Volatility Options Pricing & Range — An institutional-grade volatility analytics engine that tells you exactly when implied vol is overpriced and the premium is actually worth selling.
>> Not another RSI crossover. This is real math. <<
These are real, live setups from today's pipeline run. Sorted by VoPR Grade then weekly ROC. All positions are short puts (cash-secured) — you're selling premium, not buying it.
| Ticker | Price | Strike | Exp | Premium | ROC/wk | VoPR | VRP | Regime |
|---|---|---|---|---|---|---|---|---|
| Loading setups... | ||||||||
They sort by yield. Maybe filter by delta. Call it a day. But yield means nothing if implied vol is cheap relative to what the stock actually does. You're picking up pennies in front of a steamroller and calling it "income."
VoPR answers the only question that matters: Is the premium you're collecting actually worth the risk you're taking? We compute the Volatility Risk Premium — the gap between what the market thinks will happen (IV) and what the stock actually does (RV) — using research-grade estimators from quantitative finance literature.
Simple historical volatility (close-to-close) misses 60-80% of intraday price information. VoPR uses a weighted ensemble of four estimators, each published in peer-reviewed journals, to build a more complete picture of what a stock actually does.
Standard log-return volatility. The baseline everyone uses. We include it but down-weight it — it only sees closing prices and misses intraday movement.
Uses the daily high-low range. Approximately 5× more statistically efficient than close-to-close. Captures intraday volatility that closing prices miss entirely.
Uses Open, High, Low, Close. The most statistically efficient classical estimator. Extracts maximum information from standard OHLC bars. Our proprietary weighting scheme prioritizes this model.
Unbiased even in trending markets. Other estimators overestimate vol in strong trends — Rogers-Satchell corrects for drift. Critical for momentum stocks where drift is the whole point.
The VRP is the spread between implied volatility (what option prices suggest) and realized volatility (what actually happens). When IV is significantly higher than RV, sellers are being overpaid for the risk they're taking. That's your edge.
We approximate IV from listed option premiums using the Brenner-Subrahmanyam method, then divide by our composite RV. A VRP of 1.5 means the market is pricing in 50% more volatility than the stock is actually exhibiting. That's free money — systematically.
A rich VRP in high-vol means something very different from a rich VRP in low-vol. VoPR classifies the current vol environment by comparing 30-day vs 60-day composite RV:
Recent < Long-term
Vol compressed.
Best for CSPs.
Elevated but decreasing.
Regime normalizing.
Good for entry.
Expanding from base.
Caution warranted.
Tighten stops.
Elevated vol persisting.
Max premium but max risk.
Size down.
Every CSP candidate is run through Black-Scholes to compute put delta and daily theta decay. Delta tells you the probability-approximate risk of assignment. Theta tells you how fast you're earning premium — time is literally money.
Put delta [-1, 0]. We target |Δ| ≤ 0.15 for safe CSPs. This means roughly 85%+ probability the put expires worthless and you keep 100% of the premium.
Daily time decay in $/share. Negative theta = you earn. The wheel thrives on theta — every day that passes without assignment, premium decays into your account.
Every candidate gets a composite grade from 0–100 points across three dimensions. This is what separates "high yield" (trap) from "high quality setup" (edge).
80+ pts. Rich IV, calm vol, safe delta. Everything aligned. Full-size position.
60-79 pts. Good opportunity, one minor concern. Standard position sizing.
40-59 pts. Proceed with caution. Reduce size or wait for regime shift.
<40 pts. Cheap IV, hot vol, or dangerous delta. Walk away.
Every day at 6AM CST, an automated pipeline screens 100+ stocks and runs them through a 4-stage funnel. Only the survivors make it to the API.
100 candidates. EMA aligned, ADX>20, 30d vol>500k
Price $10-500, ATR check, trend confirmation
OTM puts, 7-45 DTE, weekly ROC, live chain
4-model RV, VRP, Greeks, regime, grade
The entire system is Python-native — from the screener to the vol models to the API layer. Raw price data flows through our proprietary analytical pipeline and lands on a FastAPI endpoint you can query in milliseconds. No spreadsheets. No manual entry. No "I'll update it when I get to it."
NumPy, SciPy, pandas-ta
Black-Scholes from scratch
4 vol models, no shortcuts
Sub-50ms response times
JSON endpoints, CORS open
Swagger docs included
5AM CST daily pipeline
GitHub Actions CI/CD
Zero manual intervention
Try it now. Pull live VoPR-graded CSP setups, momentum picks, market news, and more. CORS open. No auth required. This endpoint will not be free forever.
Also available: /alpha/api/setups/today · /alpha/api/picks/today ·
/alpha/api/news · /alpha/api/regime · /alpha/api/{ticker}
Full Swagger docs: mphinance.com:8002/docs
© 2026 Momentum Phinance LLC. For educational and informational purposes only.
Not financial advice. Options involve risk. Past performance doesn't guarantee future results.
Built with math, not marketing. — Ghost Alpha 👻