How to read ChainScan

Each row is the best bull-put credit spread the scanner could build for one S&P-100 name on the collected date: a short put sold at ~20-delta (the market's rough 80% probability-of-expiring-worthless line) and a long put bought one strike further out to cap risk. The columns:

• RoM — return on margin = credit ÷ width. The % you keep if both puts expire worthless, per $100 of collateral locked.
• Width — short strike − long strike, in dollars. Max loss per contract if the stock falls through both strikes.
• Credit — mid-price received for selling the spread. Bigger credit = more premium, usually a wider spread or higher IV.
• DTE — days to expiration. Scanner enforces 7–45 DTE so theta works for you but you're not locked in for months.
• TAscr — technical score (0–100) blending RSI, VWAP, and TRO alignment across day/week/month. Higher = trend more supportive of the put-side thesis.
• Earn — SAFE = no earnings before expiry; RISK = earnings inside the window (gamma event that can blow past the short strike).
• DWM — day/week/month TRO trend flags (▲/▼). MTF mode only shows names where all three timeframes agree — the strongest filter.

Unusual activity: the Vol/OI column

The Vol/OI column compares today's trading volume on the short put against its existing open interest (OI). OI is the number of contracts already outstanding; volume is how many traded today. The ratio tells you whether today's flow is existing positions changing hands or new positions being opened — the core signal behind services like UnusualWhales.

• Vol/OI < 1.0 — today's volume is less than existing OI — flow is routine, mostly existing positions trading. No signal.
• Vol/OI 1.0–1.5 — volume is matching or modestly exceeding OI. Elevated interest but not conclusively new positioning.
• Vol/OI > 1.5 (highlighted) — today's volume exceeds OI by 50%+. This is the unusual-activity flag: contracts are being traded faster than the existing position base, meaning new positions are likely opening. Someone is taking a fresh directional bet on this strike. The cell is bolded red when this threshold is crossed.
• Vol/OI = — — OI is unknown. This happens in live mode (which fetches quotes/greeks but not OI) or when the Trading API returned no interest for the contract. The unusual-activity signal requires the nightly collection, which fetches OI from the Trading API.

How to use it: a high Vol/OI on the short put means someone is aggressively selling that strike — which for a bull-put spread is a confirming signal (you're selling the same strike the smart money is trading). But volume can be driven by a single large retail order as easily as by an institution, and OI lags by a day (reported from the previous close). Treat it as a confirming colour, not a standalone trigger — pair it with the verdict, the TAscore, and the earnings flag.

The risk columns: RR, ReqWR, and the verdict (✅/❌)

Three columns at the right of the table give you a quick gut-check on whether a spread's premium actually compensates for the risk. The scanner always shows every spread — the verdict flag is a reference, not a filter. The rows are never hidden.

• RR (risk:reward) — max loss ÷ credit, shown as X:1. A 6:1 ratio means you risk $6 to make $1 — one loss eats six winners. Below 4:1 is comfortable; above 6:1 is where one gap-down wipes a month of credits. The ratio is always ugly at 0.20-delta; the edge comes from win rate, not RR.
• ReqWR (required win rate) — the break-even win percentage: maxLoss ÷ (maxLoss + credit). A 0.20-delta short put theoretically wins ~80% of the time. If ReqWR exceeds 80%, the spread has no statistical edge — you need to win more often than delta implies just to break even. This is the single most important column.
• Verdict (✅/❌) — a pass/fail flag applying five rule-of-thumb checks simultaneously: credit ≥ $0.50/share, IV ≥ 32%, short δ ≤ 0.22, earnings not before expiry, and ReqWR ≤ 80%. ✅ means all five pass — the spread is worth considering. ❌ means at least one check fails. This is a starting point, not a trade signal.

The credit floor: why $0.50/share matters

Below $0.50/share ($50/contract), commissions and bid/ask slippage eat too much of your profit. Round-trip friction on a two-leg spread is typically $15–$30/contract: ~$4–$8 in commissions plus $10–$20 from crossing the bid/ask spread on entry and exit. On a $0.30 credit ($30), friction is 50–100% of your profit — you're trading to pay the broker. On a $1.00 credit ($100), it's 15–30% — tolerable. On $2.00+, it's a rounding error. The $0.50 floor doesn't tell you the trade is good — it tells you it isn't mathematically pointless due to friction. It's the admission ticket, not the award.

The RoM worth trading

RoM (return on margin) = credit ÷ width. It measures capital efficiency: how much you earn per dollar of collateral locked. The rule of thumb: RoM ≥ 12% means the credit is fat enough relative to the margin you're locking up. Below 10%, you're deploying capital for a thin return — even if the credit clears the $0.50 floor. Compare a $0.50 credit on a $3 spread (16.7% RoM, $250 margin) vs $0.50 on a $10 spread (5% RoM, $950 margin): same profit, 3.8× more capital at risk. RoM catches what the absolute credit floor misses.

Using ?strict=1

Add &strict=1 to the URL to load the rule-of-thumb preset. It sets the reference thresholds (IV ≥ 32%, width ≤ $5, credit ≥ $0.50) so the verdict column aligns with a conservative credit-spread discipline. It does not remove rows — you still see every spread, but the ✅/❌ flag tells you which ones actually pass all five checks. Combine with &mtf=1&earn=1 for the full safe-spread screen.

What the option prices alone tell us

Beyond the spread itself, the raw chain carries a second layer of signal — the market's probability beliefs, baked into prices before any chart is drawn. Here's what we can derive from the collected bids/asks/IVs:

• Implied volatility level — ATM IV is the market's expected annualized move. A 40% IV name is priced for a ~2.5% weekly swing (40%÷√52). High-IV names pay more credit per unit of risk; low-IV names pay less but are quieter to hold.
• IV change vs. spot change — When IV rises while the stock falls, traders are bidding for puts — fear/protection demand. When IV falls while the stock rises, protection is being unwound — complacency. Across our 5-session sample, 11 names showed the fear pattern (AMZN, AMD, PFE, CAT, CVS) and 27 showed complacency (RTX, T, TMO) — a broadly risk-on tape with isolated stress pockets.
• IV term structure — Near-dated IV vs. far-dated IV. When near > far (inversion), the market is pricing a discrete near-term event — almost always earnings or a binary catalyst. 67 of 102 names showed inversion on 2026-07-27 (META, PYPL, UPS, AMZN, MSFT most extreme), signalling earnings season. Contango (far > near) means no near catalyst — calmer, drift-friendlier names (NFLX, MS, WMT).
• Put/Call IV skew — ATM put IV minus ATM call IV. A positive skew = puts pricier than calls = demand for downside protection (bearish hedging). A negative skew = calls pricier = demand for upside (bullish speculation). Persistent skew flips (e.g. GOOGL put IV collapsing from +0.5pp to call-favored) mark sentiment turns faster than price often does.
• IV percentile (rich vs. cheap) — Where today's ATM IV sits within its own recent range. IV at the top of its 5-day band = premiums rich → favor selling spreads there. IV at the bottom = premiums cheap → selling is thin, consider waiting or buying structures instead.
• Delta-implied direction — The strike where call delta crosses 0.50 is the options market's median expected spot at expiry. Comparing that strike to today's spot gives a model-free directional lean: above spot = call market leans bullish; below = bearish.
• Spread widths vs. IV — A narrow market-priced width relative to IV suggests traders expect a tight range (low realized move). A wide priced range suggests they expect breakouts. Clusters of tight widths across the universe = low-vol regime; wide = transition.

Caveat: option prices reflect expectations, not guarantees. IV can stay elevated or depressed far longer than a spread's DTE, and skew is driven by flow as much as by true sentiment. Use these as one input alongside TAscore and earnings timing — not as a standalone forecast.