ChainScan MTF โ€” 2026-07-28 โ€” 7 MTF-aligned spreads
#SymSpotDWMExpDTESpreadCreditWidthRoMTAscrEarnRRReqWRVol/OI?
1NVDA197.55๐ŸŸข๐ŸŸข๐ŸŸข2026-08-1417185/1800.80516.0%48โœ…5.2:184%1.1ร—โŒ
2JPM356.20๐ŸŸข๐ŸŸข๐ŸŸข2026-08-2831340/3251.681511.2%68โœ…7.9:189%1.0ร—โŒ
3BAC62.43๐ŸŸข๐ŸŸข๐ŸŸข2026-09-043859/560.2939.7%69โœ…9.3:190%โ€”โŒ
4SPY740.76๐ŸŸข๐ŸŸข๐ŸŸข2026-08-1013721/7180.45315.0%45โ€”5.7:185%โ€”โŒ
5AAPL340.17๐ŸŸข๐ŸŸข๐ŸŸข2026-08-2124320/3120.99813.2%75โš ๏ธ6.6:187%0.3ร—โŒ
6XOM153.24๐ŸŸข๐ŸŸข๐ŸŸข2026-08-2124143/1390.48412.0%73โš ๏ธ7.3:188%0.1ร—โŒ
7KO88.29๐ŸŸข๐ŸŸข๐ŸŸข2026-08-071086/830.2538.3%78โš ๏ธ11.0:192%7.4ร—โŒ

5 spreads with RoM โ‰ฅ 10% | Avg RoM: 12.2%

How to read ChainScan

Each row is the best bull-put credit spread the scanner could build for one S&P-100 name on the collected date: a short put sold at ~20-delta (the market's rough 80% probability-of-expiring-worthless line) and a long put bought one strike further out to cap risk. The columns:

  • RoM โ€” return on margin = credit รท width. The % you keep if both puts expire worthless, per $100 of collateral locked.
  • Width โ€” short strike โˆ’ long strike, in dollars. Max loss per contract if the stock falls through both strikes.
  • Credit โ€” mid-price received for selling the spread. Bigger credit = more premium, usually a wider spread or higher IV.
  • DTE โ€” days to expiration. Scanner enforces 7โ€“45 DTE so theta works for you but you're not locked in for months.
  • TAscr โ€” technical score (0โ€“100) blending RSI, VWAP, and TRO alignment across day/week/month. Higher = trend more supportive of the put-side thesis.
  • Earn โ€” SAFE = no earnings before expiry; RISK = earnings inside the window (gamma event that can blow past the short strike).
  • DWM โ€” day/week/month TRO trend flags (โ–ฒ/โ–ผ). MTF mode only shows names where all three timeframes agree โ€” the strongest filter.

Unusual activity: the Vol/OI column

The Vol/OI column compares today's trading volume on the short put against its existing open interest (OI). OI is the number of contracts already outstanding; volume is how many traded today. The ratio tells you whether today's flow is existing positions changing hands or new positions being opened โ€” the core signal behind services like UnusualWhales.

  • Vol/OI < 1.0 โ€” today's volume is less than existing OI โ€” flow is routine, mostly existing positions trading. No signal.
  • Vol/OI 1.0โ€“1.5 โ€” volume is matching or modestly exceeding OI. Elevated interest but not conclusively new positioning.
  • Vol/OI > 1.5 (highlighted) โ€” today's volume exceeds OI by 50%+. This is the unusual-activity flag: contracts are being traded faster than the existing position base, meaning new positions are likely opening. Someone is taking a fresh directional bet on this strike. The cell is bolded red when this threshold is crossed.
  • Vol/OI = โ€” โ€” OI is unknown. This happens in live mode (which fetches quotes/greeks but not OI) or when the Trading API returned no interest for the contract. The unusual-activity signal requires the nightly collection, which fetches OI from the Trading API.

How to use it: a high Vol/OI on the short put means someone is aggressively selling that strike โ€” which for a bull-put spread is a confirming signal (you're selling the same strike the smart money is trading). But volume can be driven by a single large retail order as easily as by an institution, and OI lags by a day (reported from the previous close). Treat it as a confirming colour, not a standalone trigger โ€” pair it with the verdict, the TAscore, and the earnings flag.


The risk columns: RR, ReqWR, and the verdict (โœ…/โŒ)

Three columns at the right of the table give you a quick gut-check on whether a spread's premium actually compensates for the risk. The scanner always shows every spread โ€” the verdict flag is a reference, not a filter. The rows are never hidden.

  • RR (risk:reward) โ€” max loss รท credit, shown as X:1. A 6:1 ratio means you risk $6 to make $1 โ€” one loss eats six winners. Below 4:1 is comfortable; above 6:1 is where one gap-down wipes a month of credits. The ratio is always ugly at 0.20-delta; the edge comes from win rate, not RR.
  • ReqWR (required win rate) โ€” the break-even win percentage: maxLoss รท (maxLoss + credit). A 0.20-delta short put theoretically wins ~80% of the time. If ReqWR exceeds 80%, the spread has no statistical edge โ€” you need to win more often than delta implies just to break even. This is the single most important column.
  • Verdict (โœ…/โŒ) โ€” a pass/fail flag applying five rule-of-thumb checks simultaneously: credit โ‰ฅ $0.50/share, IV โ‰ฅ 32%, short ฮด โ‰ค 0.22, earnings not before expiry, and ReqWR โ‰ค 80%. โœ… means all five pass โ€” the spread is worth considering. โŒ means at least one check fails. This is a starting point, not a trade signal.

The credit floor: why $0.50/share matters

Below $0.50/share ($50/contract), commissions and bid/ask slippage eat too much of your profit. Round-trip friction on a two-leg spread is typically $15โ€“$30/contract: ~$4โ€“$8 in commissions plus $10โ€“$20 from crossing the bid/ask spread on entry and exit. On a $0.30 credit ($30), friction is 50โ€“100% of your profit โ€” you're trading to pay the broker. On a $1.00 credit ($100), it's 15โ€“30% โ€” tolerable. On $2.00+, it's a rounding error. The $0.50 floor doesn't tell you the trade is good โ€” it tells you it isn't mathematically pointless due to friction. It's the admission ticket, not the award.

The RoM worth trading

RoM (return on margin) = credit รท width. It measures capital efficiency: how much you earn per dollar of collateral locked. The rule of thumb: RoM โ‰ฅ 12% means the credit is fat enough relative to the margin you're locking up. Below 10%, you're deploying capital for a thin return โ€” even if the credit clears the $0.50 floor. Compare a $0.50 credit on a $3 spread (16.7% RoM, $250 margin) vs $0.50 on a $10 spread (5% RoM, $950 margin): same profit, 3.8ร— more capital at risk. RoM catches what the absolute credit floor misses.

Using ?strict=1

Add &strict=1 to the URL to load the rule-of-thumb preset. It sets the reference thresholds (IV โ‰ฅ 32%, width โ‰ค $5, credit โ‰ฅ $0.50) so the verdict column aligns with a conservative credit-spread discipline. It does not remove rows โ€” you still see every spread, but the โœ…/โŒ flag tells you which ones actually pass all five checks. Combine with &mtf=1&earn=1 for the full safe-spread screen.

What the option prices alone tell us

Beyond the spread itself, the raw chain carries a second layer of signal โ€” the market's probability beliefs, baked into prices before any chart is drawn. Here's what we can derive from the collected bids/asks/IVs:

  • Implied volatility level โ€” ATM IV is the market's expected annualized move. A 40% IV name is priced for a ~2.5% weekly swing (40%รทโˆš52). High-IV names pay more credit per unit of risk; low-IV names pay less but are quieter to hold.
  • IV change vs. spot change โ€” When IV rises while the stock falls, traders are bidding for puts โ€” fear/protection demand. When IV falls while the stock rises, protection is being unwound โ€” complacency. Across our 5-session sample, 11 names showed the fear pattern (AMZN, AMD, PFE, CAT, CVS) and 27 showed complacency (RTX, T, TMO) โ€” a broadly risk-on tape with isolated stress pockets.
  • IV term structure โ€” Near-dated IV vs. far-dated IV. When near > far (inversion), the market is pricing a discrete near-term event โ€” almost always earnings or a binary catalyst. 67 of 102 names showed inversion on 2026-07-27 (META, PYPL, UPS, AMZN, MSFT most extreme), signalling earnings season. Contango (far > near) means no near catalyst โ€” calmer, drift-friendlier names (NFLX, MS, WMT).
  • Put/Call IV skew โ€” ATM put IV minus ATM call IV. A positive skew = puts pricier than calls = demand for downside protection (bearish hedging). A negative skew = calls pricier = demand for upside (bullish speculation). Persistent skew flips (e.g. GOOGL put IV collapsing from +0.5pp to call-favored) mark sentiment turns faster than price often does.
  • IV percentile (rich vs. cheap) โ€” Where today's ATM IV sits within its own recent range. IV at the top of its 5-day band = premiums rich โ†’ favor selling spreads there. IV at the bottom = premiums cheap โ†’ selling is thin, consider waiting or buying structures instead.
  • Delta-implied direction โ€” The strike where call delta crosses 0.50 is the options market's median expected spot at expiry. Comparing that strike to today's spot gives a model-free directional lean: above spot = call market leans bullish; below = bearish.
  • Spread widths vs. IV โ€” A narrow market-priced width relative to IV suggests traders expect a tight range (low realized move). A wide priced range suggests they expect breakouts. Clusters of tight widths across the universe = low-vol regime; wide = transition.

Caveat: option prices reflect expectations, not guarantees. IV can stay elevated or depressed far longer than a spread's DTE, and skew is driven by flow as much as by true sentiment. Use these as one input alongside TAscore and earnings timing โ€” not as a standalone forecast.