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SPY

SPDR S&P 500 ETFClose $710.14EOD only
Max Pain
$690.00
Next expiry Apr 20, 2026
Expected Move
±$4.66
0.7% from close
Price Gap
-20.14
Distance to max pain
IV Rank
61
High premium
P/C OI
2.40
Slightly put-heavy
Consensus
6.5/10
Range bias
Published snapshot: Apr 17, 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 17, 2026 close
SPY Theta Report
Analysis based on market close April 20, 2026
DirectionalTheta GangFlowEarningsConsensus

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

Theta Verdict

Attractiveness5 / 10
Sizing: Conservative (small size, avoid front-week)
Primary: Sell OTM weekly puts/call spreads on expiries >=2w; limit size to 25% normal; if short-dated exposure taken, cap notional and buy short-dated hedges (buy 1-2 delta puts or single-leg long-delta)
Invalidation: Spot >1.5% beyond max-pain band, sustained VIX >25, or front-week ATM IV gap-up; on invalidation: unwind front-week positions, roll 2s+ out or buy protection (1-2% spot hedge)
Confidence:
9 / 10
base 5; +2 GEX/flow strongly aligned; +1 GEX positive (pinning); +1 spot 0.5% from MP; +0.5 VIX 19

IV Environment

IV Regime
Low
IV vs VIX
Front-end IV materially below VIX with same-day ATM IV extremely low vs weekly skew
Favorable?
No

Term structure: Ultra-low same-day IV (1.7) and steep near-term put skew; term structure rises beyond 2w

⚠️Avoid short-dated premium selling given suppressed same-day IV and concentrated pinning
📌Max-pain cluster near 705/701/700 with spot ~0.5% from MP — elevated expiry concentration

Pin Risk Assessment

Spot vs MP: At

GEX regime: Pinning ($+10.3M)

Gamma flip: ~$530.00 — Approx — based on put OI concentration of 214,743 (25.2% below spot)

OI concentrations: Max-pain pins 705/701/700; heavy put OI ~214,743 concentrated near strike

Verdict: Elevated pin risk through 4/22; avoid front-week naked sells and prefer spreads or hedged structures; expect sharp delta/gamma shifts if spot moves into cluster

Premium Opportunities

#1
Put diagonal
Sell 2026-05-22 $688.00 put / buy 2026-06-18 $670.00 put
Sell short-dated OTM put, buy deeper back-month put to cap risk and exploit thin front IV vs VIX
Debit: $0.86-$1.05
Max loss: $1.05
BE: Path-dependent
Mgmt: Limit size to 25% normal, trim/roll if spot <705 or VIX>25; buy additional protection if gap moves
#2
Call diagonal
Sell 2026-05-22 $730.00 call / buy 2026-06-18 $725.00 call
Sell near OTM front call, buy farther-dated call to harvest term structure and theta
Debit: $5.97-$7.30
Max loss: $7.30
BE: Path-dependent
Mgmt: Small size, roll out if spot >705 or front-week IV spikes; cap position if gap risk rises
#3
Call diagonal
Sell 2026-05-29 $715.00 call / buy 2026-07-17 $705.00 call
Sell nearer front call, buy longer-dated lower strike call to capture term premium
Debit: $14.18-$17.34
Max loss: $17.34
BE: Path-dependent
Mgmt: Use small allocation, monitor pin risk to 4/22, unwind on sustained VIX>25 or spot >705

Risk Alerts

!Do not short front-week ATM/near-ATM uncovered — suppressed IV creates gap risk
!Limit size to 25% normal for near-term trades; prefer expiries >=2w
!Roll or buy protection if spot moves >1.5% from max-pain or VIX >25 sustained
How to Use These Reports
This theta reflects the market close on April 20, 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.