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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 June 12, 2026
DirectionalTheta GangFlowEarningsConsensus

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

Theta Verdict

Attractiveness9 / 10
Sizing: Aggressive
Primary: Premium collection
Invalidation: Spot closes below $735 or above $759
Confidence:
9 / 10
base 5; +2 GEX/flow strongly aligned; +1 GEX positive (pinning); +1 spot 0.9% from MP; +1 VIX 18

IV Environment

IV Regime
Low
IV vs VIX
Avg IV 18.1% vs VIX 17.7, slightly elevated
Favorable?
Yes

Term structure: Front-month put IV spikes; term structure moderately contango from 1-week out.

📌Max pain at $735-740 supports pinning
📈Put OI ratio 2.05 shows heavy hedging

Pin Risk Assessment

Spot vs MP: At

GEX regime: Pinning ($+269.5M)

Gamma flip: ~$550.00 — Approx — based on put OI concentration of 302,317 (25.9% below spot)

OI concentrations: Put OI concentrated at $735 (302k) and lower strikes; call OI lighter.

Verdict: Pinning likely near $735-740; risk skewed to downside if support breaks.

Premium Opportunities

#1
Put credit spread
Sell 2026-07-10 $735.00/$733.00 put spread
Sell out-of-the-money put spread to collect premium while avoiding downside from heavy put OI.
Credit: $0.56-$0.69
Max loss: $1.31
BE: $734.31
Mgmt: Close at 50% max gain or if spot breaks $735 invalidation.
#2
Iron condor
Sell 2026-07-10 $735.00/$733.00 put wing and $745.00/$749.00 call wing
Sell both put and call wings around expected pin zone for theta decay with limited max loss.
Credit: $2.45-$3.00
Max loss: $1.00
BE: 732.00 / 748.00
Mgmt: Adjust wings if pin shifts; target 50% of max gain.

Risk Alerts

!Heavy put OI below spot could amplify downside if $735 breaks.
!Low VIX suggests complacency; premium selling attractive but monitor gamma.
How to Use These Reports
This theta reflects the market close on June 12, 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.