A screen for selling call credit spreads: stocks in a downtrend whose sector is also falling, each with a clear narrative for why, that have bounced toward resistance or a dealer call wall, with implied volatility high enough to pay for the risk. Spreads only: the long call caps the loss, so you are never short the stock. Prices and volatility history from Interactive Brokers; open interest, Greeks and quotes from CBOE's delayed chain; earnings dates and short interest from Yahoo Finance.
Each name gets a 0–100 score. Downtrend (30 points): price below the 200-day average (8) and the 50-day (5), a 200-day average that has fallen over the last three months (7), a negative six-month return (6) and a drawdown of 20–60% from the high (4); a stock above its 200-day loses 10 points, because it is not a downtrend. Sector (10): the theme counts as a downtrend when at least 60% of its names are below their 200-day and the median six-month return is negative; a stock in a theme that does not confirm loses 10 points, because a falling stock in a rising sector is a stock-specific story, not the narrative this screen sells. Entry (15): distance below the nearest swing-high resistance (rallies into resistance are the spot to sell calls) and an RSI of 45–65, a bounce rather than a capitulation. Premium (25): IV, IV rank, IV against 30-day realized, and the 30Δ/15Δ spread's return on collateral after round-trip fees. Positioning (10): a dealer call wall within 10% above spot and at or below the short strike, and a positive gamma regime, both of which cap rallies. Penalties: earnings inside 35 days, short interest above 15% (above 25% is treated as serious squeeze risk), thin options, wide spreads, sub-$10 prices, a drawdown beyond 70%, and fees above 15% of the spread's credit (cheap stocks have strikes too close together to pay).
The strict filter is the same idea as hard cut-offs: . Only call credit spreads are priced: short the ~30Δ (or 20Δ) call, long the ~15Δ (or 10Δ) call above it.
| Theme | Why it may keep falling | Names | Below 200-day | Median 6m | Median off high | Trend |
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6m is the six-month price return; vs 200d is the distance to the 200-day average. Below resistance is the distance up to the nearest clustered swing high. IV pctile is where today's 30-day implied volatility sits within the past year; IV ÷ HV compares it with 30-day realized volatility. The 30Δ call is the strike nearest to 0.30 delta in the expiry closest to 35 days; room is how far above spot it sits. Spread is the 30Δ/15Δ call credit spread: return is the credit over the collateral, PoP the lognormal probability of finishing below break-even. Call wall is the strike with the most dealer call gamma above spot. Earnings from Yahoo's calendar; short interest as a share of float.
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Daily bars and one year of 30-day implied volatility per name from Interactive Brokers (IB Gateway); option quotes, Greeks and open interest from CBOE delayed quotes (cdn.cboe.com), which lag by 15 minutes during the session and show Friday's close on weekends. Supports and resistances are ±5-bar swing pivots over the last eight months clustered at 1.5%. Dealer gamma uses Black-Scholes gamma per option, calls positive and puts negative. Rerun: uv run python -m options_scanner.call_screen --site.