1. Borrow rate at 58.20%; 20x increase in 4 months
2. Shares available to borrow collapsed to 250,000 (Intraday of 300 on Friday)
3. Short volume ratio collapsed to .27 on Friday marking highest volume day in 6 months
4. T+35 FTD (fail to deliver) lands May 6th, one day before earnings
5. Consistent delivery failures throughout April representing naked shorting and/or genuine borrow-shortage
*Dealer Positioning:*
6) NOPE (Net Options Pricing Effect) on Friday was 22x the 30-day median and accelerated through the day instead of fading.
7) Cumulative net delta: +15.37M shares-equivalent means dealers must hold \~$147M of long stock to be neutral. Firday directionalized. Gamma Exposure of: -$3.99M and today's flow created NEW short-gamma exposure for dealers
8) Monday 5/4 Gamma Cliff - 5/1 held 53% of gamma exposure. Monday morning starts with chain gamma at \~$2.9M vs Friday's \~$6.2M which dealer hedging requirements halved overnight, allowing the same news to move price more dramatically.
9) Smart money rolling from 5/15 to 6/18 straddle (likely for potential IV post earnings)
10) Max-Pain Asymmetry: 6/18 at $10 - institutional positioning
*Volatility:*
11) On 5/15 expiry at the 0.15 delta point, put IV minus call IV reads -0.27, meaning far-OTM calls are priced at 27 vol points over equivalent distance puts. SOUN's tail call-skew reversal is the structural footprint of persistent retail call demand.
12) Volatility of Vol (VOV) - 97th percentile of its 1-year range
13) Front-month IV (5/8, 7 DTE): \~170%. 240-day IV (\~01/2027): \~90%. The \~80 vol-point spread is the steepest backwardation observable in the visible window.
14) SOUN exhibits IV smile, both tails are bid up to roughly equal IVs (\~2.0 at 4P, \~1.8 at 16C, ATM \~1.25). Confirms retail call demand has been so persistent that OTM call IV has matched the natural put-protection bid.
Position:
5/15 Call Options going into earnings (Watching to sell before earnings based on price movement)
6/18 Call Options (Watching to buy after earnings from IV crush based on price movement)