REGN Theta Gang Report
Analysis based on market close March 31, 2026
Theta Verdict
Confidence:3.5 / 10
base 4; +1 high IV; +0.5 pinning regime; -1 low liquidity; -1 wide spreads
IV Environment
IV Regime
High
IV vs VIX
IV 44.2% — elevated for a large-cap biotech.
Favorable?
Yes
Term structure: Humped at May 1st (49.3%), elevated through May, then declining.
High IV (44%) provides attractive premium for sellers.
Low liquidity means wide bid-ask spreads; credit estimates are theoretical.
Pin Risk Assessment
Spot vs MP: Above max pain by 3.7% (spot $772.64 vs MP $745)
GEX regime: Pinning (GEX +$0.5M — mean-reverting)
Gamma flip: ~$730.00 — Below $730, dealers amplify moves downward.
OI concentrations: Major put wall at $730 (OI 1,193), call wall at $1100 (OI 1,094).
Verdict: Favorable — positive GEX and spot above max pain support a pinning environment for credit positions.
Premium Opportunities
#1
put spread
Sell $730/$700 Put Spread for 2026-05-15 (45 DTE)
Targets major OI support at $730. High IV (48.3% ATM) provides premium. Position is well below spot and above gamma flip. 45 DTE is optimal theta decay zone.
Mgmt: Close at 65% profit. Exit if REGN closes below $730 (gamma flip). Roll only if credit >50% of original. Assume wide spreads; use limit orders.
#2
cash-secured put
Sell $730 Put for 2026-05-15 (45 DTE)
Simpler, single-leg strategy better suited for low liquidity. Collects high premium at the key OI support level. Willingness to own at $730, a 5.5% drop from current price.
Mgmt: Close at 70% profit. Roll down and out if tested, only for a credit. Be prepared for assignment if below $730 at expiration.
#3
call credit spread
Sell $840/$845 Call Spread for 2026-05-15 (45 DTE)
Defined-risk bearish hedge. Sells into elevated IV with strikes above the expected move ($823.44). Provides a credit if REGN stays range-bound or pulls back.
Mgmt: Close at 50% profit. Exit if REGN closes above $825. Do not roll; take the loss.
#4
iron condor (illustrative)
Sell $730/$700P x $840/$845C for 2026-05-15 (45 DTE)
Illustrative only due to low liquidity. Combines top put and call spread ideas for a non-directional, high-IV play. Wide $140 range between short strikes.
Mgmt: Close at 50% profit. Exit if either short strike is breached. Execution risk is high; leg in separately if attempted.
Risk Alerts
Earnings on 2026-04-29 (~4 weeks). Close or roll all short premium positions before this date.
Low liquidity (Total OI 31,712). Bid-ask spreads will be wide, making precise entry/exit difficult.
Gamma flip at ~$730. A close below this level risks accelerated selling pressure; exit credit positions.
Major put OI at $730 creates a magnet but also a potential breakpoint if support fails.
IV is elevated but may compress, especially after earnings. Favor defined-risk spreads over naked options.
Unusual premium flow: Large net put buying at $1000 and $1020 suggests institutional downside hedging far OTM.
Read the Theta Gang analysis for REGN. 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.