The percent move down that the underlying can make until the trade begins to show a loss at expiration. The nearest expiration is used for the basis of calculation for time spreads.

The percent move up that the underlying can make until the trade begins to show a loss at expiration. The nearest expiration is used for the basis of calculation for time spreads. Note a value of 100% signifies no losses to the upside, while a value >100% (very rare) signifies a break-even at greater than double the underlying price.

Trade gamma divided by trade theta. Ratio gives indicator of the gamma risk vs. the time decay potential.

First-month (the next normal expiration that is neither quarterly nor weekly) Implied Volatility at the Money.

Second-month (normal expiration that is neither quarterly nor weekly) Implied Volatility at the Money.

Third month (normal expiration that is neither quarterly nor weekly) Implied Volatility at the Money.

Fourth month (normal expiration that is neither quarterly nor weekly) Implied Volatility at the Money.

Signals true when a ticker’s last price at time of ranking crosses from yesterday’s previous value above the 200d simple moving average (SMA) to below the 200d SMA

This filter triggers when the underlying close price crosses from under the 200-day Exponential Moving Average (EMA) to above the 200d EMA.

Determines if any of the spread or trade is ITM (in-the-money). Returns 1/0 for true/false and can only be used as a filter, not as a criterion.