Strike selector
How the strike selector ranks short puts and calls for one expiration by yield, breach rate, the risk profile, delta, and the levels, and how to read its score.
The strike selector (/SPX/strike-selector) is for premium sellers. Pick an expiration, and it ranks the out-of-the-money puts and calls you could sell, with a score from 0 to 100 and the reasons behind it in each row. It suits cash-secured puts, covered calls, and the short leg of a credit spread.
The controls
- Side: both, puts, or calls.
- Expiration: opens on the weekly (the expiration that closes this week, or next week's on a Friday). Any listed date can be picked.
- Risk profile: how far out to aim, in standard deviations of the expected move (0.5σ, 1σ, 1.5σ, 2σ). The move used is the larger of the expected move and the historical move.
- Target delta: the |Δ| you'd like (0.15 by default). Strikes beyond twice the target are left out.
- Minimum yield: annualized (10% a year by default), so one setting fits a two-day and a 30-day expiration alike. 10% a year is about 0.19% for a week.
- Premium: the bid (what you'd likely get) or the mid.
The context strip
Across the top: spot and the sessions left, the expiration, the historical move (HIST 1σ) as a percent and as prices, the IV move, max pain, this expiration's own put and call walls, and the risk profile's target distance.
The walls here are the picked expiration's alone, which is why the page has no key-levels strip: the strip's walls count the whole set and would disagree.
The score
Each strike's score is five parts, weighted:
| Part | Weight | What scores well |
|---|---|---|
| Yield | 25% | Premium over the cash or shares it ties up, against the best on the same side |
| Safety | 30% | One minus the breach rate: how rarely the stock has moved past this distance over the same number of sessions in the last year |
| Fit | 20% | Sitting near the risk profile's distance |
| Delta fit | 10% | |Δ| near the target delta |
| Structure | 15% | Half for sitting beyond the IV move, half for sitting at or beyond the wall on its side |
When a part can't be worked out (a stock with less than 60 past moves has no breach rate), it's left out and the others count in its place. "How the score works" at the side shows the weights and what was left out.
The top three rows are tinted. The why line starts with delta and yield, then the reasons: high yield, low breach rate, fits the risk profile, near target delta, beyond the call wall, outside the IV move, near max pain. Cautions (low yield, high breach rate, inside the IV move) are quieter.
Yield is premium ÷ strike for a put and premium ÷ spot for a call. Annualized yield divides it by the years to expiration.
The price ladder
Beside the table, the ladder lists the prices around spot with their distance and this expiration's net gamma as a bar (green positive, red negative). The IV move is an indigo band, the historical move a rule in the gutter, and spot and max pain are tagged. Each ranked strike sits on its row as a chip. Hover a row in the table to light its chip; click it to pin. Press a chip to open that contract's history.
Walls near spot and past moves
Walls near spot lists the five strikes with the most positive net gamma above spot and the most negative below it, for this expiration. Past moves shows the historical move's histogram of moves over the same number of sessions, with the best strikes' distances marked on it, so you can see how many past moves reached them.
Empty list
If every strike is filtered out, the page names the filter that removed the most ("The minimum yield removed every strike") and offers one button to loosen it.
From here
A strike in the table opens in the strategy calculator as a position, or goes into your wheel and income book. A chip on the ladder opens that contract's history.
Free sees a preview on SPY: the first three ranked strikes at the default settings. Pro opens any ticker and every control.