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SPY

SPDR S&P 500 ETFClose $758.54EOD only
Max Pain
$751.00
Next expiry Jun 2, 2026
Expected Move
±$3.19
0.4% from close
Price Gap
-7.54
Distance to max pain
IV Rank
15
Low premium
P/C OI
2.25
Slightly put-heavy
Consensus
4.0/10
Bullish tilt
Published snapshot: Jun 1, 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 1, 2026 close
SPY Theta Report
Analysis based on market close June 4, 2026
DirectionalTheta GangFlowEarningsConsensus

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

Theta Verdict

Attractiveness9 / 10
Sizing: Moderate
Primary: Short puts
Invalidation: Spot breaks below $755 support; VIX above 20
Confidence:
9 / 10
base 5; +2 GEX/flow strongly aligned; +1 GEX positive (pinning); +1 spot 0.3% from MP; +1 VIX 15

IV Environment

IV Regime
Low
IV vs VIX
Avg IV 16.83% vs VIX 15.4, 1.4% premium, slightly elevated
Favorable?
Yes

Term structure: Short-term IV suppressed (0DTE 1.8%) due to pinning; upward-sloping; put skew elevated across tenors

📌Pinning to $755; dealer long gamma supports mean-reversion
⚠️Put skew elevated (put IV 2-3x call IV near-term) warns of tail risk

Pin Risk Assessment

Spot vs MP: At

GEX regime: Pinning ($+504.8M)

Gamma flip: ~$550.00 — Approx — based on put OI concentration of 302,351 (27.4% below spot)

OI concentrations: Max pain $755 (0DTE), $750 (1DTE), $755 (4DTE); put OI 2.3x calls

Verdict: Pinning likely near $755; high put OI suggests downside hedging but long gamma reduces crash risk

Premium Opportunities

#1
Iron condor
Sell 2026-07-02 $755.00/$750.00 put wing and $760.00/$765.00 call wing
Sell put spread 755/750 and call spread 760/765, collecting $4.67 credit, max loss $0.33.
Credit: $3.82-$4.67
Max loss: $0.33
BE: 750.33 / 764.67
Mgmt: Let decay, close at 50% profit or near expiry if spot within wings.
#2
Put credit spread
Sell 2026-07-02 $755.00/$750.00 put spread
Sell 755/750 put spread for $1.92 credit, max loss $3.08.
Credit: $1.57-$1.92
Max loss: $3.08
BE: $753.08
Mgmt: Roll if spot breaks $755; leave to expire if above.
#3
Call credit spread
Sell 2026-07-02 $760.00/$765.00 call spread
Sell 760/765 call spread for $2.76 credit, max loss $2.24.
Credit: $2.25-$2.76
Max loss: $2.24
BE: $762.76
Mgmt: Close if spot approaches $760; adjust strike if breached.

Risk Alerts

!Elevated put skew (put IV 2-3x call IV near term)
!High put/call OI ratio (2.3)
!Gamma flip at $550 (far below spot, low risk)
!VIX at 15, near historical low, may not be sustainable
How to Use These Reports
This theta reflects the market close on June 4, 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.