI cluster)
3$120 (CALL OI wall)
4EM 4/24: $94 - $122
5Gamma Flip ~$95
Flow Highlights
Massive bullish premium flow in deep OTM calls ($50, $55, $65, $80). Net premium +$15.0M overall.
Institutional or speculative long-dated bullish positioning, not necessarily an earnings bet.
Unusual activity in 4/10 $110 Puts (Vol 638 vs OI 333) and 4/02 $116 Calls (Vol 1,061 vs OI 366).
Mixed near-term signals: put buying for protection/hedge, call buying for a potential pop.
Strategies
Short Iron Condor (Post-Earnings IV Crush)
Sell $95/$90 Put spread x Sell $125/$130 Call spread, 5/01 expiration.
Trigger: Enter 1-2 days before earnings (targeting peak IV).
Capitalizes on elevated IV (58.7% for 5/01) and historical tendency to beat. Strikes place short puts below key OI support ($95) and short calls above the expected move upper bound.
Outperforms: Stock stays between $95 and $125 through May expiration; IV crushes as expected.
Underperforms: Stock gaps outside of $90-$130 range.
Long Put Butterfly (Directional, Cautiously Bearish Hedge)
Buy 1x $105 Put, Sell 2x $100 Puts, Buy 1x $95 Put, 5/01 expiration.
Trigger: Enter if stock rallies into earnings, providing a hedge against a drop to the $95-$100 support zone.
Targets the high OI put zone ($95, $105) and gamma flip level (~$95). Provides defined risk exposure to a mean-reverting move down from current elevated spot vs. max pain.
Outperforms: Stock closes near $100 at May expiration.
Underperforms: Stock stays above $105 or crashes below $95.
Calendar Spread (Pure IV Crush Play)
Sell 4/24 $108 Call, Buy 5/01 $108 Call.
Trigger: Enter 5-7 days before earnings.
Exploits the steep IV term structure kink. The short leg (68.3% IV) is expected to deflate more than the long leg (57.7% IV) after the event.
Outperforms: IV crushes on the front-month (4/24) post-earnings while longer-dated IV (5/01) holds relatively steady. Stock price stable.
Underperforms: Stock makes a large move, or IV rises further into earnings.
Risk Assessment
!Gap Risk: Expected move is wide (±13-14%). A break of the $95/$125 range could trigger significant losses for short premium strategies.
!IV Crush Impact: Critical for long premium/calendar strategies. If IV remains elevated due to macro (VIX) or sector volatility, crush may be less severe.
!Liquidity: Options are liquid (489k OI, 101 active strikes), but watch bid/ask spreads on OTM strikes near earnings.
!Sizing: Size short premium strategies conservatively (<2% risk capital) given the high IV and potential for outsized moves in a volatile regime.
What to Watch
?IV trajectory on the 4/24 and 5/01 expiries into the event.
?Spot price action relative to the $105 put OI cluster and $120 call wall.
?Any guidance or commentary on gold prices/production costs, which are key drivers for NEM.