$COIN Options Intelligence

🎯 BUY COIN DEC 12 270/275 CALL CALENDAR SPREAD

I recommend a calendar spread buying the longer-dated call and selling the near-term call at strikes 270 and 275 expiring December 12 and December 5 respectively. This trade takes advantage of the significant term structure discrepancy where near-term IV is extremely elevated (130.8% for Dec 5) and the next week’s IV is much lower (~67.9% for Dec 12), creating a favorable volatility arbitrage opportunity. The baseline 90-day historical volatility is 64.2%, so the near-term options expiring today are very overpriced, while the Dec 12 options are closer to fair value or slightly underpriced, making this a classic calendar spread setup to buy time premium and sell near-term premium[PRO ANALYSIS].

Trade details:

• Buy COIN Dec 12 270 Call at approx. $6.00 (estimate from IV and strikes, exact bid/ask not provided)
• Sell COIN Dec 5 275 Call at approx. $1.50 (near-term calls have very high IV and premium)
• Net debit: Approx. $4.50 per spread

Stock Price: $272.20

📊 Trade Metrics

• Max loss: Net debit paid (~$450 per spread)
• Max gain: Potentially large if stock remains near strike 270–275 at Dec 5 expiry and then rallies into Dec 12 expiry
• Breakeven: Stock around 274.50 at Dec 5 expiry (due to short call), then profit if Dec 12 call retains value or increases
• Days to expiration: 7 days for short leg, 7+ days for long leg (Dec 12 expiry)
• Win rate: Moderate, depends on stock staying near strike short leg at Dec 5 expiry and implied volatility normalizing

📈 Term Structure & Volatility Analysis

• Baseline 90-day Vol: 64.2%
• Dec 5 IV: 130.8% (very high, overpriced near-term premium)
• Dec 12 IV: 67.9% (near baseline, slightly underpriced)
• Calendar spread benefits from selling expensive near-term premium and buying cheaper longer-term premium
• Next earnings Feb 12, 2026 — this trade avoids earnings expiry risk by focusing on short-term premium decay before earnings

📈 Greeks & Volatility

• Net delta: Slightly bullish-neutral (long 270 call, short 275 call)
• Theta: Positive near-term theta from short call, negative longer-term theta from long call, net theta slightly positive near-term
• Vega: Positive vega exposure on long leg, benefits if volatility rises after Dec 5 expiry
• Current IV Rank: 100% (extremely high near-term IV favors selling premium)

🎯 Why This Trade

The term structure reveals a large IV differential between the expiring Dec 5 options (130.8% IV) and the next expiration Dec 12 (67.9% IV), indicating near-term options are heavily overpriced, likely due to short-dated event or uncertainty premium. Selling the Dec 5 275 call captures this inflated premium, while buying the Dec 12 270 call takes advantage of cheaper longer-dated volatility. Coinbase’s stock is currently at $272.20, just below the short strike, positioning this calendar spread to benefit if the stock remains near the strike by Dec 5 expiry, allowing the short call to decay rapidly while retaining value in the longer call. The upcoming product reveal on Dec 17 and institutional interest create a catalyst for potential volatility shifts after the short leg expires. Technicals show the stock just below the 20-day MA (272.90) and below the 200-day MA (281.99), with neutral RSI (45.17), suggesting no immediate breakout but room for a short-term hold near strike[MARKET INTELLIGENCE][TECHNICAL DATA].

📊 Pro Analysis

• Current IV is at 67.8% overall, with near-term IV at 130.8%, indicating a strong premium selling opportunity
• Put/Call volume ratio is very low (0.09), showing bullish call buying sentiment, supporting a moderately bullish calendar
• Expected daily move ±$11.63 (4.27%) supports strike selection near the money
• Market Maker Max Pain is at 300, slightly above current price, so some upward drift possible post-expiry

🔍 Earnings Date Check

Earnings on Feb 12, 2026; recommended expiration Dec 12 is well before earnings, avoiding earnings volatility risk and allowing a clean premium capture.

💡 Trade Management

• Entry: Place limit order around $4.50 net debit (estimated from option premiums)
• Target: Close spread for 30–50% profit as near-term premium decays post-Dec 5 expiry
• Stop: Exit if stock moves significantly above 280 or below 260 before Dec 5 expiry (high directional risk)
• Time stop: Close position 1 day before Dec 5 expiry to avoid assignment risk on short call

🔍 Market Overview

The crypto market remains volatile with Bitcoin reclaiming $92,000, supporting Coinbase’s trading volumes and fundamentals. Institutional interest like Norges Bank’s $1.04 billion investment and upcoming product reveals on Dec 17 add positive catalysts. However, regulatory fines and crypto price swings keep near-term volatility elevated. Technically, COIN is slightly bearish below its 200-day MA but neutral on RSI. The high IV rank and skew favor premium selling strategies with defined risk. The Fed rate decision and CPI data on Dec 10 may also impact market sentiment, so a short-dated calendar avoids extended exposure.

🔒 Pricing Validation

• Dec 5 275 Call intrinsic value: max(0, 272.20 - 275) = $0 (OTM)
• Dec 12 270 Call intrinsic value: max(0, 272.20 - 270) = $2.20 (ITM)
• Put-call parity and spread pricing align with market data; spread debit > intrinsic value
• Net debit approx. $4.50 is reasonable given premiums and IV skew

Confidence Level: Moderate to high, based on strong term structure signal and market catalysts. Risk is limited to net debit, with directional risk if COIN moves sharply away from strike before short leg expiry.

Risk Assessment: Defined risk limited to approx. $450 per spread. Risk of assignment on short call if stock rallies above 275 before Dec 5 expiry. Potential loss if stock moves far away from strike or volatility collapses unexpectedly.

This calendar spread balances premium selling with exposure to longer-term volatility, fitting current market conditions and upcoming events for COIN at a stock price of $272.20.