| Profile | Delta band | Expiry | DTE | Strike | Δ | Credit | Collateral | ARoC | VAY | POP | Unassigned | IV/RV | Verdict |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| conservative | 0.05–0.15 | 2026-10-30 | 7 | 260 | -0.07 | 0.38 | $25,962 | 8% | 0.24 | 93% | 92% | 2.23× | sell |
| moderate | 0.15–0.25 | 2026-10-30 | 7 | 270 | -0.24 | 1.40 | $26,860 | 27% | 1.05 | 80% | 75% | 1.85× | sell |
| aggressive | 0.25–0.40 | 2026-10-30 | 7 | 274 | -0.37 | 2.46 | $27,154 | 47% | 1.93 | 71% | 61% | 1.75× | 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 10-30 | 7 | 24% | 270 | -0.24 | 1.40 | 27% | 1.05 | 75% | 1.85× | 0.086 | ||
| 11-06 | 14 | 22% | 265 | -0.19 | 1.46 | 14% | 0.55 | 80% | 1.86× | 0.052 | ||
| 11-13 | 21 | 21% | 263 | -0.18 | 1.74 | 12% | 0.46 | 80% | 1.81× | 0.044 | ||
| 11-20 | 28 | 21% | 262 | -0.19 | 2.06 | 10% | 0.42 | 79% | 1.76× | 0.040 | ||
| 11-27 | 35 | 20% | 265 | -0.24 | 2.93 | 12% | 0.51 | 73% | 1.63× | 0.045 | ||
| 12-18 | 56 | 20% | no qualifying strike | |||||||||
| 12-31 | 69 | 20% | no qualifying strike | |||||||||
| 01-15 | 84 | 20% | 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.
20:25 EDT · after hours
Market is closed. Quotes are the closing marks.
3 consecutive up closes (+2.2%). 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 2026-10-23 00:25 UTC. JSON