Methodology (How the scanner works)

What “PoP” means here

PoP is an estimate of the chance a spread expires at max profit (or within a profit zone), based on option prices and volatility. It is a model-based estimate — not a guarantee.

• Uses market-implied inputs (like IV) + standard option math assumptions.
• Assumes liquid markets and normal execution constraints (fills, slippage).
• Does not know future news, gaps, or regime shifts.

Assumptions (and why they matter)

• Volatility is not constant: models can be wrong when IV changes fast.
• Early management changes outcomes: exiting early can raise win rate and lower tail risk.
• Execution matters: wide bid/ask spreads and low liquidity can wreck theoretical edges.

What we filter out (by design)

• Illiquid chains (poor fills, misleading prices)
• Spreads with unattractive risk/reward for the given PoP
• Setups that fail basic sanity checks (pricing/greeks inconsistencies)

Validation status of A–F grades

We pre-register hypotheses and run backtests on real 2020–2023 option chains with realistic (bid-side) fills. Both real-market validations of the grading system to date were rejected:

• H-SCAN-1 (faithful production replay, 2020–2023): produced no A-grade picks on the coarse historical strike grid; the picks it did produce had negative average expected value at bid-side fills. Rejected.
• H-SCAN-2 (cost-aware ranking, held-out 2022–2023): A-grade picks had significantly negative expected value per margin at bid-side fills. Rejected.

Bottom line: grades are experimental and have not demonstrated a positive edge net of costs. Use them as a screening convenience, not a proven signal. We will update this section if a future pre-registered validation passes.

Next: watch the 2-minute walkthrough

See exactly how to go from scanner → short list → execution.

Watch walkthrough →