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SPY

SPDR S&P 500 ETFClose $754.60EOD only

Max Pain

$732.00

Next expiry May 29, 2026

Expected Move

±$3.67

0.5% from close

Price Gap

-22.60

Distance to max pain

IV Rank

Middle-high premium

P/C OI

2.40

Slightly put-heavy

Consensus

4.0/10

Bullish tilt

Published snapshot: May 28, 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 28, 2026 close

SPY Theta Report

Analysis based on market close April 17, 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 17, 2026. A newer theta report is available for May 22, 2026.

View latest report

Theta Verdict

Confidence:

8.5 / 10

base 5; +2 GEX/flow strongly aligned; +1 GEX positive (pinning); -0.5 spot 4.0% from MP; +1 VIX 17

IV Environment

IV Regime

Low

IV vs VIX

7d ATM IV ~28% vs VIX ~30; 30d ATM IV ~20% vs VIX ~21 — short-dated IV tighter vs VIX but 5–10% cheaper on 30d terms

Favorable?

Yes

Term structure: Very steep 0–7d put skew with ATM IV >7d IV; multi-week (30d) term elevated but relatively flatter

📌Max-pain cluster $683–$693 with large OI concentration near spot

🔻GEX (~+$2.8B) and net premium support pinning but tail gaps can overwhelm hedges

Pin Risk Assessment

Spot vs MP: Above

GEX regime: Pinning ($+2.8B)

Gamma flip: ~$535.00 — Approx — based on put OI concentration of 204,113 (24.7% below spot)

OI concentrations: High put OI concentrated 24.7% below spot; max-pain cluster $683–$693

Verdict: Elevated probability of gravitation toward pinned strikes into expiries (roughly 35–55% depending on orderflow and dealer hedge intensity); less likely if strong directional flows or outsized vol spikes occur

Premium Opportunities

Iron condor

Sell 2026-05-08 $699.00/$688.00 put wing and $725.00/$735.00 call wing

Sell 2026-05-08 699/688 put wing and 725/735 call wing to collect short-dated theta while limiting loss.

Credit: $4.00-$4.89

Max loss: $6.11

BE: 694.11 / 729.89

Mgmt: Manage if price approaches wings; roll or hedge if IV spikes >25 or sustained move toward 683.

Put credit spread

Sell 2026-05-15 $705.00/$686.00 put spread

Sell 2026-05-15 705/686 put spread (short 705, long 686) to collect premium with limited risk; premium capture gives ~0.5–1.2% account return per spread sized to 1–2% risk.

Credit: $3.81-$4.66

Max loss: $14.34

BE: $700.34

Mgmt: Close or roll if SPY <=694.77, if spread hits 50% of max loss, or if IV rises >20% intraday; cut size on >1% account drawdown.

Covered call

Buy shares + sell 2026-05-15 $715.00 call

Buy shares and sell 2026-05-15 715 call to earn short-dated premium while retaining upside up to strike; expected annualized yield from repeated rolls ~25–40% if repeated.

Credit: $8.82-$10.77

Max loss: Stock downside to $0 less call premium

BE: $699.37

Mgmt: Buy back or roll calls on strong upward moves; reassess if share price breaches 694.77 or if position loss exceeds 8%.

Risk Alerts

!Breach below $683 invalidates sell thesis

!VIX spike >25 will widen short-dated put IV and hurt sellers

!Assignment / early-exercise risk on short-dated ITM options

!Overnight gap and margin-call risk that can blow through hedges

!Scheduled events/earnings or economic prints can rapidly repriced IV

!Rapid orderflow shifting dealer hedges could flip gamma dynamics

How to Use These Reports

This theta reflects the market close on April 17, 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.