Raw 30-day realized vol is 58.6%, inflated 1.58× by the last earnings gap. The ex-earnings figure above is the fair comparison for contracts expiring before the next report.
| Profile | Delta band | Expiry | DTE | Strike | Δ | Credit | Collateral | ARoC | VAY | POP | Unassigned | IV/RV | Verdict |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| conservative | 0.05–0.15 | 2026-10-16 | 54 | 290 | -0.08 | 2.62 | $28,738 | 6% | 0.13 | 90% | 89% | 1.24× | sell |
| moderate | 0.15–0.25 | 2026-09-04 | 12 | 340 | -0.20 | 3.39 | $33,661 | 31% | 0.68 | 81% | 78% | 1.21× | sell |
| aggressive | 0.25–0.40 | 2026-09-04 | 12 | 350 | -0.31 | 6.01 | $34,399 | 53% | 1.20 | 74% | 66% | 1.19× | 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 | 45% | 345 | -0.25 | 4.56 | 41% | 0.91 | 72% | 1.20× | 0.039 | ||
| 09-11 | 19 | 42% | 340 | -0.23 | 4.92 | 28% | 0.66 | 74% | 1.14× | 0.031 | ||
| 09-18 | 26 | 42% | 335 | -0.22 | 5.44 | 23% | 0.54 | 75% | 1.15× | 0.026 | ||
| 09-25 | 33 | 42% | 325 | -0.17 | 4.66 | 16% | 0.37 | 79% | 1.16× | 0.020 | ||
| 10-02 | 40 | 43% | 330 | -0.22 | 7.12 | 20% | 0.47 | 73% | 1.16× | 0.021 | ||
| 10-16 | 54 | 43% | 330 | -0.25 | 9.51 | 20% | 0.47 | 70% | 1.16× | 0.019 | ||
| 11-20 | 89 | 46% | ⚠ | 300 | -0.16 | 8.19 | 12% | 0.25 | 77% | 0.80× | 0.011 |
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.
02:34 EDT · weekend
Market is closed. Quotes are last week's close.
Freshly scanned. Generated 2026-08-23 06:34 UTC. JSON