Credit spread scanner

Supported filters

Probability of profit (%)

Model-estimated probability the spread is profitable at expiration. A 65% to 75% floor is the usual range for spreads sold out of the money; higher values mean smaller credits.

Prob. of expiring worthless (%)

Odds both short legs expire out of the money, which is the odds of keeping the whole credit. Slightly stricter than probability of profit because it ignores partial wins.

Return on risk (%)

Credit divided by max loss. A 10% floor keeps out spreads that risk far more than they can make; 20% to 35% is typical for short strikes near 20 to 30 delta with several weeks left.

Max loss ($)

Dollar cap per spread on width minus credit. Setting $500 or $1,500 sizes every result to your account before you look at anything else.

Expected value ($)

Probability-weighted profit and loss per spread under the pricing model. Sort by it to rank spreads that balance credit against how often they lose, rather than by credit alone.

Distance to breakeven (%)

Distance from the stock price to the breakeven as a percent. A larger distance is more cushion, at the cost of a smaller credit.

Breakeven distance (ATRs) (x)

The same distance measured in the stock's daily average true range. Two or more daily ATRs of cushion is a common floor for premium sellers; it adapts to each stock's volatility automatically.

Delta (anchor leg)

Absolute delta of the short leg. Screening for 0.15 to 0.30 places the short strike where most spread sellers work, and it is a rough proxy for the chance the short strike is breached.

Days to expiration (days)

Days to expiration. The 14 to 45 day range balances time decay against how long the stock has to move against you.

RSI (14d)

Fourteen-day RSI. A maximum of 30 finds oversold stocks for bull put spreads; a minimum of 66 to 70 finds overbought stocks for bear call spreads.

% from 50-day SMA (%)

Percent above or below the 50-day moving average. A minimum of 0 keeps put spreads under stocks in an uptrend; a maximum of 0 keeps call spreads over stocks below trend.

New 52w high within

Stocks that printed a new 52-week high inside the last N days, the classic trend-following entry for a put spread beneath them.

Earnings

Exclude spreads with an earnings report before expiration unless the elevated premium around the report is the point.

Ex-dividend date

For call spreads, an in-the-money short call is likely to be assigned before an ex-dividend date. Exclude ex-dividend dates before expiration on bear call spread scans.

IV rank

Implied volatility rank. Credit spreads pay best when volatility is elevated; a 20 to 30 minimum filters out chains where the credit is thin relative to the width.

Market cap ($)

Company size floor. Large caps have more liquid chains and fewer single-day gaps, which matters when your loss is capped but not small.

Total option volume

Total option volume across the chain. You pay the bid-ask spread on two legs, so liquidity is worth more here than on a single-leg trade.

Bid-ask spread ($) ($)

Maximum bid-ask spread in dollars on the worst leg. Wide markets on either leg erase a meaningful share of a small credit.

Screening walkthrough

1. 1. Cap the risk before anything else

   Set max loss to the most you are willing to lose on one spread, for example $500 or $1,500. This one filter sizes every result to your account and removes wide spreads on expensive stocks. Return on risk and probability of profit are then comparable across the list.

2. 2. Choose your side with a technical filter

   For bull put spreads, screen for stocks that pulled back: RSI at or below 30, or a percent from the 50-day average that is still positive if you want pullbacks within an uptrend. For bear call spreads, screen for stretched rallies: RSI at or above 66 to 70. For trend-following put spreads, use new 52-week high within 7 days and accept a lower probability floor. Each of these is a preset you can open and edit.

3. 3. Set probability and return together

   Probability of profit and return on risk pull in opposite directions. A 70% probability floor with a 10% to 20% return floor is a balanced starting point; pushing probability to 80% will drop the return, and pushing return past 35% will drop the probability. Sorting by expected value lets the model weigh the two rather than picking one.

4. 4. Size the cushion in ATRs, not just percent

   A breakeven 5% below a utility stock and 5% below a semiconductor stock are not the same cushion. Set breakeven distance in ATRs to 2 or more so the short strike sits beyond the stock's typical daily range, then look at the percent column to sanity-check the number.

5. 5. Clear events and check the legs

   Exclude earnings inside the window, and for call spreads exclude ex-dividend dates before expiration. Require a bid-ask spread of $0.50 or less and total option volume of 5,000 or more, then open a result to see both legs quoted. If the credit is mostly coming from a wide market on the long leg, switch to conservative pricing and re-run.

Limitations and risks

• Max loss is the worst case at expiration. Before expiration, a spread can be marked at a larger loss than width minus credit when the long leg's market is wide; it cannot settle for more than the width.
• Pin risk: if the stock closes between the strikes at expiration, the short leg can be assigned while the long leg expires worthless, leaving a stock position. The scanner cannot manage this; close or roll spreads near the money on expiration day.
• Early assignment of a short call is likely the day before an ex-dividend date when the call is in the money and its time value is below the dividend. A short put can be assigned early too, usually only when deep in the money.
• Probability of profit, probability of expiring worthless, and expected value are model estimates derived from option prices using a lognormal model. They are not forecasts and do not include scheduled events unless you filter for them.
• Quotes are refreshed intraday and are a snapshot, not a live feed. A credit at the mid on both legs is optimistic; conservative pricing is the more realistic figure and can be selected per scan.
• The scanner returns candidates only. It does not know your buying power, your existing positions, or your broker's spread margin rules.

Frequently asked questions

Does the credit spread scanner cover both put and call credit spreads?

Yes. Choose bull put spread for put credit spreads beneath the stock, or bear call spread for call credit spreads above it. The filters are the same; the technical setups you pair them with are usually opposite.

How is return on risk calculated for a credit spread?

Credit divided by max loss, where max loss is the strike width minus the credit, times 100. A $1.25 credit on a $5 wide spread is $125 / $375 = 33.3%.

What is the difference between probability of profit and probability of expiring worthless?

Probability of profit counts any finish where the spread makes at least one cent, including partial wins between the short strike and the breakeven. Probability of expiring worthless counts only finishes where both legs expire out of the money and you keep the entire credit. It is the stricter of the two.

Why measure breakeven distance in ATRs?

Because a fixed percent means different things on different stocks. The ATR version divides the distance to breakeven by the stock's daily average true range, so a 3x reading is three typical daily moves of cushion regardless of the stock.

Which preset should I start with?

Bull Put Spreads on Oversold Stocks pairs put spreads with RSI at or below 30 and a 70% probability floor. Bull Put Spreads at 52-Week Highs is the trend-following version. Bear Call Spreads on Overbought Stocks does the mirror image with RSI at or above 66. Open one, adjust the filters, and save it as your own.

Can I limit spreads to a maximum width or a maximum dollar risk?

Use the max loss filter for dollar risk per spread; it captures width minus credit directly. There is no separate width filter, but a max loss cap on a given stock price effectively bounds the width.

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