Calculations & data conventions
The formulas and assumptions behind Shortput: capital, annualized ROI, IV, expected moves, open interest and data freshness.
01 / Data & scope
The option chain provides market snapshots and daily candles. When preview access is enabled, NVDA, TSLA and SPCX are available before sign-in; other symbols and search require administrator access. Standard 100-share, PM-settled equity/ETF contracts are supported, normally 1–400 DTE (server-configurable). Adjusted contracts, AM settlement and 0DTE are excluded. DTE uses the current New York calendar date. Regular/Weekly classifications use the series metadata, not a third-Friday heuristic.
02 / IV Rank & IV Percentile
IVR and IVP use the available market-data metrics rather than reconstructed synthetic history. Reference IV uses the supplied volatility index; expiry IV uses the matching standard PM-settled expiration metric. Fractional IV, rank and percentile values are converted to percentages. Different vendors can use different reference series and lookback conventions.
03 / Quotes & capital efficiency
Mid = (bid + ask) / 2. Spread = ask − bid; spread % = spread / mid × 100. Only valid positive, uncrossed two-sided quotes are used. For one standard 100-share put, credit = mid × 100 and cash secured = strike × 100. Estimated margin = 100 × max(0.20 × spot − max(spot − strike, 0), 0.10 × strike) + credit. This is a general comparison estimate, not a broker-specific requirement. Non-standard contracts and 0DTE are excluded. Put candidates require strike at or below the underlying snapshot price and absolute Delta of at least 0.10, including the boundary, for each expiration. Unknown Delta is not guessed; temporarily unavailable Greeks keep the last-known qualifying rows without treating the data as fresh. Open-interest analysis still uses the full call and put chain.
04 / Return conventions
All displayed ROI and comparisons use simple annualization: ROI = credit / selected capital × 365 / DTE × 100. This is not a compounded return. Estimates assume the premium is retained through expiration and exclude transaction costs, assignment losses, capital interest and changing margin requirements. They are not expected total returns. Displayed Greeks describe one long option per share: delta is spot sensitivity and theta is per calendar day. A short position reverses Greek signs.
05 / Expected move & positioning
Expected move = spot × expiry reference IV / 100 × √(DTE / 365), shown as a symmetric one-standard-deviation approximation. Put wall is the highest OI strike strictly below spot among puts; call wall is the highest OI strike strictly above spot among calls. Ties use the closest strike to spot. Max pain minimizes total call and put intrinsic value weighted by OI across the complete expiration; ties use the lowest strike. No open interest or incomplete OI means no max pain. OI calculations never use only the eligible put candidates.
06 / Charts & freshness
Daily candles update through the shared feed; MA200 requires 200 daily closes. No extra corporate-action adjustment or missing-history interpolation is applied. With streaming enabled, changed quotes, Greeks and candles trigger server updates, coalesced at a default 100 ms interval; actual delivery depends on the upstream feed and connection. IV metrics refresh separately every minute; chain metadata refreshes every 15 minutes, and OI remains daily. Connected means the feed is connected, not that a new trade occurred. Some quotes have no exchange timestamp: it stays unavailable, delivery time is recorded separately, and ROI is indicative from the latest delivered bid/ask. Switching browser tabs retains the last received snapshot until synchronization completes, without changing its timestamps. Actual connection failures and old or invalid quotes suppress ROI while retaining last prices. Age limits are 20 minutes during weekday regular hours and four days outside them; for untimed quotes this measures delivery age, not exchange age. This is not an exchange holiday calendar. Missing data never falls back to demo.
07 / Watchlist liquidity
The five-dot watchlist rating uses the available liquidity score (0–5). Zero stays zero; unavailable values remain a dash. It is not a bid–ask spread conversion and does not guarantee execution.
08 / OI bars & spread lines
The background bar shows put OI relative to the largest OI across displayed strikes in that expiry column, including offscreen rows. It does not encode ROI, and different columns have different OI scales. The thin line shows absolute ask-minus-bid spread per share in $1 layers: sage for $0–1, amber for $1–2, brick red for $2–3. Each layer covers the previous color; $3 or more fills red. Hover retains the uncapped value. These are visual bands, not trading-quality thresholds. Missing OI has no bar; missing, stale or invalid quotes have no line. Neither OI nor quoted spread guarantees a fill.
09 / Volatility skew (30-day, 25Δ)
Skew compares how expensive out-of-the-money puts are against the at-the-money option. Put skew = IV of the 25Δ put − at-the-money IV, in volatility points; the multiple is 25Δ put IV ÷ at-the-money IV. Risk reversal (RR) = 25Δ put IV − 25Δ call IV. A high put skew or positive RR means downside puts are relatively expensive, which is the premium a short put collects. It does not say the underlying will fall. Implied volatilities are solved from bid/ask mids with the Black-76 model on a forward inferred from put-call parity (median of the five strikes nearest spot); the feed’s own per-contract IV is not used because it assumes no carry and differs between a put and a call at the same strike. Only out-of-the-money options are used: puts below the forward and calls at or above it. At-the-money IV is linearly interpolated in strike between the two strikes that enclose the forward. 25Δ points are linearly interpolated in delta between the two adjacent contracts, never extrapolated, and withheld if their deltas are more than 0.15 apart. Quotes must be current, two-sided and uncrossed, with a spread within the larger of $0.05 or 20% of mid, and open interest of at least 10. Each expiry is computed independently. The 30-day value interpolates total variance (IV² × T) linearly in time between the nearest expirations at or below and at or above 30 days, each with at least 5 days to expiry; it is withheld if either side or any needed quote is missing, with the reason shown. American early exercise and interest-rate discounting are ignored; this changes results by well under a volatility point for the 25Δ options used. History stores one 30-day observation per tracked symbol (defaults and saved watchlists) after each regular session, from the first day the feature ran. Percentile is the share of the prior 365 days’ observations strictly below today; rank is (today − minimum) / (maximum − minimum) × 100. Both show as building history until 20 trading days exist. Skew is descriptive and not a trading signal or a forecast.
10 / Separately configured demo mode
In demo mode, prices, Greeks, open interest and history are deterministically generated synthetic examples, fixed at September 10, 2026, 20:00 UTC. They are not market quotes. The demo has twelve US stock and ETF symbols, 310 synthetic weekday bars and eight expirations. Days-to-expiry are measured from the snapshot date, not your computer’s date. IV Rank = 100 × (current IV − historical minimum) / (historical maximum − minimum). IV Percentile = 100 × count of historical IV values strictly below current IV / 252. The lookback is the previous 252 sessions, excluding the current snapshot. All use the same synthetic constant 30-day reference IV series. Rank is unavailable when the historical range is zero; both are unavailable with insufficient history. A rank may exceed 100 when current IV exceeds the prior range.
Limits & risks
Mid is not a guaranteed execution price; estimated margin is not your broker’s requirement or a maximum-loss boundary. Short puts can incur losses far greater than the premium received, and American-style puts may be assigned before expiration. Expected ranges, OI walls and max pain are descriptive estimates, not price forecasts or guaranteed support and resistance. Guide articles use explicitly hypothetical numbers, not live quotes or backtests. This material is educational, not investment advice.