Earnings Verdict
Earnings expected around 4/2 (8 days). IV is elevated at 49% vs VIX 25, making IV crush plays attractive. However, massive net premium inflow ($109M) and a strong historical beat rate suggest a directional upside bias is also viable. The key risk is a 'sell the news' reaction after a strong run-up.
base 5; +1 elevated IV (49%) vs VIX (25); +0.5 strong historical beat rate; -0.5 high net premium flow suggests crowded positioning
Most important: IV term structure shows a distinct kink at the 4/2 expiration (44.2% vs 45.5% for 3/27), confirming the earnings date. The 5.0% expected move is significant.
⚠️Massive $76M net premium flow into $300C suggests crowded bullish positioning. Risk of a 'sell the news' reaction if guidance is merely in-line.
📊Spot ($347.75) is 6.2% above max pain ($328). Dealers are short gamma, which could amplify a move below $330.
🎯Earnings date inferred for 4/2. Confirm via company IR before trading.
Regime Classification
Vol Regime
High (IV 49.4%)
Gamma Regime
Pinning (GEX +$5.0M — mean-reverting)
Flow Regime
Mixed (net prem +$109.2M, P/C 1.14)
Spot vs MP
Above max pain by 6.2% (spot $347.75 vs MP $328)
Gamma flip: ~$330.00 — Below $330, dealers may amplify downside moves due to put OI concentration.
Earnings Overview
Next earnings: 2026-04-02 (8 days)inferred from IV kink and expected move jump
Expected moves:
- 4/02 (8d): ±$17.42 (5.0%)
- 4/10 (16d): ±$24.35 (7.0%)
IV Setup
Term structure: Kink at 4/02 (44.2%) vs 3/27 (45.5%). Elevated IV across all expiries (~44-46%).
Crush estimate: ~15-20 vol pts post-earnings, back to ~30% IV.
Skew: P/C OI ratio of 1.48 shows more put open interest, but net premium flow is heavily call-biased, indicating expensive call buying.
Historical Context
Historical earnings data not available.
Key Levels
1$330 Gamma Flip / Max Pain (4/02)
2$340 (Major OI Strike)
3$300 (Massive Call OI & Premium Flow)
4EM Bounds: $330.32 - $365.18
Flow Highlights
$300C: Net premium +$76.2M (OI 16,035). Massive bullish flow.
Long-dated, deep ITM call buying for leverage/hedging. Suggests strong institutional bullish conviction.
$360C 4/02: Vol 7,934 vs OI 1,152 (6.9x). IV 41.6%.
Unusual volume in OTM calls just above expected move. Direct earnings upside bet.
$317.50P 4/02: Vol 5,677 vs OI 161 (35.3x). IV 52.7%.
Extreme OTM put purchase, likely a hedge against a tail-risk downside move post-earnings.
Strategies
Short Straddle (IV Crush Play)
Sell $347.50 straddle exp 4/02.
Trigger: Enter 1-2 days before earnings, ideally on a volatility pop.
IV is elevated at 49% vs VIX 25. A reversion post-earnings provides a high-probability theta/vega win if price is contained.
Outperforms: Stock moves less than ±$17.42 (5.0%) and IV crushes significantly.
Underperforms: Stock gaps beyond expected move, especially given high net premium flow.
Put Credit Spread (Bullish, Defined Risk)
Sell $330P / Buy $325P exp 4/02.
Trigger: Enter on any pre-earnings weakness toward $340.
Capitalizes on bullish flow and spot above max pain. Defines risk while selling elevated IV. Strike is below the expected move low and at the gamma flip/key OI level.
Outperforms: Stock stays above $330 (below expected move low). Benefits from IV crush and theta.
Underperforms: Stock breaks below $330, triggering the gamma flip level.
Jade Lizard (Premium Collection, Upside Bias)
Sell $330P / Sell $365C exp 4/02. No buy side on call.
Trigger: Enter 3-5 days before earnings.
Higher probability than a short straddle. Collects premium with a bullish bias (no call spread). Aligns with strong call flow and spot above max pain. The $365 short call is just above the expected move high.
Outperforms: Stock stays between $330 and $365 (within/above expected move range).
Underperforms: Stock rallies sharply above $365 or crashes below $330.
Long Call Diagonal (Directional Upside)
Buy $350C exp 5/15 / Sell $360C exp 4/02.
Trigger: Enter on a dip before earnings.
For traders with a strong bullish view. The short near-term call finances the longer-dated call and benefits from IV crush. Captures a move toward the $360 unusual activity strike.
Outperforms: Stock rallies moderately into and after earnings (to ~$360-380).
Underperforms: Stock is flat or down. IV crush hurts long leg more than short.
Risk Assessment
!Gap Risk: The 5.0% expected move is large. A break outside the $330-$365 range could trigger stop-losses, especially given the gamma flip at $330.
!IV Crush: Estimated 15-20 vol point drop. This is the primary profit driver for premium-selling strategies but a risk for long premium positions.
!Liquidity: Excellent, with high open interest across major strikes ($300, $330, $340, $350).
!Sizing: Given the high IV and potential for a large gap, position sizes should be reduced (e.g., 1/2 to 2/3 normal size) to account for increased volatility of returns.
What to Watch
?VIX trajectory into earnings (currently 25). A rising VIX could inflate IV further, improving entry for short vol.
?Spot price action relative to $340 and $350. A hold above $340 maintains the bullish technical structure.
?Any follow-through unusual flow in the $360C or deep OTM puts ($317P) for clues on market positioning.