How these pages are priced
There are 200 strategy guides on this site, across 20 underlyings. Every dollar figure on every one of them comes from a chain snapshot captured on and from the same engine that powers the builder. This page states exactly what that means, because a page of numbers with no stated method is worth nothing to someone who trades.
One price, two surfaces
The rule these pages are built around: whatever premium a page publishes, the builder it links to must quote the same premium for the same contract. Not close — the same. A headline number that changes the instant you click through is worse than no number at all: you cannot size a trade against a figure that moves when you look at it twice.
So both surfaces read the same field. The builder takes each contract's mid — or its last trade, since this market-data plan carries no NBBO — straight from the chain endpoint, and these pages price every leg from the identical field in the captured snapshot. There is no second model, no re-derivation, and no smoothing.
An earlier version of these pages did re-price each leg with Black-Scholes on the contract's own implied volatility. It produced a prettier ladder and a page whose headline premium moved by more than 10% on click for a large minority of pages, because the vendor's IV is not computed against our forward or our rate. The pretty version got deleted.
What gets excluded, and why
Last-traded prices are stale in a way NBBO quotes are not: two adjacent strikes can print an hour apart, and differencing them produces verticals that never existed. That problem is real, and the answer is to reject strikes rather than to rewrite them. A strike is excluded from both the example trade and the strike table unless it clears three tests.
First, corroboration: the print has to agree with Black-Scholes on the contract's OWN captured implied volatility to within 20% (minimum five cents). Both numbers come from the same vendor snapshot, so a disagreement is a timestamp mismatch, not a difference of opinion — and the price we publish is still the print, never the model.
Second, no-arbitrage across the ladder: prices must sit at or above intrinsic value, fall as call strikes rise (and rise as put strikes rise), and never move by more than the distance between strikes. That last condition is what stops a published vertical from being worth more than its own width.
Third, liquidity: a contract with no open interest and no volume has a price that proves nothing.
Strikes that fail simply are not there. That is why a strike table here sometimes skips a rung the broker's chain shows — it is a deliberate omission, not a gap in the data.
How the example trade picks its strikes
Short strikes are placed by delta, at the same targets the page's own strike-selection table recommends: around 0.30 delta for income structures, 0.16 for condor shorts, at-the-money for the long-vol and directional ones. Deltas come from the chain, falling back to Black-Scholes on the contract's implied volatility when the feed omits one.
Protective wings are placed by credit-to-width, not by counting rungs. Counting rungs is meaningless when a rung is fifty cents on one underlying and fifteen dollars on another; it produced a $1-wide condor collecting 11% of its width alongside a $15-wide one risking $1,275 to make $225. Instead every candidate width on the real ladder is priced and the structure closest to the desk convention wins.
| Structure | Credit ÷ width | Width ÷ spot |
|---|---|---|
| iron-condor | 22% – 50% | 1.2% – 9.0% |
| bull-call-spread | 25% – 72% | 1.5% – 16.0% |
| bull-put-spread | 20% – 50% | 1.2% – 9.0% |
A (ticker, strategy) pair whose chain cannot produce a structure inside its band does not get a page. That is why some underlyings have nine guides and not ten.
What has to be true before a page publishes
- Max profit is positive and max loss is negative — the payoff is bounded the way the structure claims.
- Every leg carries a real price of at least $0.02. No $0.00 legs, no zero-credit verticals.
- Defined-risk structures sit inside the geometry band above, so the worked example does not contradict the advice next to it.
- Reward-to-risk on a defined-risk structure is between 0.1 and 30.
- Probability of profit exists and is not a degenerate 0% or 100%.
- At least one breakeven exists.
- Income structures return between 0.1% and 25% of the capital they actually tie up over the period.
A failure is a missing page, never a wrong one. These gates are asserted in the test suite against every published combination, not checked by hand.
How stale this is right now
The current snapshot was captured 2 days ago and the earliest expiry it quotes (August 28, 2026) is 24 days out. Pages are showing live-shaped numbers.
This is checked at request time, not assumed. The refresh is a committed script (scripts/refresh-programmatic-snapshot.mjs, run with pnpm seo:snapshot), and pnpm seo:snapshot:check fails when the committed capture has gone stale so a build can gate on it.
What this is not
It is not a recommendation, and it is not a live quote. Prices are 15-minute delayed, captured on a date printed at the top of every page, and the market has moved since. Every structure shown is one construction at one moment, chosen by a rule, not by someone looking at your account.
It is also not a backtest. Nothing here claims a historical win rate, an expected return, or an edge. The probability of profit is a lognormal estimate from the chain's own implied volatility — the market's opinion, restated — and it is wrong in exactly the way the market is wrong.
For the live version, the builder re-quotes every leg from the current chain and recomputes the entire payoff surface in your browser while you drag strikes — credit, breakevens, probability of profit and Greeks all tracking the drag frame by frame.