NU Iron Butterfly — 2026-10-23

NU (Nu Holdings Ltd. Class A Ordinary Shares): $59K of buyer-initiated unusual call flow (100% call-dominant), IV rank 66 (elevated). Our gamma model reads NU in a POSITIVE-gamma regime (net GEX 0.2M, flip 14.08) — dealers are long gamma and suppress realized vol, so price tends to pin/mean-revert between the $14 put wall (support) and $15 call wall (resistance). Structured as a Iron Butterfly (sell $15P / buy $14.5P / sell $15C / buy $15.5C) expiring 2026-10-23 (18 DTE) — positive-gamma pin at wall + rich IV → iron fly at the pin. Net credit $48, max loss $2 (defined risk). Breakevens $14.52 and $15.48.

Underlying: NU @ ~$15.18 | 2026-10-23 (18 DTE) | Net credit (entry): ~$48 per condor/fly. Use limit orders at the mid or slightly better.

ENTRY: Sell the $15 put AND $15 call (the body) and buy the $14.5 put / $15.5 call wings, expiring 2026-10-23 (18 DTE), as one order at a LIMIT of the mid or better — target credit $48. IV rank 66 is elevated — premium is rich, a good backdrop to SELL; any vol contraction adds to the win. Best when spot is PINNED at $15 in a positive-gamma regime. Gamma pin is strong (pin strength 0.44) — anchor the $15 body at the pin so spot is magnetized to your max-profit point. | TAKE PROFIT: Buy the fly back to LOCK IN gains at ~25–40% of the $48 max credit — a fly's max profit needs a pin-perfect expiration, so don't be greedy; take the middle of the tent. Also close on TIME: exit around 21 DTE regardless of P&L to sidestep the late-cycle gamma/pin risk near NU's short strike(s) — currently 18 DTE, so plan the exit 0 day(s) out. Profit zone $14.52–$15.48, peak at $15. | IF TESTED: As spot drifts off the $15 body, roll the UNTESTED side toward price to re-center the fly and collect more credit; if a short is tested (delta ~0.30) or loss ≈$96, roll the whole fly in the direction of the move for a credit or take the defined stop. Treat a close below the $14 put wall as the hard trigger to act (the pin support has failed); Treat a close above the $15 call wall as the hard trigger to act (the resistance magnet has broken). A wing fully in-the-money = max loss ($2); take it. | MAXIMIZE: If NU sits right at $15, let theta rip toward the pin — this is where the fly pays most. Bank it around 25–40% rather than chasing the last of the tent; re-center into the next cycle if the pin holds.