Short strangle screener

Supported filters

Prob. of expiring worthless (%)

Model-estimated odds the stock finishes between the two short strikes, so both options expire worthless and you keep the full credit. The Short Strangle Income preset starts at 70%.

Probability of profit (%)

Model-estimated odds the strangle makes at least a cent at expiration, meaning the stock finishes between the breakevens. It is always at least as high as the odds of expiring worthless, because the credit widens the zone.

Annualized return (%)

For a short strangle this is return on Reg-T margin scaled to a year, the yardstick for comparing a 14-day strangle with a 40-day one. A 15% floor removes strangles whose credit is small for the margin they tie up.

Return on margin (%)

The credit divided by estimated Reg-T margin for this one trade, before annualizing. On a short strangle it is the same number as return on risk.

Max profit ($)

The total credit per strangle, at mid by default. A minimum such as $100 keeps out strangles on low-priced stocks where commissions take a large share of the premium.

Breakeven distance (ATRs) (x)

Distance from the stock to the nearer breakeven, divided by the stock's daily average true range with no scaling for time. It compares cushions fairly across quiet and volatile stocks.

Loss range (ATRs) (x)

The whole profit zone, lower breakeven to upper breakeven, in daily ATRs. Requiring a wide zone keeps you from selling a strangle that one or two ordinary weeks of movement can break.

Delta (anchor leg)

Absolute delta of the anchor leg, which for a short strangle is the short put. Most strangle sellers work around 0.15 to 0.20. The call side is not constrained by this filter, so check its strike in the results.

Days to expiration (days)

Days to expiration. The 7 to 40 day window used by the preset collects fast time decay; shorter trades have less time for a large move but react more sharply to one near a strike.

IV rank

Where implied volatility sits in its one-year range. A short strangle is short volatility, so a rank of 30 or more means both legs pay more than usual and volatility has room to fall.

Earnings

Exclude strangles with an earnings report before expiration. An earnings gap is the most common way a strangle goes from comfortable to deep in the money on one side overnight.

Ex-dividend date

An in-the-money short call can be assigned the day before an ex-dividend date. Exclude ex-dividend dates before expiration to avoid a surprise short stock position.

Market cap ($)

A size floor such as $10B keeps the list to companies with deep option markets and fewer single-day gaps, which matters more for an undefined-risk trade than for a spread.

Total option volume

Total option volume across the stock's chain. You may need to roll or close a tested side quickly, which is easier in an active chain.

Bid-ask spread ($) ($)

The wider of the two legs' bid-ask spreads, in dollars. $0.50 or less keeps the cost of opening and later closing both legs in proportion to the credit.

Screening walkthrough

1. 1. Start from probability, not credit

   Set probability of expiring worthless to a floor of 70% and probability of profit to 60%, as the Short Strangle Income preset does. These two filters place both strikes out of the money on either side. Raising them pushes the strikes further out and shrinks the credit; lowering them does the opposite and brings the strikes close enough that normal movement tests them.

2. 2. Require a return on the margin you actually post

   Add an annualized return floor, such as 15%. For a short strangle this is return on estimated Reg-T margin, which is several times smaller than a return on the full notional value of the stock. If you think in per-trade terms, filter on return on margin instead, for example a 2% minimum for a 30-day trade.

3. 3. Measure the profit zone in ATRs

   Add breakeven distance in ATRs with a minimum of 3 and loss range in ATRs with a minimum of 8. A strangle 10% wide on a stock that moves 1% a day is a very different trade from the same 10% on a stock that moves 4% a day, and the ATR filters show that difference where percent filters cannot.

4. 4. Clear the window of events and size the universe

   Turn on the earnings exclusion and the ex-dividend exclusion, and set a market cap floor of $10B. Undefined-risk trades on small companies with thin chains are where a single headline does the most damage. Sort by probability of profit or by annualized return depending on whether you want the safest or the richest strangles first.

5. 5. Re-run with conservative pricing and check both legs

   Switch to conservative pricing, which sells each leg at its bid, and compare. Then open a result and check the call strike and the put strike separately; the delta and distance filters describe the put side, so the call can sit closer to or further from the stock than you assumed.

Limitations and risks

• Margin figures are an estimate of the standard Reg-T initial requirement at entry. Your broker may require more, portfolio margin works differently, and the requirement grows as the stock moves toward either strike.
• Loss is unlimited on the upside and runs to the put strike minus the credit on the downside. The screener prices the opening position only; it cannot size the trade or tell you how much of your account a large move would consume.
• Probability of profit and probability of expiring worthless are model estimates derived from option prices using a lognormal model with the stock's at-the-money implied volatility. They understate how often large gaps happen and ignore events unless you filter for them.
• The ATR-based filters use the stock's daily average true range with no scaling for days to expiration. They compare cushions across stocks, but 6 ATRs on a 30-day trade is not six expected moves for the whole trade.
• Earnings dates can be estimates until the company confirms them. The earnings exclusion keeps a small margin past expiration for that reason, but check the date yourself before holding an undefined-risk trade near a report.
• Quotes are refreshed intraday and are a snapshot, not a live feed. Conservative pricing is the more realistic figure. The screener does not place orders, track positions, or send alerts.

Frequently asked questions

Why does the screener show return on margin instead of return on risk?

A short strangle has no fixed max loss, so a return on risk cannot be computed. The screener substitutes the estimated Reg-T margin as the risk basis, so the return on risk and annualized return filters still work and mean return on margin for this strategy.

Which strikes does the screener consider?

Out-of-the-money puts below the stock and out-of-the-money calls above it, centered on the strikes most strangle sellers use, roughly 0.12 to 0.35 delta on each side. Each put is paired with each nearby call in the same expiration, and every pairing is scored separately.

How is the probability of expiring worthless different from probability of profit?

Expiring worthless means the stock finishes between the two short strikes, so you keep the whole credit. Probability of profit counts any finish between the breakevens, which sit further out by the amount of the credit. The second number is always the larger one.

Short strangle or iron condor?

A strangle collects more credit and has no wings, so its loss is undefined and it needs uncovered-option approval and more margin. An iron condor buys wings for a fixed max loss and a much smaller requirement. The iron condor scanner covers the defined-risk version.

Can I screen strangles only on stocks I follow?

Yes. Add the symbols to your watchlist and set the scan universe to watchlist; the same filters then run only on those names.

Which preset should I start with?

Short Strangle Income: at least 70% odds both legs expire worthless, at least 60% probability of profit, a 15% or higher annualized return on margin, $10B or larger companies, no earnings in the window, 7 to 40 days to expiration, and liquid chains. Open it, adjust, and save your version.

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