Earnings Verdict
Earnings in ~18 days (estimated 4/16). IV for the post-earnings expiry (4/17) is elevated at 50.1% vs surrounding expiries, but the expected move is a wide ±9.0%. Historical data shows NFLX consistently under-moves its expected move (2.4% actual vs 4.3% EM) and has a high beat rate, favoring premium selling strategies. The key risk is the larger-than-usual expected move window increasing gap potential.
base 5; +1 explicit earnings date (4/16); +1 strong historical under-move data; -0.5 IV not significantly elevated for post-earnings expiry; -0.5 flow regime shifted from bullish to mixed
Most important: Historical under-move pattern remains the strongest edge, but the post-earnings expected move (±9.0%) is much wider than typical, demanding wider strategy wings.
📅Earnings date inferred as ~4/16 based on EPS estimate and IV kink at 4/17 expiry. 18 days out allows time for IV to build.
🔄Key change from prior report: Flow regime shifted from 'Bullish' to 'Mixed' with a put-heavy P/C ratio (1.69 vs 0.73).
📊Post-earnings expected move (±9.0%) is more than double the prior report's move (±4.1%), reflecting a longer-dated expiry and higher IV.
Regime Classification
Vol Regime
Normal (IV 49%)
Gamma Regime
Pinning (GEX +$130.4M — mean-reverting)
Flow Regime
Mixed (net prem $35.1M, P/C 1.69)
Spot vs MP
Above max pain by 1.6% (spot $93.47 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 (18 days)implied (EPS estimate for 4/16, IV kink at 4/17 expiry)
Expected moves:
- 4/17 (19d): ±$8.45 (9.0%) [$85.02 - $101.92]
IV Setup
Term structure: Clear kink at 4/17 expiry (50.1% IV), elevated vs 4/10 (35.9%) and 4/24 (46.1%).
Crush estimate: ~15-20 vol pts post-earnings, back to ~30-35% range.
Skew: P/C ratio of 1.69 indicates put buying dominance in recent flow, a shift from prior bullish flow.
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): $90
2EM Bounds: $85.02 - $101.92
3Call OI Wall: $100 (66,876 OI)
4Spot: $93.47
Flow Highlights
Net premium flow is +$35.1M, but P/C ratio is 1.69 (put-heavy).
Mixed signals: large net dollar inflow is bullish, but recent volume is skewed toward puts, suggesting increased hedging or bearish bets.
Heavy volume in $94P 4/02 (5,635 vol vs 2,164 OI) at 34.2% IV.
Near-term downside protection being bought just below spot, possibly a hedge for earnings.
Massive, low-strike put OI ($5P: 176,945 OI) and unusual activity in far-dated, far OTM puts (e.g., $1P Dec-26).
Structural/portfolio hedging, not indicative of near-term earnings direction.
Strategies
Wide Iron Condor (Premium Sale)
Sell $85/$80P x Buy $102/$107C 4/17
Trigger: Enter 3-5 days before earnings (4/11-4/13)
Historical under-move edge is strong. The wide 9% EM allows for selling far OTM wings to capture elevated IV while maintaining a high probability of success. Targets a move within half the expected move.
Outperforms: Stock stays within historical under-move range (roughly ±3-4%).
Underperforms: Gap exceeds ±12% (outside condor wings).
Short Strangle (Higher Credit, Naked Risk)
Sell $85P x Sell $102C 4/17
Trigger: Enter 2-3 days before earnings if IV > 48% on 4/17 expiry.
Maximizes credit from elevated IV and expected crush. Wider breakevens than condor due to no long wings. Suitable for accounts that can manage undefined risk, betting heavily on the historical under-move pattern.
Outperforms: Stock stays between $86 and $101.
Underperforms: Sharp gap beyond breakevens.
Put Calendar Spread (IV Crush Play)
Buy $90P 4/24 (46.1% IV) x Sell $90P 4/17 (50.1% IV)
Trigger: Enter 7-10 days before earnings to capture full IV kink.
Exploits the 4.0 vol point kink between 4/17 and 4/24 expiries. The short leg in the earnings expiry will experience severe crush, while the longer-dated long leg retains more time value.
Outperforms: IV crushes post-earnings and stock is near or below $90.
Underperforms: Stock rallies sharply above $95 or IV expands into earnings.
Bullish Risk Reversal (Flow-Aligned, Low Cost)
Sell $85P 4/17 x Buy $100C 4/17
Trigger: Enter on any dip toward $92.
Capitalizes on historical gap-up bias (3/4 quarters) and the shift in flow toward put buying (can sell those puts for credit). Defines risk below the lower EM bound. Essentially a low-cost, leveraged bet on an earnings beat.
Outperforms: Stock rallies post-earnings, exceeding $100.
Underperforms: Stock declines below $85.
Risk Assessment
!Gap Risk: Expected move is large (±9.0%). While history favors under-moves, the wide range increases the distance a surprise must travel to hit condor wings.
!IV Crush: Significant crush (~15-20 vol points) is priced into the 4/17 expiry. Long premium strategies need a move >9% to overcome.
!Liquidity: Excellent (4.8M+ 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—if it climbs above 55%, condor/strangle credits improve.
?Spot action relative to the $90 max pain for 4/17—pinning could develop.
?Flow in the $85 put and $102 call strikes as earnings approach for last-minute positioning clues.