base 5; +1 GEX pinning (+$1.3B); +1 spot ~At MP; -1 mixed flow/P-C skew; +0.5 low VIX (18.36)
Term structure: Flat-to-rising term structure from 1d (7.4%) → 45d (10.6%) → multi-month ~11-11.8% — mild contango, no large term premium
Spot vs MP: At (spot $87.21 vs max pain ~ $86 — within ~0.8% / pre-computed: Spot vs MP: At)
GEX regime: Pinning (Total GEX +$1.3B; strong positive GEX concentrated at $87.00 and $88.00)
Gamma flip: ~$86.00 — Gamma flip ~ $86 — below this level dealer gamma exposure decreases and moves can accelerate away from pin
OI concentrations: Put wall $86.00 (111,992 OI); Call walls $86.00 (90,797 OI), $87.00 (78,581 OI), larger call structure $92-$110
#1put spread
Sell 2026-05-29 84/82 put spread (45 DTE)
30-45 DTE defined-risk put spread collects relatively richer term premium than weeklies (ATM 10.6% at 45d). Pinning at $86-$87 plus heavy $86 put OI reduces probability of a move below 84 within 45 days (expected move to May29 shows lower bound ~$84.62).
Mgmt: Take 60-75% of max profit; if price trades below $86 (gamma flip) close or roll down; cut losses if spread value reaches 60% of max loss or if daily close below $84.00
#2covered call
Buy 100 shares and sell 2026-04-22 87.50 call (8 DTE)
Short-dated covered call captures rapid theta; 87.50 call sits inside near-term GEX concentrations and max pain window — high pin likelihood minimizes assignment risk ahead of roll. IV is low, so premium is small but short time frame limits vega exposure.
Mgmt: Take 50-66% of premium as profit; roll up-and-out if TLT rallies above 87.50 with <2d to expiry; close if TLT breaks and closes below $86.00 (gamma flip)
#3iron condor
Sell 2026-05-29 82/84P and 90/92C iron condor (45 DTE)
Defined-risk wings sized around the 45d expected move (~±3.0% → bounds ~$84.62-$89.79). Pinning and concentrated GEX at $87-$88 favor staying inside wings; broad wings capture additional theta with limited IV exposure.
Mgmt: Close at 50% of max profit; if either short strike is tested (price inside 0.50 width), consider rolling the tested side down/up or closing; cut losses if combined position reaches 60% of max loss on either side
#4cash-secured put
Sell 2026-05-15 85 put (31 DTE) cash-secured
MP clustered around $86 and dealer GEX pinning increases chance puts expire worthless; 31 DTE still offers useful theta and a slightly higher ATM IV (~10.5%) than weeklies.
Mgmt: Take 50-75% profit; if price trades below $86, consider rolling down ~2 strikes and out 1-2 expirations; close if TLT closes below $84.00
!Gamma flip ~$86 — a close persistently below $86 can flip dealer behavior and accelerate downside; treat $86 as hard invalidation for short-put bias
!IV is low (Avg IV 13.6%, ATM 7.4%-11.2%) — premiums compressed; avoid large naked short risk and favor defined-risk spreads
!Heavy call flow concentrated at $87.00 and $88.00 (Top premium flow: $87 call net $3,122,986; GEX +$294.2M at $87) — short-call positions may face pin/assignment competition and flow-driven pinning
!Net premium flow shows large institutional put buying at higher strikes (e.g., $115/$96/$94 put net flows negative) — mixed flow; watch for directional block trades that can reprice IV
!No explicit upcoming earnings or ex-dividend data provided — absence confirmed in input (do not sell naked through unknown events)