| 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 | 409 | -0.23 | 2.78 | $40,622 | 21% | 0.77 | 80% | 76% | 1.06× | sell |
| aggressive | 0.25–0.40 | 2026-09-04 | 12 | 415 | -0.32 | 4.47 | $41,052 | 33% | 1.23 | 74% | 66% | 1.06× | 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 | 28% | 410 | -0.24 | 3.01 | 23% | 0.83 | 74% | 1.06× | 0.064 | ||
| 09-11 | 19 | 27% | 400 | -0.16 | 2.10 | 10% | 0.39 | 83% | 1.03× | 0.040 | ||
| 09-18 | 26 | 27% | 405 | -0.24 | 4.17 | 15% | 0.57 | 74% | 1.01× | 0.045 | ||
| 09-25 | 33 | 27% | 400 | -0.21 | 3.94 | 11% | 0.43 | 77% | 1.01× | 0.037 | ||
| 09-30 | 38 | 26% | 400 | -0.22 | 4.44 | 11% | 0.43 | 76% | 0.99× | 0.036 | ||
| 10-02 | 40 | 27% | no qualifying strike | |||||||||
| 10-16 | 54 | 26% | 400 | -0.25 | 6.36 | 11% | 0.43 | 72% | 1.00× | 0.032 | ||
| 11-20 | 89 | 26% | no qualifying strike | |||||||||
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.
02:31 EDT · weekend
Market is closed. Quotes are last week's close.
3 consecutive up closes (+6.2%). 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 06:31 UTC. JSON