| 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 | 2026-09-18 | 26 | 100 | -0.17 | 2.51 | $9,749 | 36% | 0.46 | 81% | 77% | 1.16× | sell |
| aggressive | 0.25–0.40 | 2026-09-04 | 12 | 110 | -0.27 | 3.20 | $10,680 | 91% | 1.09 | 75% | 68% | 1.23× | 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 | 87% | 105 | -0.18 | 1.86 | 55% | 0.66 | 78% | 1.23× | 0.017 | ||
| 09-11 | 19 | 81% | 105 | -0.21 | 2.77 | 52% | 0.66 | 74% | 1.16× | 0.016 | ||
| 09-18 | 26 | 80% | 100 | -0.17 | 2.51 | 36% | 0.46 | 77% | 1.16× | 0.012 | ||
| 09-25 | 33 | 82% | no qualifying strike | |||||||||
| 10-02 | 40 | 79% | no qualifying strike | |||||||||
| 10-16 | 54 | 80% | 100 | -0.23 | 5.46 | 39% | 0.50 | 67% | 1.15× | 0.010 | ||
| 11-20 | 89 | 82% | ⚠ | 90 | -0.18 | 5.67 | 28% | 0.34 | 70% | 1.16× | 0.006 | |
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.
02:36 EDT · weekend
Market is closed. Quotes are last week's close.
3 consecutive up closes (+28.9%). 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 06:36 UTC. JSON