Earnings Verdict
Earnings expected around 2026-04-16 (10 days out). IV sharply elevated for 4/17 expiration (56.4% vs 49.1% for 4/24), offering strong IV crush and volatility arbitrage opportunities. Historical beat rate 75% but moves often underperform EM. Key risk: pinning near $100 due to massive GEX concentration.
base 5; +2 GEX/flow strongly aligned; +1 GEX positive (pinning); -0.5 spot 4.1% from MP
Most important: IV term structure shows 7.3 vol-point differential between 4/17 (56.4%) and 4/24 (49.1%); reverse calendar spread is a top play to exploit this.
📅Earnings expected 2026-04-16 (10 days out), EPS est $0.77.
⚡IV term structure shows 7.3 vol-point differential between 4/17 and 4/24; reverse calendar spread is a top volatility arbitrage play.
⚠️Massive GEX concentration at $100 (+$29.7M) increases pin risk, favoring non-directional strategies.
Regime Classification
Gamma flip: ~$73.00 — Gamma flip at $73, far below spot; dealers amplify moves below this level.
Earnings Overview
Next earnings: 2026-04-16 (10 days)explicit
Expected moves:
- 4/17 (11d): ±$7.73 (7.8%) [$91.21 - $106.66]
IV Setup
Term structure: Sharp kink at 4/17 (56.4% vs 49.1% for 4/24), a 7.3 vol-point differential indicating earnings premium concentrated in weekly expiration.
Crush estimate: ~20 vol pts for 4/17, back to ~36% (near 4/10 levels); 4/24 IV may drop less sharply.
Skew: P/C volume ratio 0.84 suggests slightly more call activity; puts richer in OTM strikes (e.g., $73 put OI 48,174).
Historical Context
Beat rate: 75% (3/4 quarters)
Avg move vs expected: Insufficient historical move data provided; EPS surprise mixed: +$0.01, -$0.16, +$0.02, +$0.17.
Directional bias: 2/4 quarters positive EPS surprise, but recent miss in Q3 2025.
Key Levels
1$100.00 (strong GEX pin magnet)
2$99.00 (GEX pin magnet)
3$105.00 (call OI wall)
4EM bounds: $91.21 - $106.66
Flow Highlights
Heavy $100C buying across expirations: net premium +$15M at $100 strike.
Bullish earnings bets concentrated at $100; may act as resistance.
Unusual activity: 4/10 $103C vol 14,165 (9.1x OI), 4/10 $105C vol 17,971 (4.7x OI).
OTM call buying suggests traders positioning for upside breakout.
Strategies
Reverse call calendar (IV arbitrage)
Sell 4/17 $100 Call (IV 56.4%) / Buy 4/24 $100 Call (IV 49.1%)
Trigger: Enter 5-7 days before earnings when IV differential >7 vol points.
Exploits 7.3 vol-point differential between 4/17 and 4/24 expirations; targets accelerated IV crush in weekly options post-earnings.
Outperforms: IV crushes sharply post-earnings in 4/17 leg while 4/24 leg retains value; stock pins near $100.
Underperforms: Large directional move away from $100, especially upside beyond $110.
Iron condor (IV crush)
Sell $91.21/$85P x $106.66/$112C 4/17
Trigger: Enter 2-3 days before earnings if IV >50%.
Elevated IV (56.4%) offers high premium; historical EPS surprises mixed but no extreme moves indicated.
Outperforms: Stock stays within EM bounds ($91.21-$106.66) and IV crushes post-earnings.
Underperforms: Gap exceeds EM by >$5.
Long straddle (directional breakout)
Buy $100 straddle 4/17
Trigger: Enter day before if IV hasn't spiked >60%.
Flow shows bullish bets at $100; unusual OTM call activity suggests potential upside surprise.
Outperforms: Actual move exceeds EM by >30% (beyond $91.21-$106.66).
Underperforms: Stock pins near $100 and IV crushes sharply.
Risk Assessment
!Gap risk: EM ±7.8% ($91.21-$106.66) but could exceed on guidance given mixed historical surprises.
!IV crush of ~20 vol points likely post-earnings for 4/17; calendar spreads benefit, long premium strategies need big move.
!Liquidity: High (4.9M OI, 489K volume), but watch bid-ask spreads on OTM strikes.
!Sizing: Reduce size on credit spreads due to pin risk near $100; calendar spreads require careful strike selection.
What to Watch
?IV differential between 4/17 and 4/24 expirations (currently 7.3 vol points)
?Spot action relative to $100 GEX magnet
?Unusual OTM put activity at $73-$85 strikes