Term structure: Relatively flat, slight hump at 5/08 (38 DTE at 29.8%)
Spot vs MP: Above max pain by 2.7% (spot $124.28 vs MP $121)
GEX regime: Strong Pinning (GEX +$13.8M)
Gamma flip: ~$115.00 — Massive put wall at $115 creates strong support; below this level, dealers would amplify selling
OI concentrations: Put wall $115 (25,686 OI), Call wall $135 (20,204 OI), Put wall $110 (19,032 OI)
#1put spread
Sell $115/$110 put spread 2026-05-15 (45 DTE)
Places short strike at massive 25,686 OI put wall with 7.3% buffer from spot. Strong positive GEX supports mean reversion. 45 DTE captures optimal theta decay while avoiding earnings.
Mgmt: Close at 65% profit. Exit if WMT closes below $118 (below 5% buffer). Roll down/out if $115 tested with 21+ DTE remaining.
#2iron condor
Sell $115/$110P x $135/$140C 2026-05-15 (45 DTE)
Capitalizes on pinning between major OI walls ($115P, $135C). 8.7% buffer on both sides. Positive GEX regime favors range-bound price action. Defined risk with attractive credit-to-width ratio (~32%).
Mgmt: Close at 50% profit. Manage wings independently — roll tested side out 30-45 days for credit. Exit entire position if spot breaches either short strike.
#3cash-secured put
Sell $115 put 2026-05-15 (45 DTE)
For those comfortable with assignment. Collects premium at strongest support level (25,686 OI) with 7.5% downside buffer. IV of 26.4% provides decent premium. Willing to own WMT at $115 net cost.
Mgmt: Roll down/out for credit if tested with 21+ DTE. Close at 70% profit. Accept assignment below $115 if comfortable with long-term holding.
#4calendar spread
Sell $125 call 2026-04-17 (17 DTE) / Buy $125 call 2026-05-15 (45 DTE)
Capitalizes on IV term structure (25.6% vs 26.4%) and spot near $125 call wall (15,087 OI). Positive GEX supports pinning. Benefits from faster theta decay on short weekly vs longer long leg.
Mgmt: Close when short leg reaches 50% max profit or 3-5 DTE remaining. Exit if WMT moves >$2 away from $125. Roll short leg to next expiration if profitable.
!Earnings on 2026-05-21 — close all short premium positions before announcement (7 weeks away)
!Gamma flip at $115 — breach could trigger accelerated selling from dealer hedging
!Mixed flow regime (P/C 1.28) suggests some bearish positioning despite pinning
!Unusual activity in $113 puts for 4/24 — monitor for increased put buying pressure
!December 2026 max pain at $90 is outlier — suggests some long-term bearish positioning
!Ex-dividend dates not in data — monitor for early assignment risk on deep ITM short calls