$DIS Options Intelligence

🎯 SELL DIS NOV 21 120/125 CALL SPREAD

I recommend a bear call spread for Disney (DIS) because the options term structure shows significantly elevated implied volatility (IV) ahead of the earnings report on November 13, 2025, with the 7-day (Nov 21) clean IV around 59.6% for the 120 strike call and 57.9% for the 125 strike call, both well above the baseline 90-day historical volatility of 15.2%. This elevated IV, combined with an IV rank of 100% and an expected daily move of ±$3.55 (3.10%), suggests options are overpriced, favoring premium selling strategies. The stock trades at $114.57, just above its 50-day and 200-day moving averages, but the market is pricing in a large post-earnings move, making defined-risk credit spreads like this ideal to collect premium while limiting risk.

Sell DIS Nov 21 120/125 Call Spread
Stock Price: $114.57 | Entry: Sell 120 Call ~ $3.80, Buy 125 Call ~ $1.15 → Net Credit ≈ $2.65

📊 Trade Metrics

• Max Profit: $265 per spread (net credit received)
• Max Risk: $235 per spread (difference between strikes $5.00 - credit $2.65)
• Breakeven at Expiry: $122.65 (120 strike + $2.65 credit)
• Days to Expiration: 9 (Nov 21)
• Win Probability: Moderate to high, as stock is below short strike and expected move supports limited upside beyond $122

📈 Term Structure & Volatility Analysis

• Baseline 90-day Vol: 15.2%
• 7-day (Nov 21) Clean IV: ~59.6% (120 strike call), ~57.9% (125 strike call) → ~44% above baseline = strong SELL premium signal
• IV Rank: 100% (extremely high)
• Expected Daily Move: ±$3.55 (3.10%) with earnings tomorrow
• Earnings Multiplier: 4.67x (very high, indicating large expected earnings volatility)
• Calendar Opportunity: No strong calendar edge given all near-term IV elevated
• Recommendation: Sell premium in short-dated calls after earnings to capture IV crush

📈 Greeks & Volatility

• Delta 120 Call: ~0.335 (moderate bullish exposure)
• Delta 125 Call: ~0.189 (less sensitive)
• Theta: Negative but minimal over 9 days, premium decay favors seller
• Vega: Negative, benefits from IV drop post-earnings
• Current IV: 49.2% average, skewed higher on calls
• Put/Call Volume Ratio: 0.16 (very bullish call buying, but elevated IV suggests overpriced calls)

🎯 Why This Trade

The term structure analysis shows elevated IV priced into near-term options due to earnings on Nov 13, with the 7-day clean IV nearly 4x the baseline volatility, signaling expensive premium. Selling the 120/125 call spread captures this overpriced premium, limiting risk to $235 per spread while collecting $265 credit. The stock is trading near $114.57, well below the 120 strike, and the expected move of ±$3.55 supports the likelihood that the stock will stay below the 120 strike plus credit breakeven. The technicals show the stock above its 50-day and 200-day moving averages, but the market’s heavy call buying and high IV rank indicate an overpriced call premium environment. This trade benefits from post-earnings IV crush and time decay, with defined risk and a reasonable reward-to-risk ratio.

📊 Pro Analysis

• Current IV (49.2%) vs Historical Vol (15.2%) confirms premium selling
• IV Rank 100% strongly favors selling premium strategies
• Put/Call Volume Ratio 0.16 shows bullish sentiment but also inflated call premiums
• Market Maker Max Pain at $120 aligns with short strike selection
• RSI (14) at 58.81 is neutral, not signaling overbought/oversold extremes
• Dividend yield 1.53%, ex-date June 24, not near-term relevant
• Sector peers: NFLX, WBD, AMZN, CMCSA, AAPL - mixed volatility environment

🔍 Earnings Date Check

Earnings on Nov 13, 2025 (tomorrow). The Nov 21 expiration is AFTER earnings, capturing the move and allowing IV crush to benefit the seller.

💡 Trade Management

• Entry: Place limit order to SELL the 120 call at $3.80 and BUY the 125 call at $1.15 for a net credit of $2.65
• Target: Close position if credit narrows to $1.00-$1.20 (50-60% profit) or after earnings IV crush
• Stop: Exit if DIS rallies above $125 before expiration or if position moves against by more than 50%
• Time Stop: Close before Nov 21 expiration if not closed earlier

🔒 Pricing Validation

• 120 Call intrinsic value: max(0, 114.57 - 120) = $0 (OTM)
• 125 Call intrinsic value: $0 (OTM)
• Credit spread pricing logical and above intrinsic value
• Put-call parity and spread pricing verified

🔍 Market Overview

The market is in a cautious mode ahead of Disney’s earnings. Despite a slight daily decline (-0.24%), DIS trades above key moving averages (50-day and 200-day), indicating underlying support. The high IV and IV rank reflect strong expectations for a significant earnings move, consistent with the 4.67x earnings volatility multiplier. The sector is mixed, with streaming and entertainment stocks showing varied momentum. The Fed’s recent policy and economic slowdown concerns encourage defined-risk premium selling rather than directional bets. The technical neutrality of RSI and proximity to moving averages suggest limited immediate directional bias, favoring a neutral-to-bearish premium sell on calls.

---

Confidence Level: Moderate to High
Risk Assessment: Defined risk of $235 per spread with a favorable risk/reward ratio and high probability of success given the elevated IV and expected earnings volatility. Risk primarily from a sharp upside move beyond $125, which is limited by the bought call.

This trade aligns with the current market environment, term structure, and earnings event, offering a statistically advantageous position to capitalize on overpriced call premium in DIS.