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SPY

SPDR S&P 500 ETFClose $767.45EOD only
Max Pain
$775.00
Next expiry Aug 19, 2026
Expected Move
±$3.58
0.5% from close
Price Gap
+7.55
Distance to max pain
IV Rank
29
Middle-high premium
P/C OI
2.80
Slightly put-heavy
Consensus
7.0/10
Upside lean
Published snapshot: Aug 18, 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
Aug 18, 2026 close
SPY Theta Report
Analysis based on market close May 20, 2026
DirectionalTheta GangFlowEarningsConsensus

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

You are viewing an older report from May 20, 2026. A newer theta report is available for June 12, 2026.

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Theta Verdict

Attractiveness9 / 10
Sizing: Moderate
Primary: Short Put Spreads
Invalidation: SPY breaks below 735
Confidence:
9 / 10
base 5; +2 GEX/flow strongly aligned; +1 GEX positive (pinning); +1 spot 0.9% from MP; +1 VIX 17

IV Environment

IV Regime
Low
IV vs VIX
Average IV (18.57%) slightly above VIX (17.44%)
Favorable?
Yes

Term structure: Steep put skew near expiry, front-month ATM IV ~8.9%, longer-dated ~18%

⚠️High put OI ratio (2.47x) with pinning at $735 amplifies tail risk

Pin Risk Assessment

Spot vs MP: At

GEX regime: Pinning ($+467.7M)

Gamma flip: ~$530.00 — Approx — based on put OI concentration of 215,234 (28.5% below spot)

OI concentrations: Max Pain at $735 for 2026-05-20, put OI 215k contracts below spot

Verdict: Strong pinning magnet near $735; spot at $748, within $1 of range

Premium Opportunities

#1
Put credit spread
Sell 2026-06-18 $740.00/$727.00 put spread
Sell $740/$727 put spread to collect premium with downside protection.
Credit: $3.69-$4.50
Max loss: $8.50
BE: $735.50
Mgmt: Exit if SPY breaks below $735.
#2
Iron condor
Sell 2026-06-18 $732.00/$727.00 put wing and $748.00/$749.00 call wing
Sell $732/$727 put and $748/$749 call wings for defined range.
Credit: $1.67-$2.04
Max loss: $2.96
BE: 729.96 / 750.04
Mgmt: Adjust wings if spot moves outside $732-$748.

Risk Alerts

!Expiring options today with high put OI at $735, pinning risk elevated
!Put/call OI ratio 2.47x suggests heavy put positioning, potential gamma squeeze if spot holds
How to Use These Reports
This theta reflects the market close on May 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.