| Profile | Delta band | Expiry | DTE | Strike | Δ | Credit | Collateral | ARoC | VAY | POP | Unassigned | IV/RV | Verdict |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| conservative | 0.05–0.15 | 2026-09-04 | 12 | 670 | -0.09 | 1.39 | $66,862 | 6% | 0.24 | 91% | 91% | 1.18× | sell |
| moderate | 0.15–0.25 | 2026-09-11 | 19 | 680 | -0.17 | 3.56 | $67,644 | 10% | 0.43 | 84% | 82% | 1.06× | sell |
| aggressive | 0.25–0.40 | 2026-09-04 | 12 | 696 | -0.25 | 4.48 | $69,152 | 20% | 0.88 | 78% | 73% | 1.00× | 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 08-31 | 8 | 18% | 695 | -0.19 | 2.45 | 16% | 0.75 | 80% | 0.96× | 0.087 | ||
| 09-04 | 12 | 20% | 690 | -0.20 | 3.37 | 15% | 0.65 | 79% | 1.04× | 0.067 | ||
| 09-11 | 19 | 19% | 680 | -0.17 | 3.56 | 10% | 0.43 | 82% | 1.06× | 0.047 | ||
| 09-18 | 26 | 20% | 680 | -0.20 | 5.29 | 11% | 0.47 | 78% | 1.06× | 0.045 | ||
| 09-25 | 33 | 20% | 680 | -0.23 | 6.83 | 11% | 0.47 | 75% | 1.06× | 0.042 | ||
| 09-30 | 38 | 20% | 676 | -0.22 | 7.00 | 10% | 0.42 | 76% | 1.07× | 0.038 | ||
| 10-02 | 40 | 21% | 680 | -0.24 | 8.17 | 11% | 0.47 | 73% | 1.06× | 0.040 | ||
| 10-16 | 54 | 21% | 675 | -0.24 | 9.86 | 10% | 0.42 | 73% | 1.08× | 0.034 | ||
| 10-30 | 68 | 21% | no qualifying strike | |||||||||
| 11-20 | 89 | 22% | 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.
02:32 EDT · weekend
Market is closed. Quotes are last week's close.
Freshly scanned. Generated 2026-08-23 06:32 UTC. JSON