| # | Sym | Spot | DWM | Exp | DTE | Spread | Credit | Width | RoM | TAscr | Earn | RR | ReqWR | Vol/OI | ? |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 | NVDA | 197.55 | ๐ข๐ข๐ข | 2026-08-14 | 17 | 185/180 | 0.80 | 5 | 16.0% | 48 | โ | 5.2:1 | 84% | 1.1ร | โ |
| 2 | JPM | 356.20 | ๐ข๐ข๐ข | 2026-08-28 | 31 | 340/325 | 1.68 | 15 | 11.2% | 68 | โ | 7.9:1 | 89% | 1.0ร | โ |
| 3 | BAC | 62.43 | ๐ข๐ข๐ข | 2026-09-04 | 38 | 59/56 | 0.29 | 3 | 9.7% | 69 | โ | 9.3:1 | 90% | โ | โ |
| 4 | SPY | 740.76 | ๐ข๐ข๐ข | 2026-08-10 | 13 | 721/718 | 0.45 | 3 | 15.0% | 45 | โ | 5.7:1 | 85% | โ | โ |
| 5 | AAPL | 340.17 | ๐ข๐ข๐ข | 2026-08-21 | 24 | 320/312 | 0.99 | 8 | 13.2% | 75 | โ ๏ธ | 6.6:1 | 87% | 0.3ร | โ |
| 6 | XOM | 153.24 | ๐ข๐ข๐ข | 2026-08-21 | 24 | 143/139 | 0.48 | 4 | 12.0% | 73 | โ ๏ธ | 7.3:1 | 88% | 0.1ร | โ |
| 7 | KO | 88.29 | ๐ข๐ข๐ข | 2026-08-07 | 10 | 86/83 | 0.25 | 3 | 8.3% | 78 | โ ๏ธ | 11.0:1 | 92% | 7.4ร | โ |
5 spreads with RoM โฅ 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 โ 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 7โ45 DTE so theta works for you but you're not locked in for months.
- TAscr โ technical score (0โ100) 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 (โฒ/โผ). 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 1.0โ1.5 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 (โ /โ)
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 (โ /โ) โ a pass/fail flag applying five rule-of-thumb checks simultaneously: credit โฅ $0.50/share, IV โฅ 32%, short ฮด โค 0.22, earnings not before expiry, and ReqWR โค 80%. โ means all five pass โ the spread is worth considering. โ 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 50โ100% of your profit โ you're trading to pay the broker. On a $1.00 credit ($100), it's 15โ30% 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 โฅ 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 โฅ 32%, width โค $5, credit โฅ $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 โ /โ 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%รทโ52). 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.