SHOP Theta Gang Report
Analysis based on market close March 31, 2026
Theta Verdict
Confidence:7 / 10
base 5; +2 high IV; +1 strong pinning; +1 spot at max pain; -2 earnings in 5 weeks
IV Environment
IV Regime
High
IV vs VIX
IV 66.3% — Extremely elevated
Favorable?
Yes
Term structure: Humped at 38 DTE (70.2%), elevated across curve
IV >65% provides exceptional premium for sellers
Term structure peaks ~38 DTE — ideal for 30-45 DTE sales
Pin Risk Assessment
Spot vs MP: At max pain ($119.00 vs spot $118.62)
GEX regime: Strong Pinning (GEX +$11.0M)
Gamma flip: ~$100.00 — Massive put wall at $100 (14.6K OI) creates strong support; below $100, negative gamma could accelerate moves lower.
OI concentrations: Put walls: $100 (14.6K), $95 (12.1K), $90 (8.7K). Call walls: $170 (56.4K), $145 (55.5K).
Verdict: Highly Favorable — Spot at max pain with strong positive GEX supports mean-reversion and pinning.
Premium Opportunities
#1
put spread
Sell $100/$95 put spread 2026-05-01 (31 DTE)
Targets the massive $100 put OI wall (14.6K) for strong support. 31 DTE captures peak IV (61.1%) while staying outside of earnings. Max loss is 2.8x credit for a high-probability, defined-risk play.
Mgmt: Close at 65-70% max profit. Exit if SHOP closes below $102 (above short strike). Roll only if credit >0.50 for same strikes further out.
#2
iron condor
Sell $105/$100P x $135/$140C 2026-05-15 (45 DTE)
Wide iron condor positioned between major OI clusters ($100P, $135P, $140C). 45 DTE IV is 68.8%, providing rich premium. The structure profits from pinning within the $100-$135 range, which aligns with the expected move ($95.67 - $141.57).
Mgmt: Close at 50% max profit. Manage wings independently: roll tested side for credit if possible, otherwise close entire position.
#3
cash-secured put
Sell $110 put 2026-05-01 (31 DTE)
For capital-secure sellers comfortable with assignment. The $110 strike is well above the critical $100 gamma flip and collects substantial premium (IV 61.1%). Provides a 6.8% buffer from spot and a 7% yield on capital risked over 31 days.
Mgmt: Close at 80% profit. Roll down and out if price approaches $112, targeting a credit >0.30. Be prepared to take assignment below $103.50.
#4
call spread
Sell $140/$145 call spread 2026-05-08 (38 DTE)
Defined-risk bearish hedge or standalone credit play. Targets the large call OI wall at $145 (55.5K). 38 DTE has the highest IV on the curve (70.2%), maximizing premium sold. The breakeven is above the expected move high for that expiry.
Mgmt: Close at 65% profit. Exit if SHOP closes above $138. Roll up and out only for a net credit.
Risk Alerts
Earnings on 2026-05-07 (37 days away) — Close or roll all short premium positions before this announcement. Never hold naked options through earnings.
Gamma flip at ~$100 — A sustained break below this level could lead to accelerated selling due to negative dealer gamma. This is the primary invalidation for put-focused strategies.
High Net Premium Outflow (-$8.4M) — Suggests more premium was paid by buyers than collected by sellers recently, indicating potential directional bets or hedging. Monitor for follow-through.
Unusual Put Flow at $160 & $155 (April 17) — Large premium paid for OTM puts (IV >100% at $160P). This could be expensive hedging or a speculative bearish bet; respect the signal but don't overreact.
IV Crush Post-Earnings — Current IV >65% is unsustainable long-term. Positions opened now will benefit from theta decay but also face significant IV crush after the May earnings, which can work for or against you depending on structure.
Wide Expected Moves — 31 DTE expected move is ±14.3% ($101.65 - $135.60). Size positions accordingly and place short strikes outside these ranges for higher probability.
Read the Theta Gang analysis for SHOP. 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.