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SPY

SPDR S&P 500 ETFClose $745.64EOD only

Max Pain

$739.00

Next expiry May 26, 2026

Expected Move

±$5.62

0.8% from close

Price Gap

-6.64

Distance to max pain

IV Rank

Middle-high premium

P/C OI

2.48

Slightly put-heavy

Consensus

4.0/10

Bullish tilt

Published snapshot: May 22, 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 22, 2026 close

SPY Theta Report

Analysis based on market close April 15, 2026

Directional Theta Gang Flow Earnings Consensus

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

You are viewing an older report from April 15, 2026. A newer theta report is available for May 22, 2026.

View latest report

Theta Verdict

Confidence:

9 / 10

base 5; +2 GEX/flow strongly aligned; +1 GEX positive (pinning); +0.5 spot 1.1% from MP; +0.5 VIX 18

IV Environment

IV Regime

Low

IV vs VIX

ATM IV ~15.0% (30d) vs VIX 18.17 — IV is depressed relative to VIX; near-dated ATM IV is very low (1-2d ATM 9.2-11.6%)

Favorable?

Yes

Term structure: Flat-to-rising term structure: very low short-term IV (1-9d) then gradual pick-up 15-64d (14.8-17.0%) and higher out >6mo (18-23%). Prefer 9-60 DTE to balance theta vs vega.

💰Low absolute IV (Avg IV 17.1%) limits raw premium but predictable positive GEX/pinning improves win-rate for defined-risk sellers

⚠️Near-dated IV (1-2d ATM 9.2-11.6%) is artificially depressed ahead of short expected moves — avoid very near-dated naked selling without defined risk

Pin Risk Assessment

Spot vs MP: Above

GEX regime: Pinning ($+4.1B)

Gamma flip: ~$535.00 — Approx — based on put OI concentration of 204,119 (23.6% below spot)

OI concentrations: Heavy near-term call/pin OI and GEX at $700/$697/$696 (calls net premium flow >$254M at $697; call OI 21,414 at $700). Large long-dated put OI cluster at $535 (204,119 OI) and additional put walls at $650/$590 are structural but far below spot.

Verdict: Favorable — positive GEX (+$4.1B) and concentrated near-term GEX at $700 create a strong short-term pin magnet around $699.94-$700 that helps defined-risk credit sellers; however, structural put walls far below spot mean a severe downside breakout would accelerate once momentum breaches near-term supports.

Premium Opportunities

Put credit spread

Sell 2026-05-15 $677.00/$651.00 put spread

Sell put credit spreads sized with a 26-point protective long put to reflect defined risk; target short delta ~0.22 in the 25-55 DTE band and collect premium while relying on positive GEX to keep price near the pin.

Credit: $2.58-$3.16

Max loss: $22.84

BE: $673.84

Mgmt: Take profits at 50-70% of credit; close/roll if price closes below $692 with momentum or approaches $682.73

Iron condor

Sell 2026-04-24 $682.00/$681.00 put wing and $713.00/$717.00 call wing

Sell an iron condor in the 7-16 DTE window with short strikes inside the 1-2 week EM band; use an adjustment trigger tied to the trade's DTE: for a 9-16 DTE trade use the ~9-day EM (~$712.34) as the upper-side alert and the 9-day lower EM (~$687.54) for the put side — this aligns management to the trade's expected-move horizon rather than using the 5-day EM.

Credit: $0.65-$0.80

Max loss: $3.20

BE: 681.20 / 713.80

Mgmt: Reduce size or adjust if price moves within half the wing width toward a short strike or if price closes beyond the 9-day EM upper/lower bounds (~$712.34/$687.54)

Risk Alerts

!Earnings windows imminent: 2026-04-16, 2026-04-17, 2026-04-20 — avoid selling naked through these dates.

!Low absolute IV (Avg IV 17.1% and 30d ATM ~14.9-15.1%) limits premium — require tighter sizing or defined risk to reach returns.

!Gamma flip ~$535 and large long-dated put OI below spot can accelerate downside if spot falls into that zone; avoid large directional naked shorts.

!Concentrated near-term unusual activity at $697-$700 (very high volume/OI) — elevated pinning but also localized flow risk; manage around these strikes.

!Positive GEX (+$4.1B) favors pinning but can compress moves until a breakout — a fast breakout past EM bounds (e.g., 9-day EM ~$712.34 upper) can quickly turn profitable trades into losses; use stop/adjust rules.

How to Use These Reports

This theta reflects the market close on April 15, 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.