Earnings Verdict
Earnings expected around 4/02, confirmed by sharp IV kink. IV is elevated (44% ATM), making IV crush plays attractive. Historical data shows mixed moves, but strong gamma pinning suggests mean reversion.
base 5; +1 clear IV kink at 4/02; +0.5 strong gamma pinning; -0.5 limited historical data
Most important: IV term structure shows a sharp peak at 4/02 (44.1%) vs. 24.3% on 4/01, confirming earnings event.
📅Earnings inferred for 4/02 based on IV kink. Confirm via company calendar.
⚖️Spot ($371.75) is below near-term max pain ($385). Positive GEX suggests pinning pressure upward.
Regime Classification
Gamma Regime
Pinning (GEX +$47.6M — mean-reverting)
Flow Regime
Mixed (net prem $-859.5M, P/C 0.99)
Spot vs MP
Below max pain by 3.4% (spot $371.75 vs MP $385)
Earnings Overview
Next earnings: 2026-04-02 (2 days)inferred from IV kink
Expected moves:
- 4/02 (2d): ±$12.06 (3.2%) [$359.69 - $383.81]
- 4/06 (6d): ±$15.85 (4.3%) [$355.90 - $387.60]
IV Setup
Term structure: Sharp kink at 4/02 (44.1% vs 24.3% on 4/01 and 37.3% on 4/06). Elevated IV across the curve.
Crush estimate: ~15-20 vol pts post-earnings, back to ~30% range.
Skew: Mixed flow with net premium negative, but P/C ratio near 1 suggests balanced positioning.
Historical Context
Beat rate: 50% (2/4 quarters)
Avg move vs expected: Insufficient data for precise move vs. expected, but recent quarters show mixed surprises.
Directional bias: 2/4 gap up post-earnings, 2/4 gap down.
Key Levels
1$370 (spot near)
2$385 (max pain 3/23)
3$360 (EM lower bound approx)
4$382.5 (EM upper bound approx)
5$400 (call OI wall)
Flow Highlights
Massive volume in 4/01 $377.50P (117k vol vs 776 OI) and $380P (131k vol vs 1,356 OI) at very low IV (<10%).
Likely closing/selling of near-dated puts ahead of earnings, not new directional bets.
Large net premium outflow at $500 strike (-$618M), driven by put buying.
Potential long-dated hedge or bearish positioning far OTM.
Strategies
Short Iron Condor (IV Crush)
Sell $360/$355P x $385/$390C 4/02
Trigger: Enter 1 day before earnings (4/01)
Elevated IV at 4/02 expiration provides premium to sell. Gamma pinning regime supports mean reversion. Strikes placed just outside EM bounds.
Outperforms: Stock stays within EM bounds ($359.69-$383.81) and IV crushes.
Underperforms: Gap exceeds EM by >$5.
Long Straddle (Directional Volatility)
Buy $372.50 straddle 4/02
Trigger: Enter if IV hasn't spiked >50% day before earnings.
Historical mixed surprises and potential for large guidance-driven move. Use if expecting a binary outcome.
Outperforms: Actual move exceeds EM (3.2%) by >50%.
Underperforms: Stock pins near $372.50 and IV crushes sharply.
Put Calendar Spread (Theta Decay + IV Crush)
Buy $365 put 4/06, Sell $365 put 4/02
Trigger: Enter 2 days before earnings.
Capitalizes on higher IV in front month (4/02) vs. back month (4/06). Benefits from IV crush on the short leg.
Outperforms: Stock stays near or slightly below $365, IV crushes on short-dated leg.
Underperforms: Large gap down below $355.
Risk Assessment
!Gap risk: 3.2% EM, but TSLA can gap 5-10% on earnings. Watch guidance.
!IV crush: Estimated 15-20 vol point drop. Short premium strategies benefit.
!Liquidity: Excellent. High OI and volume across strikes.
!Sizing: Size condors/strangles for max loss of 1-2% of portfolio given gap risk.
What to Watch
?IV trajectory into 4/01
?Spot vs. $385 max pain level
?Unusual activity in weekly expirations post-4/02