ThetaOwl

PFE Earnings Report

Analysis based on market close March 31, 2026

Earnings Verdict

Earnings expected ~May 5, 2026 (~35 days). IV for the 5/08 expiration is elevated (33.2% vs ~26-29% elsewhere), suggesting a crush play is viable. Historical pattern shows consistent EPS beats and positive price reactions, favoring a directional call bias. However, the low absolute expected move (±$2.26, 8.1%) and pinning gamma regime limit explosive potential.

Confidence:
6.5 / 10
base 5; +1 strong historical beat rate; +0.5 elevated IV for 5/08; -0.5 low absolute EM; -0.5 gamma regime pinning
Most important: IV term structure shows a clear kink at the 5/08 (38d) expiration, confirming earnings are priced for that cycle. Historical EPS beat rate is 100% with an average surprise of +$0.31.
📅Earnings date estimated as ~May 5, 2026, priced into the 5/08 options expiration (38 days out).
📊Historical EPS beat rate is 100% with an average surprise of +$0.31 over last 4 quarters.
⚖️Spot ($28.08) is above all near-term max pain levels ($26-$27.50), supporting a bullish pinning bias.

Regime Classification

Vol Regime
Normal (IV 29%)
Gamma Regime
Pinning (GEX +$222.9M — mean-reverting)
Flow Regime
Bullish (net prem +$6.3M, P/C 0.40)
Spot vs MP
Above max pain by 6.0% (spot $28.08 vs MP $26)
Gamma flip: ~$20.00Gamma flip estimated ~$20 based on heavy $20 Put OI. Below $20, dealers would amplify moves.

Earnings Overview

Next earnings: 2026-05-05 (35 days)explicit (EPS estimate provided for date)

Expected moves:

  • 5/08 (38d): ±$2.26 (8.1%)
  • 5/15 (45d): ±$2.29 (8.2%)

IV Setup

Term structure: Pronounced kink at 5/08 expiration (33.2% IV) vs 26-29% for surrounding expirations. IV drops sharply to 29.1% for 5/15.

Crush estimate: ~4-7 vol pts, back to ~26-27% range post-earnings.

Skew: Flow is heavily bullish (P/C 0.40), but OI is more balanced (P/C 0.82). Unusual activity shows both OTM call and put buying.

Historical Context

Beat rate: 100% (4/4 quarters)

Avg move vs expected: Cannot calculate exact % move vs EM from data, but all 4 recent quarters showed positive EPS surprises averaging +$0.31.

Directional bias: Strongly bullish based on consecutive positive EPS surprises and current bullish flow.

Key Levels

1$20 (Gamma Flip / Major Put OI)
2$28 (Spot / Major Call OI)
3$30 (Major Call OI Wall)
4EM 5/08: $25.5 - $30.5

Flow Highlights

Heavy net premium into $28C (+$1.54M), $27C (+$1.20M), and $30C (+$875K).

Strong institutional bullish flow into near-term and earnings-expiry calls.

Unusual $30.50C 4/17 bought (966 vol vs 203 OI, 4.8x).

Earnings-adjacent upside bet, targeting a breakout above $30.50.

Strategies

Short Strangle (IV Crush + Range)
Sell $25.50 Put / Sell $30.50 Call 5/08
Credit: $0.60-$0.80
Max loss: Unlimited (defined by width - credit)
Max gain: $0.70
BE: $24.80 / $31.20
Trigger: Enter 5-7 days before estimated earnings date (late April).
Capitalizes on elevated IV at the 5/08 expiry. Strikes are placed just outside the expected move ($25.5-$30.5) to provide a buffer. Historical tendency to beat supports a range-bound or upward move.
Outperforms: Stock stays within $25.50-$30.50 range through May expiration; IV crushes from 33%.
Underperforms: Stock gaps beyond breakevens on earnings, especially below $25 given heavy put OI.
Bull Call Spread (Directional + Defined Risk)
Buy $28 Call / Sell $30 Call 5/08
Max loss: Debit paid
Max gain: $2.00
BE: $28 + debit paid (est. ~$28.60)
Trigger: On any pullback to $27.50-$28.00 support ahead of earnings.
Leverages strong historical beat rate and bullish flow. Defined risk play targeting the major OI wall at $30. Cheaper than a long call due to selling the $30 call against heavy OI resistance.
Outperforms: Stock rallies post-earnings, approaching or exceeding $30.
Underperforms: Stock fails to rally or sells off post-earnings.
Long Straddle (Volatility + Big Move)
Buy $28 Straddle 5/08
Max loss: Debit paid (est. ~$2.30)
Max gain: Unlimited
BE: $25.70 / $30.30
Trigger: Enter only if IV for 5/08 remains below 35% and stock is not pinned at $28.
Despite historical beats, the stock has been range-bound ($26-$30 MP). This is a lower-probability bet that guidance or other news triggers a larger-than-expected move, breaching the heavy OI at $20/$30.
Outperforms: Actual move exceeds 8.1% EM (breakeven move is ~8.2%).
Underperforms: Stock pins near $28 and IV crushes post-earnings.

Risk Assessment

!Gap Risk: Expected move is a modest ±8.1%. Major break below $25 or above $30.50 could accelerate due to gamma/dealer hedging.
!IV Crush: ~4-7 vol point crush expected post-earnings. Long premium strategies need a significant directional move to overcome crush.
!Liquidity: Good (2M+ OI), but volume is moderate. Stick to major strike levels ($25, $27, $28, $30) for best fills.
!Sizing: Use reduced size due to pinning gamma regime which can suppress realized volatility near key strikes.

What to Watch

?IV trajectory for the 5/08 expiration into late April — a further spike improves short premium entry.
?Spot price action relative to max pain ($26) and the $28 level — a hold above $28 confirms bullish flow conviction.
?Any unusual OTM put flow to counter the dominant bullish call flow, signaling hidden downside risk.

Read the Earnings analysis for PFE. This AI-generated report covers regime classification, key price levels, strategy recommendations, and actionable trade ideas drawn from end-of-day options data including gamma exposure, delta exposure, and implied volatility.