Earnings Verdict
Earnings in 14 days (4/16). IV for the post-earnings expiry (4/17) remains sharply elevated at 49.4% vs 29.3% pre-earnings, pricing a ±7.9% move. Historical data shows NFLX consistently under-moves its expected move and has a high beat rate, strongly favoring premium-selling strategies. The key risk is the elevated VIX environment potentially muting the IV crush.
base 5; +1 explicit earnings date (4/16); +1 strong historical under-move data; +1 IV kink is sharp and earnings expiry is clearly identified; +0.5 spot closer to max pain, pinning more likely; -1 elevated VIX environment may dampen crush magnitude
Most important: Historical under-move pattern (2.4% actual vs 4.3% prior EM) is the primary edge. Spot has moved closer to max pain ($92), increasing pinning probability.
📅Earnings date confirmed as ~4/16 based on EPS estimate and sharp IV kink at 4/17 expiry. 14 days out allows time for IV to build further.
📈Key change from prior report: Spot rose to $98.66, moving closer to max pain ($92) and increasing pinning potential. Expected move tightened slightly (±7.9% vs ±8.6%).
⚠️Elevated VIX environment may reduce the magnitude of the post-earnings IV crush, a headwind for pure IV crush strategies.
Regime Classification
Vol Regime
Normal (IV 48%)
Gamma Regime
Pinning (GEX +$188.2M — mean-reverting)
Flow Regime
Mixed (net prem $60.1M, P/C 1.07)
Spot vs MP
Above max pain by 7.2% (spot $98.66 vs MP $92)
Gamma flip: ~$5.00 — Extremely low gamma flip (~$5) due to massive put OI at $5, indicating structural support is irrelevant. Gamma regime remains pinning/mean-reverting.
Earnings Overview
Next earnings: 2026-04-16 (14 days)implied (EPS estimate for 4/16, IV kink at 4/17 expiry)
Expected moves:
- 4/17 (15d): ±$7.80 (7.9%) [$90.86 - $106.46]
IV Setup
Term structure: Sharp kink at 4/17 expiry (49.4% IV), elevated vs 4/10 (29.3%) and 4/24 (44.7%).
Crush estimate: ~15-20 vol pts post-earnings, back to ~30-34% range.
Skew: P/C ratio of 1.07 indicates balanced recent flow, a shift from prior put-heavy skew.
Historical Context
Beat rate: 75% (3/4 quarters shown)
Avg move vs expected: Actual 2.4% vs prior EM 4.3% — consistently under-moves
Directional bias: 3/4 quarters gap up post-earnings
Key Levels
1Max Pain (4/17): $92
2EM Bounds: $91 - $106
3Call OI Wall: $100 (67,263 OI)
4Spot: $99
Flow Highlights
Heavy volume in $98P and $98C 4/10 (5,313 and 15,375 vol respectively), both at ~30% IV.
Near-term straddle/strangle activity around current spot, likely closing or rolling positions ahead of earnings.
Massive net premium inflow to $100C (+$7.3M) and $90C (+$3.7M).
Significant bullish call buying at key resistance ($100) and support ($90), indicating institutional positioning for a move within that range.
Strategies
Iron Condor (Premium Sale)
Sell $90/$85P x Buy $107/$112C 4/17
Trigger: Enter 3-5 days before earnings (4/11-4/13)
Historical under-move edge is the core thesis. Wings are placed just outside the expected move bounds ($91/$106) to capture elevated IV while targeting a move within half the EM. The 7.9% EM provides a wide buffer. Adjusted from prior report to reflect new EM bounds.
Outperforms: Stock stays within historical under-move range (roughly ±3-4%).
Underperforms: Gap exceeds ±10% (outside condor wings).
Short Strangle (Higher Credit)
Sell $90P x Sell $107C 4/17
Trigger: Enter 2-3 days before earnings if IV on 4/17 expiry > 48%.
Maximizes credit from elevated IV and expected crush. Wider breakevens than the condor (by ~$3 on each side) due to no long wings. Optimal for accounts comfortable with undefined risk, betting heavily on the historical under-move and pinning. Strikes updated for new EM.
Outperforms: Stock stays between $91 and $106.
Underperforms: Sharp gap beyond breakevens.
Put Calendar Spread (IV Crush Play)
Buy $92P 4/24 (44.7% IV) x Sell $92P 4/17 (49.0% IV)
Trigger: Enter 7-10 days before earnings to capture full IV kink.
Exploits the ~4.7 vol point kink between 4/17 and 4/24 expiries. Targets the $92 max pain level for 4/17. The short leg in the earnings expiry will experience severe crush, while the longer-dated long leg retains more time value. Strike updated to current max pain.
Outperforms: IV crushes post-earnings and stock is near or below $92 (max pain).
Underperforms: Stock rallies sharply above $100 or IV expands into earnings.
Bullish Risk Reversal (Low-Cost Directional)
Sell $90P 4/17 x Buy $105C 4/17
Trigger: Enter on any dip toward $96.
Capitalizes on historical gap-up bias (3/4 quarters). Sells a put at the lower EM bound to finance a call above the upper EM bound. Defines risk below the lower EM bound for a low-cost, leveraged bullish bet. Strikes updated for new EM and spot.
Outperforms: Stock rallies post-earnings, exceeding $105.
Underperforms: Stock declines below $90.
Risk Assessment
!Gap Risk: Expected move is large (±7.9%). While history favors under-moves, a significant guidance change could trigger a move beyond the wide wings.
!IV Crush: Significant crush (~15-20 vol points) is priced in, but a persistently high VIX may limit the post-earnings volatility drop, hurting short premium strategies.
!Liquidity: Excellent (4.89M+ OI). No issues.
!Sizing: Size premium-selling strategies for max loss of 1-2% of portfolio. The wide EM means position deltas will be low initially.
What to Watch
?IV for the 4/17 expiry—monitor if it climbs above 50% for better credit on short strategies.
?Spot action relative to the $92 max pain for 4/17—a move toward it would increase pinning probability.
?Flow in the $90 put and $107 call strikes as earnings approach for last-minute positioning clues.