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SPY

SPDR S&P 500 ETFClose $711.21EOD only
Max Pain
$705.00
Next expiry Apr 23, 2026
Expected Move
±$3.94
0.6% from close
Price Gap
-6.21
Distance to max pain
IV Rank
7
Low premium
P/C OI
2.22
Slightly put-heavy
Consensus
7.5/10
Range bias
Published snapshot: Apr 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
Apr 22, 2026 close
SPY Theta Report
Analysis based on market close April 23, 2026
DirectionalTheta GangFlowEarningsConsensus

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

Theta Verdict

Attractiveness5 / 10
Sizing: Conservative
Primary: Defined-risk bullish (put spread or collar)
Invalidation: Sustained VIX > 25 or swift move below $703 / above $717 with surge in put buying
Confidence:
8.5 / 10
base 5; +2 GEX/flow strongly aligned; +1 spot 0.1% from MP; +0.5 VIX 19

IV Environment

IV Regime
Low
IV vs VIX
Avg IV ~17.7% below VIX 19.31; near-term put IVs notably rich vs calls
Favorable?
No

Term structure: Steep put skew in 1–8d expiries (puts >> calls); term structure flattens beyond ~30d

⚠️Near-dated put IV spike (1–2d) vs ATM — elevated short-term tail risk
🔎Dealer GEX strongly negative (~-$565M) — amplifies downside flow and hedging pressure

Pin Risk Assessment

Spot vs MP: At

GEX regime: Trending ($-564.6M)

Gamma flip: ~$530.00 — Approx — based on put OI concentration of 215,062 (25.2% below spot)

OI concentrations: Max-pain pins clustered ~709/705/701; put OI concentrated ~25%+ below spot (notable wall)

Verdict: Elevated pin risk around $709 with potential pinning/magnet into expiries; increases execution and roll risk

Premium Opportunities

#1
Put diagonal
Sell 2026-05-29 $708.00 put / buy 2026-06-18 $705.00 put
Sell short-dated $708 put, buy longer $705 put to collect theta with capped downside.
Debit: $2.17-$2.66
Max loss: $2.66
BE: Path-dependent
Mgmt: Close or roll if SPY drops toward 690 or VIX>25; trim into pinning at ~709.
#2
PMCC / LEAPS diagonal
Buy 2026-09-18 $700.00 call + sell 2026-06-18 $715.00 call
Buy 2026 LEAP 700 call, sell monthly 715 call to monetize front-month decay vs LEAP vega.
Debit: $23.35-$28.53
Max loss: $28.53
BE: Path-dependent
Mgmt: Adjust short calls monthly; cut if sustained selloff to 690 or VIX>25.
#3
Call diagonal
Sell 2026-05-29 $717.00 call / buy 2026-06-18 $715.00 call
Sell near-term 717 call, buy longer-dated 715 call to limit upside risk while collecting theta.
Debit: $4.78-$5.85
Max loss: $5.85
BE: Path-dependent
Mgmt: Close/roll on sharp rally above 717 or VIX spike >25.

Risk Alerts

!Gamma-flip ~650 (closer to spot) could accelerate downside convexity
!VIX spike >25 would invalidate selling stance
!Unscheduled macro/news gap can breach pins and overwhelm dealer hedges
How to Use These Reports
This theta reflects the market close on April 23, 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.