A screen for selling puts: stocks with a strong theme that have compounded hard for two or three years and are now in a correction, sitting near support and a dealer put wall, with implied volatility high in absolute terms and, ideally, above what the stock has actually been doing. Prices and volatility history from Interactive Brokers; open interest, Greeks and quotes from CBOE's delayed chain.
Sixty sector, industry, theme, region and factor ETFs ranked by a 0–10 trend score: above the 50- and 200-day averages, 50-day above 200-day, both averages rising over a month, a positive month, beating the S&P 500 over one and three months, a rising relative-strength line, within 5% of the 52-week high. Selling puts works best in groups that score 8 or more, where a dip is bought into a rising trend; the screen's universe gets a theme for each group in a confirmed uptrend (added 30 October 2026: energy, health care & biotech). Daily closes from Yahoo Finance, today's partial bar included during the session.
| ETF | Group | Last | 1M | 3M | 6M | 12M | vs SPY 3M | 50d | 200d | Off high | Score | Read |
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Each name gets a 0–100 score from six things, plus penalties. Growth then correction (30 points): the two-year return and a drawdown from the 52-week high of 15–45% score best; under 10% is not a correction, over 60% is a falling knife. Near a bottom (15): distance above the nearest clustered swing-low support, with a bonus for RSI under 45. Volatility (26): IV rank, absolute IV and IV divided by 30-day realized; realized above implied costs points, because you would be selling premium that has not covered the stock's actual moves. Premium (15): the annualized yield of the 30-delta put closest to 35 days, on the bid. Positioning (15): a put wall within 10% below spot and above the short strike, a positive dealer-gamma regime, spot above the gamma flip, and puts priced richer than calls. Penalties: an event inside 35 days (read from a jump in the IV term structure), thin options, wide spreads, sub-$10 prices.
The strict filter is the same idea as hard cut-offs: . Few names pass it at any one time; the score ranks the rest.
2y is the two-year price return. Above support is the distance to the nearest clustered swing low. 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 put is the strike nearest to −0.30 delta in the monthly or weekly expiry closest to 35 days; yield is the bid divided by the strike, annualized. Put wall is the strike with the most dealer put gamma below spot, from CBOE open interest; pos/neg γ is the dealer gamma regime. Event is the days until a jump in the IV term structure, usually earnings.
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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.put_screen --site.