Breach rate

Also called Historical breach rate

How often the stock moved past a strike's distance from spot, in its direction, over the same number of sessions in the last year.

The breach rate asks: over the last year, how often did this stock move further than this strike is from today's price, in the strike's direction, over as many sessions as there are to expiration?

For a put 4% below spot on an expiration three sessions away, take every three-session stretch in the last year (about 250 of them) and count how many fell more than 4%. If 20 did, the breach rate is 8%. Calls count moves up.

Reading it

A low breach rate means past moves rarely reached the strike. It's history, not a probability: a year of calm says little about an earnings week, and the rate doesn't know about events ahead. Compare it with the strike's delta, which is the options market's own forward view.

With fewer than 60 such stretches (a new listing), there's no breach rate, and the page shows a dash.

In Theta Vantage

The strike selector uses one minus the breach rate as its safety score (30% of the total). Wheel and income shows it for each pick and in the strike tables. The histogram on /SPX/volatility shows the moves it counts.