thetaOwl

SPY

SPDR S&P 500 ETFClose $756.48EOD only
Max Pain
$750.00
Next expiry Jun 1, 2026
Expected Move
±$4.32
0.6% from close
Price Gap
-6.48
Distance to max pain
IV Rank
54
Middle-high premium
P/C OI
2.63
Slightly put-heavy
Consensus
4.0/10
Bullish tilt
Published snapshot: May 29, 2026 close
End-of-day snapshot

This page reflects SPY options positioning from the latest published market-close snapshot. Intraday price and contract changes are not displayed.

Published Snapshot
May 29, 2026 close
SPY Theta Report
Analysis based on market close April 14, 2026

Historical consensus-supported lens with full content, report chain context, and metric rail.

You are viewing an older report from April 14, 2026. A newer theta report is available for May 22, 2026.

View latest report

Theta Verdict

Attractiveness8.5 / 10
Sizing: Moderate
Primary: Sell short-dated defined-risk credit spreads near the 1w EM guardrails (bear-call spreads slightly OTM or put-credit spreads at support), plus rotating iron-condors for defined wings
Invalidation: Close below $684.68 (1-week EM lower guardrail) — sustained break below $684 invalidates short-call bias
Confidence:
9 / 10
base 5; +2 GEX/flow strongly aligned; +1 GEX positive (pinning); +0.5 spot 2.0% from MP; +0.5 VIX 18 (pre-computed)

IV Environment

IV Regime
Low
IV vs VIX
Avg IV 17.1% vs VIX 18.36 — IV slightly depressed vs market
Favorable?
Yes

Term structure: Front-week IV is very low (1.0% 0d, ~9-14% across next week) and flattish toward May; 30-45 DTE sits ~15% (May 29 ATM 15.2%) — limited vol term premium

🔻Average IV 17.1% is below VIX 18.36 — smaller per-contract edge; favor defined-risk spreads
📌Strong pinning (GEX +$1.6B) concentrates dealer hedging near $695, improving short-gamma capture

Pin Risk Assessment

Spot vs MP: Above by ~2.0% (Spot $694.46 vs Max Pain ~$681)

GEX regime: Pinning (GEX +$1.6B)

Gamma flip: ~$535.00Gamma flip far below spot (~$535). Dealers are long gamma above that level and will dampen moves toward the pin; below $535 dealers become negative-gamma and moves can accelerate

OI concentrations: Call flow and GEX magnets concentrated at $695/$696/$697 and call OI clusters at $690-$695; put OI is heavy far below (major put walls $650 and $620-$535 range)

Verdict: Favorable — pinning near $695 supports short premium (defined-risk) because dealer hedging creates a magnet; downside breakout risk limited until price moves materially below EM guardrails

Premium Opportunities

#1
put spread (cash-secured)
Sell 670 / Buy 665 put spread exp 2026-05-29 (45 DTE)
45 DTE captures decent theta at a time when term IV ~15.2% and pinning/GEX is supporting spot > MP; 670 is inside the 1w EM lower bound ($684.68) but comfortably above structural put floor, giving margin vs large put walls lower down
Credit: $0.60-$1.00
Max loss: $4.40
BE: 669.40
Mgmt: Take profit at 50-65% of max credit; roll down 5-10 points or close if SPY <$684.68 (1w EM lower) or if daily close below short strike; cut loss if spread value reaches 60-70% of max loss or if implied vol jumps >3 vols
#2
bear-call spread
Sell 700 / Buy 705 call spread exp 2026-05-29 (45 DTE)
Short strikes sit above current spot but within 1-week EM upper bound ($704.24). Low IV makes outright naked call selling less attractive; defined-risk call spreads capture pinning-related call decay concentrated at $695-$700 while limiting upside assignment risk
Credit: $0.35-$0.55
Max loss: $4.65
BE: 700.35
Mgmt: Take profit 50% of max credit; close or roll up/shorten duration if SPY prints a daily close >$704.24 or touches the short strike; cut losses if spread reaches 60% of max loss or if large call flow spikes at the short strike (monitor Top Premium Flow activity)
#3
iron condor
Sell 685 / Buy 680 put spread + Sell 705 / Buy 710 call spread exp 2026-05-29 (45 DTE)
Trades the current tight expected range (1w EM $684.68-$704.24, 2w $676.57-$712.35). Positive GEX near spot pins price; iron condor collects both sides of premium in a low-IV environment while keeping defined risk and reasonable width
Credit: $1.05-$1.40
Max loss: $3.60
BE: 681.95 / 706.40
Mgmt: Take profit at 50% of max credit; tighten or hedge if SPY spikes toward either short strike (close side tested) or if VIX drops further below 15; cut loss if either short strike is tested on a daily close or spread reaches 60% of max loss
#4
calendar (call-side)
Sell 695 call exp 2026-04-24 (10 DTE) / Buy 695 call exp 2026-05-29 (45 DTE)
Pinning and concentrated call flow at 695-$695 short strikes creates a favorable front-week decay for short call, while longer-dated call keeps upside insured. Use small debit calendars to harvest front-week theta in low-IV environment where near-term IV is already low but call demand is concentrated
Debit: $0.20-$0.50
Max loss: Debit paid (~0.20-0.50)
BE: Dependent on front-month decay; target near 695
Mgmt: Close short leg into heavy pinning if price rallies >$697 (2d EM upper) or take 60-75% of target profit on front-month decay; exit if longer-dated IV collapses or if calendar shows net negative gamma beyond risk tolerance

Risk Alerts

!Strong pinning/GEX concentrated at $695-$697 — if dealers stop hedging (sudden flow reversal) short-call exposure can gap into losses; monitor Top Premium Flow (heavy net call buys at 690-695).
!IV is low (Avg IV 17.1%, front-week ATM 9-14%) — limited volatility premium means prefer defined-risk positions; avoid large naked short positions.
!Gamma flip ~ $535 — structural downside acceleration if price breaches deep levels well below current support; keep put wings sized accordingly.
!Max Pain clustered around $670-$681 across expirations — if price mean-reverts down quickly toward MP, short-call positions near spot can be pressured; manage call-side risk if SPY sells off toward $684.68 (1w lower EM).
!Unusual activity: massive front-day put/call volume around 689-695 (multi-hundred million notional) — track intraday flow; sharp directional fills could precede short squeezes or fast moves that stress wings.
How to Use These Reports
This theta reflects the market close on April 14, 2026.
What the reports do

Each report translates the same market-close options snapshot into a specific lens such as directional bias, premium-selling posture, flow quality, or earnings setup.

How traders use them

Reports are most useful for narrowing the playbook, surfacing entry and risk context, and deciding which raw data page to inspect next.

What to remember

These are interpretation layers, not execution guarantees. Validate the setup against chain liquidity, expected move, and exposure before sizing risk.

If the report conviction and the raw data disagree, slow down and resolve the mismatch before sizing risk.