Earnings Verdict
Earnings in 6 days (4/02). IV is elevated (37.7% for post-earnings expiry) vs typical ~30%, making IV crush plays attractive. Historical pattern shows NFLX consistently under-moves its expected move and has a strong beat rate, favoring premium selling strategies. Key risk is a guidance-driven gap beyond historical norms.
base 5; +1 explicit earnings date (4/02); +1 strong historical data; +0.5 elevated IV; -0.5 gamma pinning near spot
Most important: Historical under-move (actual 2.4% vs EM 4.3%) and 88% beat rate strongly support selling premium within the expected move.
📅Earnings confirmed for 4/02 (AMC likely). Post-earnings expiry is 4/02 weekly.
📊Historical edge is clear: 88% beat rate, avg move 2.4% vs 4.3% EM.
⚖️Gamma regime is pinning/mean-reverting with spot near max pain ($92). Expect choppy, range-bound action pre-earnings.
Regime Classification
Gamma Regime
Pinning (GEX +$145.5M — mean-reverting)
Flow Regime
Bullish (net prem +$20.0M, P/C 0.73)
Spot vs MP
Above max pain by 1.4% (spot $93.32 vs MP $92)
Gamma flip: ~$5.00 — Extremely low gamma flip (~$5) due to massive put OI at $5, indicating structural support is irrelevant for near-term spot moves. Gamma regime is pinning/mean-reverting near current spot.
Earnings Overview
Next earnings: 2026-04-02 (6 days)explicit (expected move spike at 4/02 expiry)
Expected moves:
- 4/02 (6d): ±$3.84 (4.1%)
- 4/10 (14d): ±$5.31 (5.7%)
IV Setup
Term structure: Clear kink at 4/17 expiry (47.4% IV), elevated vs surrounding expiries (36-38%). Post-earnings expiry (4/02) at 37.7% is also elevated vs 4/10 (36.2%).
Crush estimate: ~10-15 vol pts post-earnings, back to ~25-27% typical level.
Skew: Flow is bullish (P/C 0.73), but unusual OI shows large, distant put blocks (e.g., $117.50P Jun-26). Near-term skew appears balanced.
Historical Context
Beat rate: 88% (7/8 quarters)
Avg move vs expected: Actual 2.4% vs EM 4.3% — consistently under-moves
Directional bias: 5/8 gap up post-earnings
Key Levels
1Max Pain: $92 (4/02)
2EM Bounds: $89.48 - $97.16
3Call OI Wall: $100 (65,502 OI)
4Spot: $93.32
Flow Highlights
Massive net bullish premium flow (+$20.0M) with P/C ratio 0.73.
Overall options market positioning is bullish heading into earnings.
Heavy volume in $95C 3/27 (45,316 vol vs 12,073 OI) and $93P/$94P 3/27.
Short-dated pinning activity around $93-$95, aligning with max pain.
Large, low-volume trades in far OTM puts (e.g., $117.50P Jun-26, $130P Dec-26).
Likely institutional hedging or structured product flows, not near-term directional bets.
Strategies
Short Iron Condor (Premium Sale)
Sell $89.5/$86P x Buy $97/$100.5C 4/02
Trigger: Enter 1-2 days before earnings (3/31-4/01)
Historical under-move (2.4% avg) vs 4.1% EM provides edge. Selling elevated IV with high probability of crush.
Outperforms: Stock stays within ~±3.0% (historical under-move pattern holds).
Underperforms: Gap exceeds ~±5.0% (breaks historical range).
Long Put Calendar Spread (IV Crush + Downside Hedge)
Buy $90P 4/17 (47.4% IV) x Sell $90P 4/02 (37.7% IV)
Trigger: Enter ASAP to capture IV term structure kink.
Exploits the steep IV kink (47.4% vs 37.7%). Short leg is directly in the earnings expiry and will crush. Long leg retains longer-dated vol for potential follow-through.
Outperforms: IV crushes post-earnings (short leg decays rapidly) and/or stock declines moderately.
Underperforms: Stock rallies sharply (long put loses value) or IV rises further into earnings.
Bull Put Spread (Flow-Aligned Directional)
Sell $89P x Buy $86P 4/02
Trigger: Enter on any pullback to $92.50-$93.00 before earnings.
Aligns with bullish flow (P/C 0.73, net prem +$20M) and historical gap-up bias (5/8 quarters). Defines risk below the expected move lower bound.
Outperforms: Stock stays above $89.50 (within lower EM bound).
Underperforms: Stock gaps down below $89 at open post-earnings.
Risk Assessment
!Gap Risk: 4.1% EM is elevated. While history favors under-moves, a guidance surprise could break the pattern.
!IV Crush: Estimated 10-15 vol point drop is significant. Long premium strategies need a move >EM to overcome crush.
!Liquidity: Excellent (4.8M+ OI, 500K+ volume). No issues trading standard strikes.
!Sizing: Size condors/verticals for max loss of 1-2% of portfolio given binary event risk.
What to Watch
?IV trajectory into 4/01 — if 4/02 IV pushes above 40%, condor credits improve.
?Spot vs $92 max pain into 3/27 expiry — pinning could reduce pre-earnings volatility.
?Any unusual flow in weekly $95-$100 calls or $85-$90 puts indicating last-minute bets.