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SPY

SPDR S&P 500 ETFClose $686.10EOD only

Max Pain

$674.00

Next expiry Apr 14, 2026

Expected Move

±$3.49

0.5% from close

Price Gap

-12.10

Distance to max pain

IV Rank

Low premium

P/C OI

2.25

Slightly put-heavy

Consensus

6.5/10

Bullish tilt

Published snapshot: Apr 13, 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

Apr 13, 2026 close

SPY Theta Report

Analysis based on market close April 14, 2026

Directional Theta Gang Flow Earnings Consensus

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

Theta Verdict

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: ~$535.00 — Gamma 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

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

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)

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

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.

Read the Theta analysis for SPY for 2026-04-14. Each report is a market-close snapshot with regime read, key levels, and strategy context that translates options positioning into an actionable setup.