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SPY

SPDR S&P 500 ETFClose $708.72EOD only

Max Pain

$701.00

Next expiry Apr 21, 2026

Expected Move

±$3.85

0.5% from close

Price Gap

-7.72

Distance to max pain

IV Rank

Low premium

P/C OI

2.18

Slightly put-heavy

Consensus

6.5/10

Consensus signal

Published snapshot: Apr 20, 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 20, 2026 close

SPY Theta Report

Analysis based on market close April 21, 2026

Directional Theta Gang Flow Earnings Consensus

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

Theta Verdict

Confidence:

8.5 / 10

base 5; +2 GEX/flow strongly aligned; +1 spot 0.3% from MP; +0.5 VIX 20

IV Environment

IV Regime

Normal

IV vs VIX

IV ~21% vs VIX 19.5 — slight IV elevation vs spot; very steep short‑dated put skew

Favorable?

Term structure: Near-term term structure shows compressed same‑day ATM vols but elevated 3–10d tail; 2–8w calendars normalize

⚠️Negative dealer GEX (net short gamma) + heavy put OI beneath spot increases downside amplification

🔻Steep short‑dated put skew makes naked put selling asymmetrically risky despite cheap theta

📉Gap opens and early assignment risk elevated into sequential expiries — problematic for shorts

⚠️Margin/gamma risk and potential earnings or macro shocks can spike IV and force large hedges

Pin Risk Assessment

Spot vs MP: At

GEX regime: Trending ($-685.2M)

Gamma flip: ~$530.00 — Approx — based on put OI concentration of 214,768 (24.7% below spot)

OI concentrations: Put OI concentrated ~24.7% below spot; max‑pain cluster ~706–702 across expiries

Verdict: Elevated pin risk 4/21–4/23; likely pin cluster ~706–702; short‑dated expiries highly sensitive to intraday moves and gaps

Premium Opportunities

Put credit spread

Sell 2026-05-15 $687.00/$682.00 put spread

Sell 2026-05-15 687/682 put spread to collect premium while capping downside; tight invalidation near 686.6.

Credit: $0.76-$0.92

Max loss: $4.08

BE: $686.08

Mgmt: Close or roll wider/longer if price breaches ~687 or IV collapses

Iron condor

Sell 2026-05-15 $696.00/$692.00 put wing and $720.00/$725.00 call wing

Sell 696/692 put wing and 720/725 call wing for May expiry to profit if SPY holds between wings.

Credit: $2.48-$3.03

Max loss: $1.97

BE: 692.97 / 723.03

Mgmt: Trim or hedge side that approaches breach; reduce size into pin dates

Collar

Buy shares + buy 2026-06-18 $685.00 put / sell 2026-06-18 $730.00 call (collar)

Buy 2026-06-18 685 put and sell 730 call to cap downside for holders.

Debit: $2.24-$2.74

Max loss: $21.82

BE: $706.82

Mgmt: Maintain until earnings/vol regime changes; adjust strikes if underlying gaps

Risk Alerts

!Concentrated max‑pain pins into sequential expiries (706→702)

!Negative dealer GEX may amplify downside moves

!Steep short‑dated put skew → asymmetric left‑tail risk for naked shorts

!Gap‑open and early‑assignment hazard for short option sellers

!Elevated margin/gamma and event (earnings/macro) spike risk

How to Use These Reports

This theta reflects the market close on April 21, 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.