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SPY

SPDR S&P 500 ETFClose $741.75EOD only
Max Pain
$740.00
Next expiry Jun 15, 2026
Expected Move
±$6.40
0.9% from close
Price Gap
-1.75
Distance to max pain
IV Rank
10
Low premium
P/C OI
2.05
Slightly put-heavy
Consensus
7.0/10
Upside lean
Published snapshot: Jun 12, 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
Jun 12, 2026 close
SPY Theta Report
Analysis based on market close May 13, 2026
DirectionalTheta GangFlowEarningsConsensus

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

You are viewing an older report from May 13, 2026. A newer theta report is available for June 12, 2026.

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Theta Verdict

Attractiveness6 / 10
Sizing: Moderate
Primary: Put Credit Spread (short $720, long $700)
Invalidation: Spot breaks below $700 support
Confidence:
9 / 10
base 5; +2 GEX/flow strongly aligned; +1 GEX positive (pinning); +1 spot 1.0% from MP; +1 VIX 18

IV Environment

IV Regime
Normal
IV vs VIX
IV avg 20.2% vs VIX 17.9 (~2.3% premium, favorable for selling)
Favorable?
Yes

Term structure: Front-end backwardated with put IV spike (75% on 5/15), then contango; puts elevated near term due to pinning

📈IV above VIX, term structure steep, favorable for premium sellers
⚠️Put IV elevated near term; watch event risk on 5/15 and 5/22

Pin Risk Assessment

Spot vs MP: At

GEX regime: Pinning ($+1.4B)

Gamma flip: ~$530.00 — Approx — based on put OI concentration of 215,223 (28.6% below spot)

OI concentrations: Put OI heavy at $735 (28.6% below spot) and structural put floor $495-$660; call OI sparse

Verdict: High pin risk near $735 due to max pain and put dominance; spot at MP suggests reversion, but gamma flip at $530 provides downside cushion

Premium Opportunities

#1
Put credit spread
Sell 2026-06-05 $735.00/$733.00 put spread
Sell $735/$733 put spread to collect premium with defined risk.
Credit: $0.52-$0.63
Max loss: $1.37
BE: $734.37
Mgmt: Exit if spot breaks below $735 invalidation level.
#2
Call credit spread
Sell 2026-06-05 $740.00/$742.00 call spread
Sell $740/$742 call spread for defined-risk theta capture.
Credit: $1.15-$1.40
Max loss: $0.60
BE: $741.40
Mgmt: Close if spot exceeds $760.41 invalidation.
#3
Iron condor
Sell 2026-06-05 $735.00/$733.00 put wing and $740.00/$742.00 call wing
Sell both wings for premium with wide range.
Credit: $1.66-$2.03
Max loss: $0.00
BE: 732.97 / 742.03
Mgmt: Monitor gamma risk; adjust if spot approaches either wing.

Risk Alerts

!Put/Call OI ratio 2.54 indicates heavy dealer hedging pressure from put positions
!Term structure put IV spikes on 5/15 (75%) and 5/22 (47.57%) signal event risk
!Spot at max pain $735 but gamma flip far below; downside protection strong but tail risk exists
How to Use These Reports
This theta reflects the market close on May 13, 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.