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SPY

SPDR S&P 500 ETFClose $771.35EOD only

Max Pain

$768.00

Next expiry Sep 28, 2026

Expected Move

±$4.38

0.6% from close

Price Gap

-3.35

Distance to max pain

IV Rank

Low premium

P/C OI

2.42

Slightly put-heavy

Consensus

7.0/10

Upside lean

Published snapshot: Sep 25, 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

Sep 25, 2026 close

SPY Theta Report

Analysis based on market close May 14, 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 May 14, 2026. A newer theta report is available for June 12, 2026.

View latest report

Theta Verdict

Confidence:

9 / 10

base 5; +2 GEX/flow strongly aligned; +1 GEX positive (pinning); +0.5 spot 1.2% from MP; +1 VIX 17

IV Environment

IV Regime

Normal

IV vs VIX

Avg IV 20.7% vs VIX 17.3%, elevated

Favorable?

Yes

Term structure: Near-dated put IV extreme (0 DTE 27%, 1 DTE 93%) with steep skew; longer-dated term normal

📈Near-dated put IV >90% on 1DTE, attractive for short premium but high tail risk

🎯Max pain $739 aligns with pinning, dealer gamma positive supports

Pin Risk Assessment

Spot vs MP: Above

GEX regime: Pinning ($+1.7B)

Gamma flip: ~$530.00 — Approx — based on put OI concentration of 215,097 (29.2% below spot)

OI concentrations: Max pain today $739, tomorrow $708, Monday $736. Put floor $495-$660; heavy put OI below spot

Verdict: Elevated pin risk near $739 due to max pain and dealer gamma pinning; spot within guardrails

Premium Opportunities

Put credit spread

Sell 2026-06-05 $740.00/$739.00 put spread

Sell $740/$739 put spread to collect premium with defined risk.

Credit: $0.26-$0.31

Max loss: $0.69

BE: $739.69

Mgmt: Exit at 50% profit or if spot closes below $739.

Risk Alerts

!High near-dated put IV implies extreme tail risk on gap moves

!Gamma flip at $530 far below, but structural put floor buffers downside

How to Use These Reports

This theta reflects the market close on May 14, 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.