These eight columns are calculated from the existing Hot Options feed.
They are model-based research measurements, not guarantees of profit.
Click a ? beside a table heading to jump to its explanation.
Estimated POP
Meaning: Estimated probability that a purchased option finishes beyond its breakeven at expiration.
Call: POP = N(d₂) × 100
Put: POP = N(−d₂) × 100
d₂ = [ln(S ÷ B) + (r − 0.5σ²)T] ÷ (σ√T)
Inputs: Underlying price S, breakeven B, implied volatility σ, time to expiration T, and risk-free rate r.
Interpretation: Higher means the model estimates a better chance of finishing profitable at expiration. It is not the probability of touching the breakeven before expiration.
Blank when: Underlying price, IV, expiration, premium, strike, or option type is unavailable or invalid.
Breakeven
Meaning: Underlying price required at expiration for a long option to recover its premium.
Long call = Strike + Premium
Long put = Strike − Premium
Premium selection: Feed midpoint first; otherwise bid/ask midpoint; otherwise reported option price.
Interpretation: The underlying must finish above this level for a long call or below it for a long put, excluding commissions and slippage.
Expected Move
Meaning: One-standard-deviation dollar move implied by the option's current IV through expiration.
Expected Move = Underlying Price × IV × √(DTE ÷ 365)
Interpretation: This is a magnitude, not a directional forecast. A value of $8 means approximately an $8 move up or down under the model assumptions.
Blank when: Underlying price, IV, or valid days to expiration is missing.
Spread %
Meaning: Bid/ask width relative to the contract's midpoint.
Midpoint = (Bid + Ask) ÷ 2
Spread % = (Ask − Bid) ÷ Midpoint × 100
Interpretation: Lower is generally better. A narrow spread usually means less execution friction and better liquidity.
Blank when: Bid or ask is zero, missing, or invalid.
IV − HV
Meaning: Difference between implied volatility and annualized historical volatility.
IV − HV = Implied Volatility % − Historical Volatility %
Interpretation: Positive means options imply more volatility than the underlying recently realized. Negative means implied volatility is below historical volatility.
Blank when: Either IV or HV is unavailable.
Value Edge %
Meaning: Difference between Outlytic's Black–Scholes value and the selected market premium, expressed as a percentage of premium.
Value Edge % = (Black–Scholes Value − Premium) ÷ Premium × 100
Interpretation: Positive means the model value is above the market premium; negative means it is below. This is only an edge relative to the model's assumptions.
Blank when: Theoretical value or a valid positive premium is unavailable.
Liquidity
Meaning: A 0–100 composite score using contract volume, open interest, and bid/ask spread.
Volume component = min(100, 25 × log₁₀(Volume + 1))
OI component = min(100, 25 × log₁₀(Open Interest + 1))
Spread component = clamp(100 − 5 × Spread %, 0, 100)
Score = 35% Volume + 35% OI + 30% Spread
Interpretation: Higher generally indicates stronger activity and lower execution friction. Available components are reweighted if spread data is missing.
Opportunity
Meaning: A 0–100 research ranking for purchasing the option, not a trade recommendation.
40% Estimated POP
25% Liquidity
20% Model-value component
15% IV-versus-HV component
Model-value component: clamp(50 + 2 × Value Edge %, 0, 100).
IV-versus-HV component: clamp(50 − 2 × (IV − HV), 0, 100), which rewards lower IV relative to HV for a long-option candidate.
Interpretation: Higher means stronger alignment among probability, tradability, relative model value, and volatility pricing. POP and Liquidity are required; optional components are reweighted when unavailable.