| 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 | 727 | -0.07 | 0.86 | $72,614 | 6% | 0.25 | 93% | 92% | 2.49× | sell |
| moderate | 0.15–0.25 | 2026-10-30 | 7 | 750 | -0.24 | 2.99 | $74,702 | 21% | 1.05 | 80% | 75% | 1.96× | sell |
| aggressive | 0.25–0.40 | 2026-10-30 | 7 | 759 | -0.38 | 5.14 | $75,386 | 36% | 1.98 | 71% | 61% | 1.78× | 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 | 18% | 750 | -0.24 | 2.99 | 21% | 1.05 | 75% | 1.96× | 0.113 | ||
| 11-06 | 14 | 17% | 745 | -0.23 | 3.97 | 14% | 0.73 | 75% | 1.89× | 0.082 | ||
| 11-13 | 21 | 16% | 740 | -0.22 | 4.55 | 11% | 0.57 | 76% | 1.88× | 0.065 | ||
| 11-20 | 28 | 16% | 740 | -0.24 | 5.76 | 10% | 0.55 | 74% | 1.83× | 0.061 | ||
| 11-27 | 35 | 16% | no qualifying strike | |||||||||
| 11-30 | 38 | 15% | no qualifying strike | |||||||||
| 12-18 | 56 | 16% | no qualifying strike | |||||||||
| 12-31 | 69 | 15% | no qualifying strike | |||||||||
| 01-15 | 84 | 15% | 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.
20:26 EDT · after hours
Market is closed. Quotes are the closing marks.
3 consecutive up closes (+1.3%). 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 00:26 UTC. JSON