| 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 | — no qualifying contract — | no trade | ||||||||||
| aggressive | 0.25–0.40 | 2026-09-04 | 12 | 81.5 | -0.38 | 0.54 | $8,096 | 20% | 1.50 | 71% | 61% | 1.32× | 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 | 10% | no qualifying strike | |||||||||
| 09-11 | 19 | 10% | no qualifying strike | |||||||||
| 09-18 | 26 | 10% | no qualifying strike | |||||||||
| 09-25 | 33 | 10% | no qualifying strike | |||||||||
| 09-30 | 38 | 10% | no qualifying strike | |||||||||
| 10-02 | 40 | 10% | no qualifying strike | |||||||||
| 10-16 | 54 | 10% | no qualifying strike | |||||||||
| 10-30 | 68 | 11% | no qualifying strike | |||||||||
| 11-20 | 89 | 11% | 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.
2 consecutive down closes (-1.2%). 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