Term structure: Skew steep: 1D call IV 138%; term flat beyond 1W
Spot vs MP: Below
GEX regime: Trending ($-51.5M)
Gamma flip: ~$100.00 — Approx — based on put OI concentration of 31,402 (8.5% below spot)
OI concentrations: Put OI 31k at $100; max pain $115 (1D), $109 (6D), $115 (7D)
#1Call credit spread
Sell 2026-07-17 $115.00/$119.00 call spread
Sell $115/$119 call spread to profit from flat-to-down action and time decay.
Mgmt: Enter 0.56-0.68; exit at 50% gain or if spot breaches $115.
#2Iron condor
Sell 2026-07-17 $105.00/$100.00 put wing and $115.00/$119.00 call wing
Sell $105/$100 put wing and $115/$119 call wing for time decay.
Mgmt: Enter 1.74-2.12; exit at 50% gain or adjust wings if pin risk materializes.
#3Put credit spread
Sell 2026-07-17 $105.00/$100.00 put spread
Sell $105/$100 put spread to profit from support at $105.
Mgmt: Enter 1.18-1.44; exit at 50% gain or if spot breaks $105.
!Extreme skew on 1D expiry may cause large swings
!Bearish dealer positioning and trending regime
!Volatility risk: high IV may compress quickly
!Assignment risk on short options near expiry