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SPY

SPDR S&P 500 ETFClose $742.72EOD only

Max Pain

$734.00

Next expiry May 22, 2026

Expected Move

±$4.93

0.7% from close

Price Gap

-8.72

Distance to max pain

IV Rank

Low premium

P/C OI

2.45

Slightly put-heavy

Consensus

9.0/10

Bullish tilt

Published snapshot: May 21, 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

May 21, 2026 close

SPY Theta Report

Analysis based on market close May 21, 2026

Directional Theta Gang Flow Earnings Consensus

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

Theta Verdict

Confidence:

9 / 10

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

IV Environment

IV Regime

Low

IV vs VIX

Avg IV 18.93 vs VIX 16.76, elevated by ~2.2 points

Favorable?

Yes

Term structure: Near-term IV elevated (1D ATM 11.27) with put skew, longer-term contango from 5D 10.21 to 20D 16.08

📊Dealer GEX +$946.6M, positive gamma supports price stability

⚠️Put OI ratio 2.45, heavy put protection below spot

Pin Risk Assessment

Spot vs MP: At

GEX regime: Pinning ($+946.6M)

Gamma flip: ~$530.00 — Approx — based on put OI concentration of 215,216 (28.6% below spot)

OI concentrations: Put OI concentrated at $520-$660 floor, 28.6% of put OI ~$530 below spot

Verdict: Spot near max pain $739, GEX positive, minimal pin risk for expiration

Premium Opportunities

Put credit spread

Sell 2026-06-12 $739.00/$738.00 put spread

Sell put spread at max pain, defined risk, low assignment probability.

Credit: $0.30-$0.36

Max loss: $0.64

BE: $738.64

Mgmt: Close if spot breaks $739 or VIX above 20.

Iron condor

Sell 2026-06-12 $739.00/$738.00 put wing and $759.00/$760.00 call wing

Short volatility with wings at key strikes, limited risk both sides.

Credit: $0.57-$0.70

Max loss: $0.30

BE: 738.30 / 759.70

Mgmt: Manage wings if delta exceeds 0.15.

Risk Alerts

!Highest put skew in near-term term structure

!Gamma flip at $530 indicates tail risk if spot drops significantly

How to Use These Reports

This theta reflects the market close on May 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.