| Profile | Delta band | Expiry | DTE | Strike | Δ | Credit | Collateral | ARoC | VAY | POP | Unassigned | IV/RV | Verdict |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| conservative | 0.05–0.15 | — no qualifying contract — | no trade | ||||||||||
| moderate | 0.15–0.25 | 2026-09-04 | 12 | 165 | -0.16 | 2.23 | $16,277 | 42% | 0.57 | 83% | 81% | 1.12× | sell |
| aggressive | 0.25–0.40 | 2026-09-18 | 26 | 170 | -0.27 | 6.37 | $16,363 | 55% | 0.79 | 73% | 66% | 1.05× | sell |
Read it as a ladder: a higher delta pays a larger credit precisely because it is likelier to be assigned. The profiles differ in what they accept, not in how much edge they find.
| Expiry | DTE | ATM IV | Ern | Strike | Δ | Credit | ARoC | VAY | Unassigned | IV/RV | Γ risk | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 09-04 | 12 | 77% | 165 | -0.16 | 2.23 | 42% | 0.57 | 81% | 1.12× | 0.018 | ||
| 09-11 | 19 | 71% | 165 | -0.19 | 3.45 | 41% | 0.59 | 76% | 1.06× | 0.017 | ||
| 09-18 | 26 | 72% | 160 | -0.18 | 3.61 | 32% | 0.46 | 77% | 1.06× | 0.014 | ||
| 09-25 | 33 | 71% | no qualifying strike | |||||||||
| 10-02 | 40 | 70% | no qualifying strike | |||||||||
| 10-16 | 54 | 72% | 150 | -0.17 | 5.19 | 24% | 0.34 | 75% | 1.07× | 0.009 | ||
| 11-20 | 89 | 74% | ⚠ | 150 | -0.21 | 9.81 | 29% | 0.39 | 67% | 0.99× | 0.008 | |
Annualized return is not neutral across the term: at constant delta a short-dated contract annualizes far higher simply because a small credit over a few days extrapolates hugely. Γ risk — the delta change per 1% move — shows what the short end costs you.
02:35 EDT · weekend
Market is closed. Quotes are last week's close.
3 consecutive up closes (+27.5%). Reported as context only: streak-based timing showed no measurable effect on the seller's edge (t = 0.02, measured over 33 years of index data).
Freshly scanned. Generated 2026-08-23 06:35 UTC. JSON