Our AI instantly draws the Expected Move range from the options chain on top of the technical chart, so you can pick a strike to sell a cash-secured put or a short call for the Wheel Strategy without guessing. A second mode, new on this screen, sizes a put or call credit spread: the short strike plus the bought wing, with net credit, max loss and ROI on the capital the broker actually holds. A strike outside the band is the visual definition of "the market has not priced this move in".
Everything below recomputes from these controls. Target delta and target distance are your risk appetite; account size and the collateral (or buying-power) cap are what your broker will actually let you do. Switch to credit-spread mode to pick the sold strike and the bought wing, or a width in dollars or listed strikes.
Daily candles on the left, the forward cone on the right. The shaded cone is what the options market is charging for movement between now and each expiry. Candidate strikes are drawn on the same price axis, so a strike sitting outside the cone is visibly outside the move the crowd has paid for.
One row per candidate for the selected expiry. In Wheel mode, EM x is the distance from spot in expected moves: 1.0x sits at the edge of the priced-in range. ROI is premium over collateral. In credit-spread mode the row is a short plus a bought wing: net credit, max loss (width minus credit), and ROI on that max loss, annualised so a 7-day and a 45-day spread are comparable. Liquidity is graded on both legs; either one being illiquid fails the pair.
| Strike | Dist % | EM x | Delta | P(ITM) | Credit | Liquidity | Collateral | Size | ROI | Annualised |
|---|
Every listed expiry inside the 45-day window, both ways. The straddle is what the market is charging; the implied-vol figure is the textbook one-standard-deviation move. A large gap is not an error: it is event risk the flat model cannot express.
| Expiry | DTE | ATM K | ATM IV | Straddle | EM | EM % | Band holds | 1 sigma | vs model | EM range |
|---|
No black boxes. Each figure below is reproducible from the chain snapshot embedded in this file.
At-the-money straddle mid: call mid + put mid at the strike nearest spot,
multiplied by a factor of 1.00. The straddle is the
market's price for the expected absolute move, which is
0.798 sigma, not one sigma.
spot x IV x sqrt(DTE / 365) using the average of the nearest call and
put implied vol gives one standard deviation. Multiplying by
sqrt(2/pi) = 0.798 converts it to the expected absolute move, which is
what the straddle prices. Straddle vs model compares those two like for
like; the 1 sigma column shows the wider 68% band unchanged.
Probability in the money is the Black-Scholes risk-neutral N(d2) from
journal/optmath.py, the same pricer the rest of this toolkit uses.
Delta is shown beside it as the trader's shorthand; the two agree to within a
point or two for out-of-the-money strikes.
Credit divided by collateral. A cash-secured put ties up strike x 100;
a covered call is collateralised by the 100 shares you already own, so its base
is spot x 100. Annualised is ROI x 365 / DTE, which is
what makes a 7-day and a 45-day strike comparable.
A great ROI on a wide market is not real. Strikes are flagged on spread as a percentage of mid, on open interest and on today's volume.
Contracts affordable is the lesser of your account size and your per-position collateral cap, divided by the collateral for one contract. A strike whose collateral exceeds available buying power is marked and never recommended.
A put credit spread sells the higher put and buys a lower one; a call credit
spread sells the lower call and buys a higher one. Net credit is
short mid − long mid, times 100. Max loss is
width − credit. ROI is credit / max loss — return on
the capital a US broker holds against a defined-risk vertical, which is also
the buying-power reduction. Assignment risk and expected-move distance are
those of the short. Either leg failing the liquidity gate fails the pair.
This mode was not on the previous version of this screen.