How the board is built.
One pass over the whole listed options market every night after close. The output is a short list and a reason for each line.
01
What we scan
Every US-listed equity option priced under $1.00 at the close, puts and calls, 7 to 45 days out. Roughly 1,800 contracts a night.
02
What we throw out
Open interest under 500. Bid-ask spreads wider than 15% of the mid. Contracts with no trades in the last session. Anything where you couldn't realistically get filled near the last price.
03
How the tier is built
The core signal is implied volatility against 30-day realized volatility. A contract priced as if the stock will move less than it actually has been moving is our candidate. We then adjust for liquidity, days to expiry and a known catalyst inside the window, and bucket the result:
S
Rare. IV well under realized, tight spread, catalyst in window. A few a week at most.
A
Strong. Clear mispricing, liquid, no catalyst needed.
B
Worth a look. Mispriced, but thinner or wider than we'd like.
C
Marginal. Passed the filters, edge is small.
D
Listed for completeness. Barely passed. Shown so the list is honest, not padded.
04
Data and delay
Quotes are 15-minute delayed. The scan runs once after the close and the timestamp is printed on the board. Nothing here is real-time and we don't pretend it is.
Not financial advice. cheapputs is an information product. We are not a broker, we do not execute trades, and we are not compensated by any broker. Options are risky; the large majority of contracts under a dollar expire worthless. Our own track record shows a median outcome of −100%. Do your own research and never risk money you can't lose.