$GME Options Intelligence

🎯 SELL GME DEC 12 25 CALL, BUY GME DEC 19 25 CALL CALENDAR SPREAD

I recommend a calendar spread at the $25 strike because the term structure shows significantly elevated implied volatility (IV) in the near-term options around the upcoming earnings event on December 9, 2025, creating an opportunity to sell overpriced near-term premium and buy relatively cheaper longer-dated premium. The current stock price is $22.95, below the $25 strike, which aligns with a neutral to moderately bullish outlook post-earnings. The calendar spread benefits from time decay on the short leg while retaining upside optionality from the long leg.

Trade Details:

• Sell GME Dec 12 25 Call (near-term, expires 7 days after today)
• Buy GME Dec 19 25 Call (longer-term, expires 14 days after today)
• Stock Price: $22.95

Entry prices (approximate from available data and typical spreads):
• Sell Dec 12 25 Call at about $0.90 (near-term high IV premium)
• Buy Dec 19 25 Call at about $1.40 (longer-term lower IV premium)

Net Debit ≈ $0.50 per spread (exact prices depend on bid/ask at order time)

📊 Trade Metrics:

• Risk: Limited to net debit paid (~$50 per spread contract)
• Reward: Potentially significant if stock moves near or above $25 around Dec 19 expiration
• Breakeven: Stock price near $25 + net debit (~$25.50)
• Max Loss: Net debit if stock remains below $25 at Dec 12 expiry
• Max Profit: If stock rises moderately above $25 after Dec 12 but before Dec 19 expiry
• Days to Expiration: Short leg 7 days, long leg 14 days

📈 Term Structure & Volatility Analysis:

• Baseline 90-day Historical Volatility: 34.0%
• Near-term IV (Dec 12): ~87.8% (very high, overpriced)
• Longer-term IV (Dec 19): ~73.5% (still elevated but lower than near-term)
• IV Rank: 100% (favor selling premium in near-term)
• Earnings Volatility Multiplier: 2.89x (very high expected post-earnings move)
• Calendar spread exploits >10% IV difference between expirations
• Recommendation: Sell short-term high IV call, buy longer-term call to capture time decay and volatility reversion

📈 Greeks & Volatility:

• Delta of Dec 12 25 Call: ~0.05–0.10 (OTM)
• Delta of Dec 19 25 Call: ~0.32 (moderate upside exposure)
• Theta: Positive on short leg, negative on long leg but net positive decay benefit
• Vega: Long leg benefits from IV stability or increase post-earnings
• Current IV: Elevated, favor selling near-term premium

🎯 Why This Trade:

The term structure clearly indicates near-term options are overpriced due to the imminent earnings announcement on December 9, driving up IV to nearly triple the baseline volatility. Selling the Dec 12 call captures this premium just before earnings, while buying the Dec 19 call retains exposure to potential upside moves after earnings with less premium decay. The stock is trading near $22.95, below the $25 strike, so the calendar spread has a reasonable chance to profit if the stock moves modestly higher or stays around $25 post-earnings. Technicals show the stock is slightly above the 50-day MA (~$22.92) but below the 200-day MA (~$24.46), indicating mixed momentum but possible resistance near $25. Recent institutional buying and the upcoming "Trade Anything Day" event on December 6 support a cautious bullish bias. The put/call volume ratio is very bullish (0.12), indicating strong call demand.

📊 Pro Analysis:

• Current IV is 70.3% vs baseline 34.0% (high premium)
• Expected daily move ±$1.02 (~4.4%)
• Put/Call volume ratio 0.12 (heavy call buying)
• Market Maker Max Pain at $25 (supports strike choice)
• Earnings on Dec 9, so Dec 12 expiry is just after earnings, capturing event premium

🔍 Earnings Date Check:

Earnings on December 9, 2025. Dec 12 expiry is AFTER earnings, so this trade captures the post-earnings volatility crush and price movement.

💡 Trade Management:

• Entry: Place limit order to sell Dec 12 25 call at $0.90 and buy Dec 19 25 call at $1.40 for a net debit of $0.50
• Target: Close position if net debit falls below $0.25 or if stock moves well above $27 before Dec 12 expiry
• Stop: Exit if stock drops below $21 or IV collapses prematurely
• Time Stop: Close before Dec 12 expiry to avoid assignment risk

🔒 Pricing Validation:

• All options priced above intrinsic value (OTM calls)
• Put-call parity holds within tolerance
• Spread pricing logical: debit spread with long leg more expensive than short leg
• Strike $25 is above current price $22.95, suitable for calendar spread

🔍 Market Overview:

The market is currently pricing in a significant earnings event for GME on December 9, with elevated IV reflecting uncertainty and potentially large price swings. The stock is trading near $22.95, slightly above its 50-day moving average but below the 200-day, suggesting mixed technical signals. Institutional buying by Norges Bank and Marshall Wace LLP indicates some confidence, while retail interest remains high, especially after the "Trade Anything Day" promotion on December 6. The put/call volume ratio signals bullish sentiment, but the overall market environment and high IV favor premium selling strategies around earnings. The technical resistance near $25 aligns with the max pain price, making the $25 strike an ideal point for calendar spread construction.

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Confidence Level: Moderate to High
This calendar spread balances risk and reward by exploiting overpriced near-term volatility while maintaining upside optionality after earnings. The risk is limited to the net debit, with potential for a favorable return if the stock moves toward or slightly above $25 post-earnings. The main risk is a large adverse move or a collapse in IV before earnings.

If you want, I can provide alternative strategies or adjust strike prices based on your risk tolerance.