Every calculation traces back to the Black-Scholes option pricing model. No discretionary overrides. No narrative. Pure mathematics.
At 9:45 AM ET, live option chains for 15 highly liquid underlyings are read. Every put and call strike across 0–14 DTE is captured with bid/ask, open interest, and implied volatility. Share counts are calibrated to $500K notional, rounded to the nearest 100.
Each strike is priced through the full Black-Scholes framework. The engine computes P(OTM) — probability the option expires worthless — and Pr(Profit) — the probability of net profit accounting for both premium collected and directional assignment risk. Positions below the Pr(Profit) floor are eliminated.
For every position, Fischer computes the spread between implied volatility — the risk the market is pricing into the option — and the underlying’s realized historical volatility. IV nearly always exceeds HV, but the magnitude matters. A wide spread means the market is pricing in significantly more fear than has actually materialized, and you’re collecting richer premium for selling it. Fischer surfaces this spread so you can see exactly how much the market is overpaying you to take the other side.
Surviving positions are decomposed into two components: Theta Income (extrinsic value × shares — the time-decay you collect as the seller) and Directional Edge (spot-to-strike distance × shares — the cushion before assignment hurts). Max Profit is the sum. All figures are in dollars at $500K notional.
Positions are ranked by |total theta cost| / max profit — ascending. This surfaces the trades where you collect the most time-decay relative to your maximum upside. The top 10 are selected. Everything else is discarded.
Every position is tracked through expiration. At settlement, the engine records closing price, ITM/OTM status, and computes realized P&L with full theta vs. directional attribution. The historical ledger is permanent and searchable in the client portal.
All analysis is normalized to a fixed notional value so that every metric — premium, theta income, max profit — is expressed in comparable dollar terms across the entire universe.
View actual scan reports and drilldown analyses that clients receive every morning.
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