Earnings Verdict
Earnings expected around 5/21 (52 days out). Current IV is normal (33%), but term structure shows a clear kink at the 5/15 expiration, confirming earnings timing. Historical data shows a strong beat rate (75%) and a tendency to gap up post-earnings. The elevated expected move for the 5/15 cycle suggests a crush play is viable, supported by pinning gamma and a spot price above max pain.
base 5; +1 strong historical beat rate; +0 pinning gamma; -0 VIX not provided
Most important: Term structure kink at 5/15 expiration (45d out) confirms earnings date; stock has a 75% EPS beat rate with a bullish directional bias.
📅Earnings date inferred as ~5/21 based on IV term structure kink at 5/15 expiration (45 days out).
📊Historical EPS beat rate is strong (75%), but only 4 quarters of data available. Directional bias is positive.
⚖️Spot ($124.28) is above max pain ($121) and near a call OI wall at $125. Pinning gamma suggests mean-reverting pressure.
Regime Classification
Vol Regime
Normal (IV 33%)
Gamma Regime
Pinning (GEX +$13.8M — mean-reverting)
Flow Regime
Mixed (net prem +$9.4M, P/C 1.28)
Spot vs MP
Above max pain by 2.7% (spot $124.28 vs MP $121)
Gamma flip: ~$115.00 — Below $115, dealers amplify moves due to large put OI concentration.
Earnings Overview
Next earnings: 2026-05-21 (52 days)inferred from term structure kink at 5/15 expiration
Expected moves:
- 5/15 (45d): ±$9.07 (7.3%) [$115.20 - $133.35]
IV Setup
Term structure: Kink at 5/15 expiration (45d: 26.4%) vs surrounding expirations (5/08: 29.8%, 6/18: 29.5%). IV for 5/15 is suppressed relative to front and back months, indicating earnings date.
Crush estimate: ~3-4 vol pts post-earnings, back towards 23-24% (typical non-earnings IV).
Skew: P/C ratios >1 indicate slightly more put demand, but flow is mixed with net positive premium.
Historical Context
Beat rate: 75% (3/4 quarters)
Avg move vs expected: Insufficient data for precise move history, but EPS surprise is consistently positive.
Directional bias: 3/4 quarters showed a positive EPS surprise, suggesting an upward bias.
Key Levels
1$115 gamma flip / major put OI wall
2$125 call OI wall / max pain for 4/10 & 4/17
3$133 upper EM bound (approx)
4$115 lower EM bound (approx)
Flow Highlights
Large net premium inflow to deep OTM calls ($45, $70, $75).
Likely speculative, long-dated bullish bets or hedging, not directly related to near-term earnings.
Significant net premium outflow at $120 and $125 strikes (Call vs Put).
Indicates selling of near-the-money calls, possibly covered calls or belief in resistance.
Unusual volume in 4/24 $113 Put (Vol 1,165 vs OI 131).
Possible earnings downside protection or speculative bearish bet for April.
Strategies
Short Strangle (Earnings IV Crush)
Sell $115 Put / Sell $135 Call 5/15
Trigger: Enter 2-3 weeks before earnings (late April/early May) as IV ramps into the event.
Capitalizes on elevated IV for the earnings cycle and historical tendency for positive but not extreme moves. Strikes placed just outside the 7.3% expected move, anchored to key OI levels ($115 put wall, $135 call wall).
Outperforms: Stock stays within a ~$20 range ($115-$135); IV crushes post-earnings.
Underperforms: Stock gaps beyond short strikes; limited upside if IV doesn't crush.
Long Put Vertical Spread (Defensive/Hedge)
Buy $120 Put / Sell $115 Put 5/15
Trigger: Enter if spot rallies into earnings near $125-$130 resistance, or as a portfolio hedge.
Defensive play targeting a move back towards the $115 gamma flip and major put OI. Defines risk while positioning for a pullback from current elevated spot vs. max pain.
Outperforms: Stock declines post-earnings, especially below the $120 breakeven.
Underperforms: Stock rallies or pins; suffers from time decay and IV crush.
Iron Condor (Tighter Range)
Sell $118 Put / Buy $115 Put x Sell $130 Call / Buy $133 Call 5/15
Trigger: Enter 10-14 days before earnings when short-dated IV is elevated.
Defined-risk version of the strangle, collecting premium with wings placed inside the expected move. Targets a pin near current spot/max pain. Lower reward but capped risk.
Outperforms: Stock stays in a ~$12 range ($118-$130) through expiration.
Underperforms: Stock gaps beyond the short strikes ($118 or $130).
Risk Assessment
!Gap Risk: 7.3% expected move is significant; a guidance surprise could cause a larger gap, especially given the stock's recent strength above max pain.
!IV Crush Impact: Strategies selling premium rely on IV dropping post-event. If macro volatility remains high, crush may be less pronounced.
!Liquidity: WMT is liquid, but strikes >$140 or <$100 may have wider spreads. Stick to strikes with high OI.
!Sizing: Due to 52 days until earnings, time decay will be slow initially. Size positions to account for potential early assignment on deep ITM short legs (unlikely but possible).
What to Watch
?IV trajectory for the 5/15 expiration over the next month as earnings approach.
?Spot price action relative to the $121 max pain and $125 call OI wall.
?Any unusual flow into May puts, which could signal growing downside concern.