Earnings Verdict
Earnings expected around 5/27 (implied). IV elevated for May expirations, suggesting a crush play is viable. Historical data shows high volatility in post-earnings moves, but with a recent negative surprise. Gamma pinning and mixed flow create a complex backdrop.
base 5; +1 for clear IV kink at 5/08; +0 for mixed flow; -0 for normal vol regime
Most important: IV term structure shows a distinct kink at the 5/08 expiration (38 days out, IV 43.2%), strongly implying an earnings event priced for that week. The 5/01 expiration (31 days, IV 39.5%) is also elevated.
⚠️Earnings date is implied from IV term structure kink at 5/08 (38 days out). Confirm via company IR as date approaches.
⚖️Market sending conflicting signals: heavy OTM put hedging vs. call buying at $110/$115. Prepare for volatility.
📊Last 4 quarters show massive EPS surprise volatility (-40% to +49%). Expect a binary, large move.
Regime Classification
Vol Regime
Normal (IV 47%)
Gamma Regime
Pinning (GEX +$7.2M — mean-reverting)
Flow Regime
Mixed (net prem $-46.7M, P/C 1.06)
Spot vs MP
Above max pain by 1.2% (spot $102.18 vs MP $101)
Gamma flip: ~$95.00 — Below ~$95, significant put OI at $95 strike may lead to accelerated selling pressure.
Earnings Overview
Next earnings: 2026-05-27 (57 days)implied_from_term_structure
Expected moves:
- 5/08 (38d): ±$4.95 (4.8%)
- 5/15 (45d): ±$10.52 (10.3%)
IV Setup
Term structure: Clear kink at 5/08 expiration (43.2% IV) vs. 4/24 (37.4%) and 5/15 (39.0%). 5/01 (39.5%) also elevated.
Crush estimate: ~5-8 vol pts post-earnings, back to ~35-37% range.
Skew: Heavy premium flow to OTM puts ($130, $170) indicates significant hedging/positioning for downside. P/C volume ratio of 1.06 shows slightly more put activity.
Historical Context
Beat rate: 50% (2/4 quarters)
Avg move vs expected: Insufficient data for precise EM comparison, but moves are large and volatile: recent surprises of +49%, +27%, -40%, -16%.
Directional bias: No clear directional bias from last 4 reports (2 up, 2 down). Recent quarter (Dec '25) was a miss.
Key Levels
1$95 (major put OI/gamma flip)
2$101-$102 (max pain/near spot)
3$115-$120 (call OI wall)
4EM 5/08: $97 - $107
Flow Highlights
Massive net premium to OTM puts at $130 (-$12.9M) and $170 (-$12.4M) across all expirations.
Institutional hedging or speculative bets for significant downside. Could represent tail-risk protection.
Strong call buying at $115 (+$2.1M net prem) and $110 (+$1.6M).
Bullish positioning for a move higher, potentially offsetting some of the put hedge.
Unusual volume in 4/17 $125 PUT (Vol 3,830 vs OI 383, IV 77.2%).
Earnings-week bearish bet or hedge, paying high IV for OTM protection.
Strategies
Short Iron Condor (Earnings Crush)
Sell $98 PUT / Buy $95 PUT x Sell $107 CALL / Buy $110 CALL, exp 5/08.
Trigger: Enter 10-14 days before implied earnings date (mid-May), targeting elevated IV.
Capitalizes on elevated IV for the 5/08 expiration with a defined-risk structure. Strikes calibrated to the expected move boundaries using valid strikes.
Outperforms: Stock stays within the 5/08 expected move (~$97-$107) and IV crushes post-earnings.
Underperforms: Stock gaps outside of short strikes by more than $1.50.
Long Put Diagonal (Bearish/Hedge)
Buy 5/15 $105 PUT, Sell 4/24 $100 PUT.
Trigger: Enter 3-4 weeks before earnings if bearish sentiment builds or as a portfolio hedge.
Aligns with heavy OTM put flow and provides earnings downside exposure while partially financing the position. The short 4/24 put expires before earnings, isolating the long 5/15 put for the event.
Outperforms: Stock declines significantly into or after earnings. Benefits from long-dated put Vega and positive theta on short near-dated put.
Underperforms: Stock rallies or stays flat, suffering from time decay on the long put.
Strangle (Directional Volatility)
Buy 5/15 $95 PUT and Buy 5/15 $110 CALL.
Trigger: Enter 1-2 weeks before earnings if IV has not spiked excessively (>50%).
Historical EPS surprises have been large (±16% to +49%). This strategy profits from a big move without picking direction, though it requires a move larger than the priced-in EM to overcome IV crush.
Outperforms: Stock makes a large move (>8-10%) in either direction, exceeding the expected move.
Underperforms: Stock pins near current price, resulting in IV crush and time decay losses.
Risk Assessment
!Gap Risk: Historical EPS surprises are extreme. A ±10% move is plausible, exceeding the 5/08 EM of 4.8%.
!IV Crush: Estimated 5-8 vol point drop post-earnings will punish long premium strategies that don't see a large enough move.
!Liquidity: Good OI and active strikes, but be mindful of wide spreads on less popular strikes.
!Sizing: Due to volatile history and mixed signals from flow (large put hedges vs. call buying), keep position sizes small relative to book.
What to Watch
?IV trajectory for May expirations as implied earnings date approaches.
?Spot price action relative to the $95 gamma flip and $101 max pain levels.
?Any unusual activity in May expirations, especially around the $100-$110 strikes.