{
 "report_id": "2026-07-31_value_momentum",
 "report_date": "2026-07-31",
 "report_timestamp": "2026-07-31T22:10:50+00:00",
 "report_type": "hybrid",
 "generator": "mechanical screener v1 (FMP + EODHD), no LLM in the data path",
 "universe": {
  "country_listing": "US",
  "security_types": [
   "common_stock"
  ],
  "exclude": [
   "etf",
   "cef",
   "fund"
  ],
  "min_price": 5.0,
  "min_market_cap": 10000000000,
  "min_avg_daily_volume": 500000,
  "size": 827
 },
 "market_context": {
  "spy_close": 747.03,
  "spy_above_21d_ema": true,
  "note": "regime shown for reference; backtest found it non-predictive"
 },
 "picks": [
  {
   "pick_rank": 1,
   "screen_type": "value",
   "ticker": "KEP",
   "company_name": "Korea Electric Power Corporation",
   "sector": "Utilities",
   "universe": "US large-cap common stocks",
   "price": 11.95,
   "market_cap": 15342939600,
   "fifty_two_week_low": 11.32,
   "pct_above_52_week_low": 5.57,
   "trailing_pe": 2.56,
   "five_day_return_pct": -0.91,
   "roc_14d_pct": 2.31,
   "roc_21d_pct": -0.58,
   "rsi_14d": 48.6,
   "sma_20d": 11.89,
   "sma_50d": 12.37,
   "sma_200d": 15.85,
   "pct_vs_sma_20d": 0.54,
   "pct_vs_sma_50d": -3.38,
   "pct_vs_sma_200d": -24.6,
   "pct_off_52_week_high": -48.62,
   "avg_daily_volume_3m": 1159296,
   "risk_level": "medium",
   "above_200d_sma": false,
   "strategy_action": "long-watch \u2014 3y: 57% win, +1.7% avg per 21 sessions; weakest in 2025-26 tape",
   "outlook": "Deep value near lows; bounced more often than not over three years. The 2025-26 short-the-knife pattern did not hold over the full sample.",
   "screen_reason": [
    "Within 10% of 52-week low",
    "Trailing P/E <= 10",
    "Universe & liquidity filters passed"
   ],
   "price_series": {
    "basis": "eodhd adjusted_close (split+dividend adjusted); sma200 = 200-session rolling mean on the same basis",
    "dates": [
     "2025-07-31",
     "2025-08-01",
     "2025-08-04",
     "2025-08-05",
     "2025-08-06",
     "2025-08-07",
     "2025-08-08",
     "2025-08-11",
     "2025-08-12",
     "2025-08-13",
     "2025-08-14",
     "2025-08-15",
     "2025-08-18",
     "2025-08-19",
     "2025-08-20",
     "2025-08-21",
     "2025-08-22",
     "2025-08-25",
     "2025-08-26",
     "2025-08-27",
     "2025-08-28",
     "2025-08-29",
     "2025-09-02",
     "2025-09-03",
     "2025-09-04",
     "2025-09-05",
     "2025-09-08",
     "2025-09-09",
     "2025-09-10",
     "2025-09-11",
     "2025-09-12",
     "2025-09-15",
     "2025-09-16",
     "2025-09-17",
     "2025-09-18",
     "2025-09-19",
     "2025-09-22",
     "2025-09-23",
     "2025-09-24",
     "2025-09-25",
     "2025-09-26",
     "2025-09-29",
     "2025-09-30",
     "2025-10-01",
     "2025-10-02",
     "2025-10-03",
     "2025-10-06",
     "2025-10-07",
     "2025-10-08",
     "2025-10-09",
     "2025-10-10",
     "2025-10-13",
     "2025-10-14",
     "2025-10-15",
     "2025-10-16",
     "2025-10-17",
     "2025-10-20",
     "2025-10-21",
     "2025-10-22",
     "2025-10-23",
     "2025-10-24",
     "2025-10-27",
     "2025-10-28",
     "2025-10-29",
     "2025-10-30",
     "2025-10-31",
     "2025-11-03",
     "2025-11-04",
     "2025-11-05",
     "2025-11-06",
     "2025-11-07",
     "2025-11-10",
     "2025-11-11",
     "2025-11-12",
     "2025-11-13",
     "2025-11-14",
     "2025-11-17",
     "2025-11-18",
     "2025-11-19",
     "2025-11-20",
     "2025-11-21",
     "2025-11-24",
     "2025-11-25",
     "2025-11-26",
     "2025-11-28",
     "2025-12-01",
     "2025-12-02",
     "2025-12-03",
     "2025-12-04",
     "2025-12-05",
     "2025-12-08",
     "2025-12-09",
     "2025-12-10",
     "2025-12-11",
     "2025-12-12",
     "2025-12-15",
     "2025-12-16",
     "2025-12-17",
     "2025-12-18",
     "2025-12-19",
     "2025-12-22",
     "2025-12-23",
     "2025-12-24",
     "2025-12-26",
     "2025-12-29",
     "2025-12-30",
     "2025-12-31",
     "2026-01-02",
     "2026-01-05",
     "2026-01-06",
     "2026-01-07",
     "2026-01-08",
     "2026-01-09",
     "2026-01-12",
     "2026-01-13",
     "2026-01-14",
     "2026-01-15",
     "2026-01-16",
     "2026-01-20",
     "2026-01-21",
     "2026-01-22",
     "2026-01-23",
     "2026-01-26",
     "2026-01-27",
     "2026-01-28",
     "2026-01-29",
     "2026-01-30",
     "2026-02-02",
     "2026-02-03",
     "2026-02-04",
     "2026-02-05",
     "2026-02-06",
     "2026-02-09",
     "2026-02-10",
     "2026-02-11",
     "2026-02-12",
     "2026-02-13",
     "2026-02-17",
     "2026-02-18",
     "2026-02-19",
     "2026-02-20",
     "2026-02-23",
     "2026-02-24",
     "2026-02-25",
     "2026-02-26",
     "2026-02-27",
     "2026-03-02",
     "2026-03-03",
     "2026-03-04",
     "2026-03-05",
     "2026-03-06",
     "2026-03-09",
     "2026-03-10",
     "2026-03-11",
     "2026-03-12",
     "2026-03-13",
     "2026-03-16",
     "2026-03-17",
     "2026-03-18",
     "2026-03-19",
     "2026-03-20",
     "2026-03-23",
     "2026-03-24",
     "2026-03-25",
     "2026-03-26",
     "2026-03-27",
     "2026-03-30",
     "2026-03-31",
     "2026-04-01",
     "2026-04-02",
     "2026-04-06",
     "2026-04-07",
     "2026-04-08",
     "2026-04-09",
     "2026-04-10",
     "2026-04-13",
     "2026-04-14",
     "2026-04-15",
     "2026-04-16",
     "2026-04-17",
     "2026-04-20",
     "2026-04-21",
     "2026-04-22",
     "2026-04-23",
     "2026-04-24",
     "2026-04-27",
     "2026-04-28",
     "2026-04-29",
     "2026-04-30",
     "2026-05-01",
     "2026-05-04",
     "2026-05-05",
     "2026-05-06",
     "2026-05-07",
     "2026-05-08",
     "2026-05-11",
     "2026-05-12",
     "2026-05-13",
     "2026-05-14",
     "2026-05-15",
     "2026-05-18",
     "2026-05-19",
     "2026-05-20",
     "2026-05-21",
     "2026-05-22",
     "2026-05-26",
     "2026-05-27",
     "2026-05-28",
     "2026-05-29",
     "2026-06-01",
     "2026-06-02",
     "2026-06-03",
     "2026-06-04",
     "2026-06-05",
     "2026-06-08",
     "2026-06-09",
     "2026-06-10",
     "2026-06-11",
     "2026-06-12",
     "2026-06-15",
     "2026-06-16",
     "2026-06-17",
     "2026-06-18",
     "2026-06-22",
     "2026-06-23",
     "2026-06-24",
     "2026-06-25",
     "2026-06-26",
     "2026-06-29",
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     "2026-07-07",
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     "2026-07-09",
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     "2026-07-14",
     "2026-07-15",
     "2026-07-16",
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     "2026-07-21",
     "2026-07-22",
     "2026-07-23",
     "2026-07-24",
     "2026-07-27",
     "2026-07-28",
     "2026-07-29",
     "2026-07-30",
     "2026-07-31"
    ],
    "close": [
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   },
   "overlap_with_other_screen": false
  },
  {
   "pick_rank": 2,
   "screen_type": "value",
   "ticker": "RCI",
   "company_name": "Rogers Communications Inc.",
   "sector": "Communication Services",
   "universe": "US large-cap common stocks",
   "price": 33.85,
   "market_cap": 18286627150,
   "fifty_two_week_low": 31.45,
   "pct_above_52_week_low": 7.63,
   "trailing_pe": 4.11,
   "five_day_return_pct": 3.42,
   "roc_14d_pct": 1.41,
   "roc_21d_pct": 5.39,
   "rsi_14d": 47.97,
   "sma_20d": 33.5,
   "sma_50d": 35.36,
   "sma_200d": 36.33,
   "pct_vs_sma_20d": 1.05,
   "pct_vs_sma_50d": -4.27,
   "pct_vs_sma_200d": -6.84,
   "pct_off_52_week_high": -17.38,
   "avg_daily_volume_3m": 1245634,
   "risk_level": "medium",
   "above_200d_sma": false,
   "strategy_action": "long-watch \u2014 3y: 57% win, +1.7% avg per 21 sessions; weakest in 2025-26 tape",
   "outlook": "Deep value near lows; bounced more often than not over three years. The 2025-26 short-the-knife pattern did not hold over the full sample.",
   "screen_reason": [
    "Within 10% of 52-week low",
    "Trailing P/E <= 10",
    "Universe & liquidity filters passed"
   ],
   "price_series": {
    "basis": "eodhd adjusted_close (split+dividend adjusted); sma200 = 200-session rolling mean on the same basis",
    "dates": [
     "2025-07-31",
     "2025-08-01",
     "2025-08-04",
     "2025-08-05",
     "2025-08-06",
     "2025-08-07",
     "2025-08-08",
     "2025-08-11",
     "2025-08-12",
     "2025-08-13",
     "2025-08-14",
     "2025-08-15",
     "2025-08-18",
     "2025-08-19",
     "2025-08-20",
     "2025-08-21",
     "2025-08-22",
     "2025-08-25",
     "2025-08-26",
     "2025-08-27",
     "2025-08-28",
     "2025-08-29",
     "2025-09-02",
     "2025-09-03",
     "2025-09-04",
     "2025-09-05",
     "2025-09-08",
     "2025-09-09",
     "2025-09-10",
     "2025-09-11",
     "2025-09-12",
     "2025-09-15",
     "2025-09-16",
     "2025-09-17",
     "2025-09-18",
     "2025-09-19",
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  },
  {
   "pick_rank": 3,
   "screen_type": "value",
   "ticker": "BCE",
   "company_name": "BCE Inc.",
   "sector": "Communication Services",
   "universe": "US large-cap common stocks",
   "price": 21.68,
   "market_cap": 20217159713,
   "fifty_two_week_low": 20.87,
   "pct_above_52_week_low": 3.88,
   "trailing_pe": 4.49,
   "five_day_return_pct": 1.78,
   "roc_14d_pct": 1.07,
   "roc_21d_pct": 3.14,
   "rsi_14d": 46.43,
   "sma_20d": 21.54,
   "sma_50d": 22.79,
   "sma_200d": 23.45,
   "pct_vs_sma_20d": 0.66,
   "pct_vs_sma_50d": -4.86,
   "pct_vs_sma_200d": -7.53,
   "pct_off_52_week_high": -18.03,
   "avg_daily_volume_3m": 3843561,
   "risk_level": "medium",
   "above_200d_sma": false,
   "strategy_action": "long-watch \u2014 3y: 57% win, +1.7% avg per 21 sessions; weakest in 2025-26 tape",
   "outlook": "Deep value near lows; bounced more often than not over three years. The 2025-26 short-the-knife pattern did not hold over the full sample.",
   "screen_reason": [
    "Within 10% of 52-week low",
    "Trailing P/E <= 10",
    "Universe & liquidity filters passed"
   ],
   "price_series": {
    "basis": "eodhd adjusted_close (split+dividend adjusted); sma200 = 200-session rolling mean on the same basis",
    "dates": [
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     "2025-08-01",
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     "2025-10-14",
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   "strategy_action": "long, 21-day hold",
   "outlook": "Trend continuation setup.",
   "screen_reason": [
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   "company_name": "Cognizant Technology Solutions Corporation",
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   "universe": "US large-cap common stocks",
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   "trailing_pe": null,
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   "avg_daily_volume_3m": 10794722,
   "risk_level": "high",
   "above_200d_sma": false,
   "strategy_action": "skip \u2014 below 200-day SMA (3y: +0.5% vs +1.8% per 21 sessions)",
   "outlook": "Momentum without trend support.",
   "screen_reason": [
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   "screen_reason": [
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   "outlook": "Trend continuation setup.",
   "screen_reason": [
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   "TER": 3.8556,
   "RVMD": 3.7404,
   "COHR": 3.4442,
   "ALAB": 3.3706,
   "GLW": 3.3484,
   "VSAT": 3.3021,
   "IREN": 2.9773,
   "LRCX": 2.9699,
   "MKSI": 2.96,
   "ECHO": 2.9505,
   "ASX": 2.926
  },
  "lowvol_quintile": [
   "EA",
   "BRK-B",
   "FTS",
   "WBD",
   "MPLX",
   "ATO",
   "REG",
   "RY",
   "DUK",
   "ET",
   "WEC",
   "AFL",
   "EVRG",
   "FE",
   "PNW",
   "ED",
   "O",
   "CNP",
   "L",
   "OGE",
   "LNT",
   "ELS",
   "GLPI",
   "NI",
   "WPC",
   "CMS",
   "TD",
   "EGP",
   "PPL",
   "KIM",
   "CFR",
   "DTE",
   "SRE",
   "ENB",
   "BNS",
   "SO",
   "TRP",
   "AEE",
   "SUI",
   "PBA",
   "LIN",
   "PEG",
   "WBS",
   "MCD",
   "AEP",
   "KMI",
   "MAA",
   "CPT",
   "VICI",
   "EQR",
   "ARCC",
   "JNJ",
   "BCE",
   "AMH",
   "HIG",
   "TU",
   "EPD",
   "PAA",
   "XEL",
   "COST",
   "AM",
   "KO",
   "INVH",
   "NLY",
   "CB",
   "RSG",
   "UNM",
   "GL",
   "KVUE",
   "UDR",
   "PFE",
   "SPG",
   "YUM",
   "EXC",
   "WM",
   "AVB",
   "CTVA",
   "PG",
   "RPRX",
   "LAMR",
   "GGG",
   "BIP",
   "MFC",
   "ETR",
   "OHI",
   "TAK",
   "ES",
   "WRB",
   "ORI",
   "TJX",
   "D",
   "WES",
   "TRV",
   "BAC",
   "MTB",
   "DTM",
   "VTR",
   "ACGL",
   "JPM",
   "WTRG",
   "PNC",
   "NVS",
   "CM",
   "PFG",
   "CINF",
   "PLD",
   "FHN",
   "ITW",
   "CHD",
   "AIG",
   "NEE",
   "PEP",
   "IEX",
   "ZTO",
   "EWBC",
   "EIX",
   "AGNC",
   "BNY",
   "LH",
   "CNI",
   "NSC",
   "KEY",
   "CP",
   "HST",
   "AWK",
   "EXR",
   "AEG",
   "IBN",
   "USB",
   "ECL",
   "HLT",
   "AME",
   "CSX",
   "SNY",
   "ONB",
   "V",
   "WMB",
   "SSB",
   "PRU",
   "WTFC",
   "HLN",
   "PSA",
   "TROW",
   "RF",
   "OTIS",
   "CL",
   "FMX",
   "MET",
   "CCEP",
   "MDLZ",
   "GD",
   "CVX",
   "UMBF",
   "MA",
   "STT",
   "WY",
   "NGG",
   "WELL",
   "UNP",
   "AVY",
   "SHEL",
   "PSO",
   "CLH",
   "ALL",
   "MO",
   "APD",
   "KMB",
   "SFD"
  ],
  "lowvol_n": 168,
  "universe_n": 842,
  "backtest_note": "3y PIT: mom121 Sharpe 1.16 / lowvol 1.10 / 40-60 barbell 1.40 vs SPY 1.21 | 15y PIT: mom121 0.76, lowvol 0.90, barbell 0.93 vs SPY 0.87"
 },
 "factor_sleeves_refreshed_this_run": false,
 "dropped_on_avg_volume": [],
 "options_lens": {
  "horizon_sessions": 21,
  "max_ask": 30.0,
  "budget_per_contract": 3000.0,
  "min_leverage": 3.0,
  "method": "Tradier chain + ORATS greeks; liquid calls only; strikes valued at the hold horizon (intrinsic, or Black-Scholes on residual time at current IV); cost = ask; target = implied 1-sigma expected move; EV over the 3y gated-momentum outcome distribution (lognormal fit); single calls and vertical debit spreads ranked against each other, among structures costing <= $3,000 per contract",
  "names": [
   {
    "ticker": "MANH",
    "sleeve": "momentum",
    "underlying": 191.36,
    "horizon_date": "2026-08-31",
    "sessions": 21,
    "expirations_used": [
     "2026-09-18",
     "2026-10-16",
     "2027-01-15"
    ],
    "target_move_pct": 13.01,
    "target_source": "implied 1-sigma expected move (IV at nearest strike $190 (-0.7%))",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 4,
    "n_contracts_affordable": 3,
    "n_spreads_affordable": 2,
    "min_leverage": 3.0,
    "n_dominated": 2,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 3 of 4 liquid calls fit, plus 2 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call",
      "symbol": "MANH261016C00190000",
      "expiry": "2026-10-16",
      "strike": 190.0,
      "label": "$190C",
      "bid": 16.4,
      "ask": 18.3,
      "mid": 17.35,
      "oi": 42,
      "wide": false,
      "volume": 1,
      "iv": 0.4463,
      "delta": 0.5781,
      "contract_size": 100.0,
      "cost_per_contract": 1830.0,
      "breakeven_move_pct": 8.85,
      "return_if_target_pct": 67.9,
      "return_if_flat_pct": -27.9,
      "ev_return_pct": 18.5,
      "p_profit_pct": 40.9,
      "max_loss": "100% of premium",
      "leverage_on_target": 5.22
     },
     {
      "kind": "call",
      "symbol": "MANH261016C00180000",
      "expiry": "2026-10-16",
      "strike": 180.0,
      "label": "$180C",
      "bid": 22.0,
      "ask": 25.1,
      "mid": 23.55,
      "oi": 86,
      "wide": false,
      "volume": 1,
      "iv": 0.4664,
      "delta": 0.6785,
      "contract_size": 100.0,
      "cost_per_contract": 2510.0,
      "breakeven_move_pct": 7.18,
      "return_if_target_pct": 56.3,
      "return_if_flat_pct": -23.0,
      "ev_return_pct": 9.2,
      "p_profit_pct": 40.9,
      "max_loss": "100% of premium",
      "leverage_on_target": 4.33
     },
     {
      "kind": "call",
      "symbol": "MANH270115C00220000",
      "expiry": "2027-01-15",
      "strike": 220.0,
      "label": "$220C",
      "bid": 15.2,
      "ask": 16.8,
      "mid": 16.0,
      "oi": 31,
      "wide": false,
      "volume": 3,
      "iv": 0.4815,
      "delta": 0.4185,
      "contract_size": 100.0,
      "cost_per_contract": 1680.0,
      "breakeven_move_pct": 23.75,
      "return_if_target_pct": 49.7,
      "return_if_flat_pct": -20.7,
      "ev_return_pct": 12.1,
      "p_profit_pct": 40.9,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.82
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call",
      "symbol": "MANH261016C00190000",
      "expiry": "2026-10-16",
      "strike": 190.0,
      "label": "$190C",
      "bid": 16.4,
      "ask": 18.3,
      "mid": 17.35,
      "oi": 42,
      "wide": false,
      "volume": 1,
      "iv": 0.4463,
      "delta": 0.5781,
      "contract_size": 100.0,
      "cost_per_contract": 1830.0,
      "breakeven_move_pct": 8.85,
      "return_if_target_pct": 67.9,
      "return_if_flat_pct": -27.9,
      "ev_return_pct": 18.5,
      "p_profit_pct": 40.9,
      "max_loss": "100% of premium",
      "leverage_on_target": 5.22
     },
     {
      "kind": "call",
      "symbol": "MANH270115C00220000",
      "expiry": "2027-01-15",
      "strike": 220.0,
      "label": "$220C",
      "bid": 15.2,
      "ask": 16.8,
      "mid": 16.0,
      "oi": 31,
      "wide": false,
      "volume": 3,
      "iv": 0.4815,
      "delta": 0.4185,
      "contract_size": 100.0,
      "cost_per_contract": 1680.0,
      "breakeven_move_pct": 23.75,
      "return_if_target_pct": 49.7,
      "return_if_flat_pct": -20.7,
      "ev_return_pct": 12.1,
      "p_profit_pct": 40.9,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.82
     },
     {
      "kind": "call",
      "symbol": "MANH261016C00180000",
      "expiry": "2026-10-16",
      "strike": 180.0,
      "label": "$180C",
      "bid": 22.0,
      "ask": 25.1,
      "mid": 23.55,
      "oi": 86,
      "wide": false,
      "volume": 1,
      "iv": 0.4664,
      "delta": 0.6785,
      "contract_size": 100.0,
      "cost_per_contract": 2510.0,
      "breakeven_move_pct": 7.18,
      "return_if_target_pct": 56.3,
      "return_if_flat_pct": -23.0,
      "ev_return_pct": 9.2,
      "p_profit_pct": 40.9,
      "max_loss": "100% of premium",
      "leverage_on_target": 4.33
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call",
      "symbol": "MANH261016C00190000",
      "expiry": "2026-10-16",
      "strike": 190.0,
      "label": "$190C",
      "bid": 16.4,
      "ask": 18.3,
      "mid": 17.35,
      "oi": 42,
      "wide": false,
      "volume": 1,
      "iv": 0.4463,
      "delta": 0.5781,
      "contract_size": 100.0,
      "cost_per_contract": 1830.0,
      "breakeven_move_pct": 8.85,
      "return_if_target_pct": 67.9,
      "return_if_flat_pct": -27.9,
      "ev_return_pct": 18.5,
      "p_profit_pct": 40.9,
      "max_loss": "100% of premium",
      "leverage_on_target": 5.22
     },
     {
      "kind": "call",
      "symbol": "MANH270115C00220000",
      "expiry": "2027-01-15",
      "strike": 220.0,
      "label": "$220C",
      "bid": 15.2,
      "ask": 16.8,
      "mid": 16.0,
      "oi": 31,
      "wide": false,
      "volume": 3,
      "iv": 0.4815,
      "delta": 0.4185,
      "contract_size": 100.0,
      "cost_per_contract": 1680.0,
      "breakeven_move_pct": 23.75,
      "return_if_target_pct": 49.7,
      "return_if_flat_pct": -20.7,
      "ev_return_pct": 12.1,
      "p_profit_pct": 40.9,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.82
     },
     {
      "kind": "call",
      "symbol": "MANH261016C00180000",
      "expiry": "2026-10-16",
      "strike": 180.0,
      "label": "$180C",
      "bid": 22.0,
      "ask": 25.1,
      "mid": 23.55,
      "oi": 86,
      "wide": false,
      "volume": 1,
      "iv": 0.4664,
      "delta": 0.6785,
      "contract_size": 100.0,
      "cost_per_contract": 2510.0,
      "breakeven_move_pct": 7.18,
      "return_if_target_pct": 56.3,
      "return_if_flat_pct": -23.0,
      "ev_return_pct": 9.2,
      "p_profit_pct": 40.9,
      "max_loss": "100% of premium",
      "leverage_on_target": 4.33
     }
    ],
    "caveats": [
     "IV changes not modeled (post-spike crush can eat a correct call)",
     "spreads are priced at the ask/bid of BOTH legs (what crossing costs); they need a spread-approved account and both legs must be closed \u2014 the short leg carries assignment risk if it goes ITM",
     "premium cap $30.00 ($3,000/contract) excluded 1 liquid call(s)",
     "2 structure(s) hidden for returning under 3x the +13.0% target move \u2014 at that leverage the shares do the job with no expiry and no total loss",
     "EV assumes the future resembles the backtest cell; treat huge EV on OTM strikes with suspicion",
     "cost basis = ask; options can expire worthless",
     "not investment advice"
    ],
    "liquidity_note": "RELAXED OI floor 25 (none passed OI>=100); expect wider fills and worse exits"
   },
   {
    "ticker": "MSFT",
    "sleeve": "momentum",
    "underlying": 464.72,
    "horizon_date": "2026-08-31",
    "sessions": 21,
    "expirations_used": [
     "2026-09-18",
     "2026-10-16",
     "2026-11-20",
     "2026-12-18",
     "2027-01-15",
     "2027-03-19"
    ],
    "target_move_pct": 8.86,
    "target_source": "implied 1-sigma expected move (ATM IV interpolated $460/$465)",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 374,
    "n_contracts_affordable": 161,
    "n_spreads_affordable": 5006,
    "min_leverage": 3.0,
    "n_dominated": 1245,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 161 of 374 liquid calls fit, plus 5006 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "MSFT260918C00500000/MSFT260918C00550000",
      "strike": 500.0,
      "short_strike": 550.0,
      "label": "$500/$550C",
      "width": 50.0,
      "max_value_per_contract": 5000.0,
      "max_profit_pct": 647.4,
      "bid": 6.1,
      "ask": 6.69,
      "mid": 6.395,
      "oi": 5362,
      "volume": 1053,
      "iv": 0.2891,
      "contract_size": 100.0,
      "delta": 0.2002,
      "cost_per_contract": 669.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 9.03,
      "return_if_target_pct": 123.3,
      "return_if_flat_pct": -69.6,
      "ev_return_pct": 101.9,
      "p_profit_pct": 40.9,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 13.91
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "MSFT260918C00490000/MSFT260918C00550000",
      "strike": 490.0,
      "short_strike": 550.0,
      "label": "$490/$550C",
      "width": 60.0,
      "max_value_per_contract": 6000.0,
      "max_profit_pct": 519.2,
      "bid": 8.65,
      "ask": 9.69,
      "mid": 9.17,
      "oi": 5362,
      "volume": 682,
      "iv": 0.2926,
      "contract_size": 100.0,
      "delta": 0.2676,
      "cost_per_contract": 969.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 7.52,
      "return_if_target_pct": 120.6,
      "return_if_flat_pct": -61.1,
      "ev_return_pct": 78.6,
      "p_profit_pct": 40.9,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 13.61
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "MSFT260918C00485000/MSFT260918C00550000",
      "strike": 485.0,
      "short_strike": 550.0,
      "label": "$485/$550C",
      "width": 65.0,
      "max_value_per_contract": 6500.0,
      "max_profit_pct": 473.2,
      "bid": 10.5,
      "ask": 11.34,
      "mid": 10.92,
      "oi": 940,
      "volume": 832,
      "iv": 0.2931,
      "contract_size": 100.0,
      "delta": 0.3044,
      "cost_per_contract": 1134.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 6.8,
      "return_if_target_pct": 120.1,
      "return_if_flat_pct": -56.4,
      "ev_return_pct": 70.5,
      "p_profit_pct": 42.6,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 13.55
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call",
      "symbol": "MSFT261016C00600000",
      "expiry": "2026-10-16",
      "strike": 600.0,
      "label": "$600C",
      "bid": 0.97,
      "ask": 1.11,
      "mid": 1.04,
      "oi": 1803,
      "wide": false,
      "volume": 65,
      "iv": 0.3013,
      "delta": 0.0395,
      "contract_size": 100.0,
      "cost_per_contract": 111.0,
      "breakeven_move_pct": 29.35,
      "return_if_target_pct": 38.9,
      "return_if_flat_pct": -83.6,
      "ev_return_pct": 624.6,
      "p_profit_pct": 34.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 4.39
     },
     {
      "kind": "call",
      "symbol": "MSFT260918C00530000",
      "expiry": "2026-09-18",
      "strike": 530.0,
      "label": "$530C",
      "bid": 2.54,
      "ask": 2.9,
      "mid": 2.7199999999999998,
      "oi": 22692,
      "wide": false,
      "volume": 17640,
      "iv": 0.2877,
      "delta": 0.1213,
      "contract_size": 100.0,
      "cost_per_contract": 290.0,
      "breakeven_move_pct": 14.67,
      "return_if_target_pct": 63.5,
      "return_if_flat_pct": -91.4,
      "ev_return_pct": 501.4,
      "p_profit_pct": 36.2,
      "max_loss": "100% of premium",
      "leverage_on_target": 7.17
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "MSFT260918C00530000/MSFT260918C00800000",
      "strike": 530.0,
      "short_strike": 800.0,
      "label": "$530/$800C",
      "width": 270.0,
      "max_value_per_contract": 27000.0,
      "max_profit_pct": 9242.6,
      "bid": 2.52,
      "ask": 2.89,
      "mid": 2.705,
      "oi": 10427,
      "volume": 139,
      "iv": 0.2877,
      "contract_size": 100.0,
      "delta": 0.1213,
      "cost_per_contract": 289.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 14.67,
      "return_if_target_pct": 64.0,
      "return_if_flat_pct": -91.3,
      "ev_return_pct": 493.8,
      "p_profit_pct": 36.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 7.22
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "MSFT260918C00430000/MSFT260918C00475000",
      "strike": 430.0,
      "short_strike": 475.0,
      "label": "$430/$475C",
      "width": 45.0,
      "max_value_per_contract": 4500.0,
      "max_profit_pct": 52.5,
      "bid": 26.35,
      "ask": 29.5,
      "mid": 27.925,
      "oi": 1972,
      "volume": 605,
      "iv": 0.3321,
      "contract_size": 100.0,
      "delta": 0.32,
      "cost_per_contract": 2950.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -1.12,
      "return_if_target_pct": 43.2,
      "return_if_flat_pct": 0.3,
      "ev_return_pct": -14.2,
      "p_profit_pct": 50.8,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 4.88
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "MSFT260918C00430000/MSFT260918C00470000",
      "strike": 430.0,
      "short_strike": 470.0,
      "label": "$430/$470C",
      "width": 40.0,
      "max_value_per_contract": 4000.0,
      "max_profit_pct": 48.1,
      "bid": 24.05,
      "ask": 27.0,
      "mid": 25.525,
      "oi": 18707,
      "volume": 2173,
      "iv": 0.3321,
      "contract_size": 100.0,
      "delta": 0.2798,
      "cost_per_contract": 2700.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -1.66,
      "return_if_target_pct": 40.6,
      "return_if_flat_pct": 1.8,
      "ev_return_pct": -15.0,
      "p_profit_pct": 50.8,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 4.58
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "MSFT260918C00435000/MSFT260918C00470000",
      "strike": 435.0,
      "short_strike": 470.0,
      "label": "$435/$470C",
      "width": 35.0,
      "max_value_per_contract": 3500.0,
      "max_profit_pct": 50.5,
      "bid": 20.2,
      "ask": 23.25,
      "mid": 21.725,
      "oi": 736,
      "volume": 879,
      "iv": 0.3284,
      "contract_size": 100.0,
      "delta": 0.2529,
      "cost_per_contract": 2325.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -1.39,
      "return_if_target_pct": 42.1,
      "return_if_flat_pct": -0.0,
      "ev_return_pct": -15.3,
      "p_profit_pct": 50.8,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 4.75
     }
    ],
    "caveats": [
     "IV changes not modeled (post-spike crush can eat a correct call)",
     "spreads are priced at the ask/bid of BOTH legs (what crossing costs); they need a spread-approved account and both legs must be closed \u2014 the short leg carries assignment risk if it goes ITM",
     "premium cap $30.00 ($3,000/contract) excluded 213 liquid call(s)",
     "1537 spread(s) sell a leg whose own market is wide (quotes go stale after the close). Entry is modelled at its BID so the debit is not flattered, but buying that leg back early could cost more than the model assumes",
     "1245 structure(s) hidden for returning under 3x the +8.9% target move \u2014 at that leverage the shares do the job with no expiry and no total loss",
     "EV assumes the future resembles the backtest cell; treat huge EV on OTM strikes with suspicion",
     "cost basis = ask; options can expire worthless",
     "not investment advice"
    ]
   },
   {
    "ticker": "GRMN",
    "sleeve": "momentum",
    "underlying": 293.78,
    "horizon_date": "2026-08-31",
    "sessions": 21,
    "expirations_used": [
     "2026-09-18",
     "2026-10-16",
     "2026-12-18",
     "2027-01-15"
    ],
    "target_move_pct": 8.87,
    "target_source": "implied 1-sigma expected move (IV at nearest strike $260 (-11.5%))",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 11,
    "n_contracts_affordable": 4,
    "n_spreads_affordable": 13,
    "min_leverage": 3.0,
    "n_dominated": 13,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 4 of 11 liquid calls fit, plus 13 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call",
      "symbol": "GRMN261218C00320000",
      "expiry": "2026-12-18",
      "strike": 320.0,
      "label": "$320C",
      "bid": 12.7,
      "ask": 14.8,
      "mid": 13.75,
      "oi": 331,
      "wide": false,
      "volume": 2,
      "iv": 0.306,
      "delta": 0.387,
      "contract_size": 100.0,
      "cost_per_contract": 1480.0,
      "breakeven_move_pct": 13.96,
      "return_if_target_pct": 55.8,
      "return_if_flat_pct": -25.4,
      "ev_return_pct": 54.1,
      "p_profit_pct": 42.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 6.29
     },
     {
      "kind": "call",
      "symbol": "GRMN261218C00310000",
      "expiry": "2026-12-18",
      "strike": 310.0,
      "label": "$310C",
      "bid": 17.0,
      "ask": 18.6,
      "mid": 17.8,
      "oi": 179,
      "wide": false,
      "volume": 0,
      "iv": 0.3143,
      "delta": 0.456,
      "contract_size": 100.0,
      "cost_per_contract": 1860.0,
      "breakeven_move_pct": 11.85,
      "return_if_target_pct": 55.2,
      "return_if_flat_pct": -20.1,
      "ev_return_pct": 45.2,
      "p_profit_pct": 44.2,
      "max_loss": "100% of premium",
      "leverage_on_target": 6.22
     },
     {
      "kind": "call",
      "symbol": "GRMN261218C00300000",
      "expiry": "2026-12-18",
      "strike": 300.0,
      "label": "$300C",
      "bid": 21.4,
      "ask": 23.7,
      "mid": 22.549999999999997,
      "oi": 201,
      "wide": false,
      "volume": 1,
      "iv": 0.3237,
      "delta": 0.5245,
      "contract_size": 100.0,
      "cost_per_contract": 2370.0,
      "breakeven_move_pct": 10.18,
      "return_if_target_pct": 49.3,
      "return_if_flat_pct": -17.7,
      "ev_return_pct": 33.9,
      "p_profit_pct": 44.2,
      "max_loss": "100% of premium",
      "leverage_on_target": 5.56
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call",
      "symbol": "GRMN261218C00320000",
      "expiry": "2026-12-18",
      "strike": 320.0,
      "label": "$320C",
      "bid": 12.7,
      "ask": 14.8,
      "mid": 13.75,
      "oi": 331,
      "wide": false,
      "volume": 2,
      "iv": 0.306,
      "delta": 0.387,
      "contract_size": 100.0,
      "cost_per_contract": 1480.0,
      "breakeven_move_pct": 13.96,
      "return_if_target_pct": 55.8,
      "return_if_flat_pct": -25.4,
      "ev_return_pct": 54.1,
      "p_profit_pct": 42.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 6.29
     },
     {
      "kind": "call",
      "symbol": "GRMN261218C00310000",
      "expiry": "2026-12-18",
      "strike": 310.0,
      "label": "$310C",
      "bid": 17.0,
      "ask": 18.6,
      "mid": 17.8,
      "oi": 179,
      "wide": false,
      "volume": 0,
      "iv": 0.3143,
      "delta": 0.456,
      "contract_size": 100.0,
      "cost_per_contract": 1860.0,
      "breakeven_move_pct": 11.85,
      "return_if_target_pct": 55.2,
      "return_if_flat_pct": -20.1,
      "ev_return_pct": 45.2,
      "p_profit_pct": 44.2,
      "max_loss": "100% of premium",
      "leverage_on_target": 6.22
     },
     {
      "kind": "call",
      "symbol": "GRMN261218C00300000",
      "expiry": "2026-12-18",
      "strike": 300.0,
      "label": "$300C",
      "bid": 21.4,
      "ask": 23.7,
      "mid": 22.549999999999997,
      "oi": 201,
      "wide": false,
      "volume": 1,
      "iv": 0.3237,
      "delta": 0.5245,
      "contract_size": 100.0,
      "cost_per_contract": 2370.0,
      "breakeven_move_pct": 10.18,
      "return_if_target_pct": 49.3,
      "return_if_flat_pct": -17.7,
      "ev_return_pct": 33.9,
      "p_profit_pct": 44.2,
      "max_loss": "100% of premium",
      "leverage_on_target": 5.56
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call",
      "symbol": "GRMN261218C00290000",
      "expiry": "2026-12-18",
      "strike": 290.0,
      "label": "$290C",
      "bid": 26.7,
      "ask": 28.9,
      "mid": 27.799999999999997,
      "oi": 219,
      "wide": false,
      "volume": 0,
      "iv": 0.3308,
      "delta": 0.5906,
      "contract_size": 100.0,
      "cost_per_contract": 2890.0,
      "breakeven_move_pct": 8.55,
      "return_if_target_pct": 46.6,
      "return_if_flat_pct": -14.5,
      "ev_return_pct": 27.6,
      "p_profit_pct": 45.9,
      "max_loss": "100% of premium",
      "leverage_on_target": 5.25
     },
     {
      "kind": "call",
      "symbol": "GRMN261218C00310000",
      "expiry": "2026-12-18",
      "strike": 310.0,
      "label": "$310C",
      "bid": 17.0,
      "ask": 18.6,
      "mid": 17.8,
      "oi": 179,
      "wide": false,
      "volume": 0,
      "iv": 0.3143,
      "delta": 0.456,
      "contract_size": 100.0,
      "cost_per_contract": 1860.0,
      "breakeven_move_pct": 11.85,
      "return_if_target_pct": 55.2,
      "return_if_flat_pct": -20.1,
      "ev_return_pct": 45.2,
      "p_profit_pct": 44.2,
      "max_loss": "100% of premium",
      "leverage_on_target": 6.22
     },
     {
      "kind": "call",
      "symbol": "GRMN261218C00300000",
      "expiry": "2026-12-18",
      "strike": 300.0,
      "label": "$300C",
      "bid": 21.4,
      "ask": 23.7,
      "mid": 22.549999999999997,
      "oi": 201,
      "wide": false,
      "volume": 1,
      "iv": 0.3237,
      "delta": 0.5245,
      "contract_size": 100.0,
      "cost_per_contract": 2370.0,
      "breakeven_move_pct": 10.18,
      "return_if_target_pct": 49.3,
      "return_if_flat_pct": -17.7,
      "ev_return_pct": 33.9,
      "p_profit_pct": 44.2,
      "max_loss": "100% of premium",
      "leverage_on_target": 5.56
     }
    ],
    "caveats": [
     "IV changes not modeled (post-spike crush can eat a correct call)",
     "spreads are priced at the ask/bid of BOTH legs (what crossing costs); they need a spread-approved account and both legs must be closed \u2014 the short leg carries assignment risk if it goes ITM",
     "premium cap $30.00 ($3,000/contract) excluded 7 liquid call(s)",
     "13 structure(s) hidden for returning under 3x the +8.9% target move \u2014 at that leverage the shares do the job with no expiry and no total loss",
     "EV assumes the future resembles the backtest cell; treat huge EV on OTM strikes with suspicion",
     "cost basis = ask; options can expire worthless",
     "not investment advice"
    ]
   },
   {
    "ticker": "CORT",
    "sleeve": "momentum",
    "underlying": 114.49,
    "horizon_date": "2026-08-31",
    "sessions": 21,
    "expirations_used": [
     "2026-09-18",
     "2026-11-20",
     "2027-01-15",
     "2027-02-19"
    ],
    "target_move_pct": 16.1,
    "target_source": "implied 1-sigma expected move (IV at nearest strike $110 (-3.9%))",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 21,
    "n_contracts_affordable": 5,
    "n_spreads_affordable": 41,
    "min_leverage": 3.0,
    "n_dominated": 45,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 5 of 21 liquid calls fit, plus 41 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call",
      "symbol": "CORT261120C00110000",
      "expiry": "2026-11-20",
      "strike": 110.0,
      "label": "$110C",
      "bid": 15.4,
      "ask": 17.2,
      "mid": 16.3,
      "oi": 137,
      "wide": false,
      "volume": 1,
      "iv": 0.5523,
      "delta": 0.617,
      "contract_size": 100.0,
      "cost_per_contract": 1720.0,
      "breakeven_move_pct": 11.1,
      "return_if_target_pct": 62.2,
      "return_if_flat_pct": -15.7,
      "ev_return_pct": 7.0,
      "p_profit_pct": 42.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.86
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call",
      "symbol": "CORT261120C00110000",
      "expiry": "2026-11-20",
      "strike": 110.0,
      "label": "$110C",
      "bid": 15.4,
      "ask": 17.2,
      "mid": 16.3,
      "oi": 137,
      "wide": false,
      "volume": 1,
      "iv": 0.5523,
      "delta": 0.617,
      "contract_size": 100.0,
      "cost_per_contract": 1720.0,
      "breakeven_move_pct": 11.1,
      "return_if_target_pct": 62.2,
      "return_if_flat_pct": -15.7,
      "ev_return_pct": 7.0,
      "p_profit_pct": 42.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.86
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call",
      "symbol": "CORT261120C00110000",
      "expiry": "2026-11-20",
      "strike": 110.0,
      "label": "$110C",
      "bid": 15.4,
      "ask": 17.2,
      "mid": 16.3,
      "oi": 137,
      "wide": false,
      "volume": 1,
      "iv": 0.5523,
      "delta": 0.617,
      "contract_size": 100.0,
      "cost_per_contract": 1720.0,
      "breakeven_move_pct": 11.1,
      "return_if_target_pct": 62.2,
      "return_if_flat_pct": -15.7,
      "ev_return_pct": 7.0,
      "p_profit_pct": 42.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.86
     }
    ],
    "caveats": [
     "IV changes not modeled (post-spike crush can eat a correct call)",
     "spreads are priced at the ask/bid of BOTH legs (what crossing costs); they need a spread-approved account and both legs must be closed \u2014 the short leg carries assignment risk if it goes ITM",
     "premium cap $30.00 ($3,000/contract) excluded 16 liquid call(s)",
     "45 structure(s) hidden for returning under 3x the +16.1% target move \u2014 at that leverage the shares do the job with no expiry and no total loss",
     "EV assumes the future resembles the backtest cell; treat huge EV on OTM strikes with suspicion",
     "cost basis = ask; options can expire worthless",
     "not investment advice"
    ]
   },
   {
    "ticker": "CMG",
    "sleeve": "momentum",
    "underlying": 37.22,
    "horizon_date": "2026-08-31",
    "sessions": 21,
    "expirations_used": [
     "2026-09-18",
     "2026-12-18",
     "2027-01-15",
     "2027-03-19",
     "2027-06-17"
    ],
    "target_move_pct": 10.17,
    "target_source": "implied 1-sigma expected move (ATM IV interpolated $35/$37.5)",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 98,
    "n_contracts_affordable": 98,
    "n_spreads_affordable": 2246,
    "min_leverage": 3.0,
    "n_dominated": 1341,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 98 of 98 liquid calls fit, plus 2246 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "CMG260918C00040000/CMG260918C00042500",
      "strike": 40.0,
      "short_strike": 42.5,
      "label": "$40/$42.5C",
      "width": 2.5,
      "max_value_per_contract": 250.0,
      "max_profit_pct": 354.5,
      "bid": 0.46,
      "ask": 0.55,
      "mid": 0.505,
      "oi": 10991,
      "volume": 946,
      "iv": 0.3464,
      "contract_size": 100.0,
      "delta": 0.1433,
      "cost_per_contract": 55.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 8.95,
      "return_if_target_pct": 109.6,
      "return_if_flat_pct": -57.5,
      "ev_return_pct": 37.8,
      "p_profit_pct": 40.9,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 10.78
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "CMG260918C00040000/CMG260918C00045000",
      "strike": 40.0,
      "short_strike": 45.0,
      "label": "$40/$45C",
      "width": 5.0,
      "max_value_per_contract": 500.0,
      "max_profit_pct": 525.0,
      "bid": 0.64,
      "ask": 0.8,
      "mid": 0.72,
      "oi": 4121,
      "volume": 32,
      "iv": 0.3464,
      "contract_size": 100.0,
      "delta": 0.2292,
      "cost_per_contract": 80.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 9.62,
      "return_if_target_pct": 104.4,
      "return_if_flat_pct": -64.9,
      "ev_return_pct": 59.0,
      "p_profit_pct": 39.3,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 10.27
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "CMG260918C00040000/CMG260918C00050000",
      "strike": 40.0,
      "short_strike": 50.0,
      "label": "$40/$50C",
      "width": 10.0,
      "max_value_per_contract": 1000.0,
      "max_profit_pct": 1011.1,
      "bid": 0.75,
      "ask": 0.9,
      "mid": 0.825,
      "oi": 9833,
      "volume": 61,
      "iv": 0.3464,
      "contract_size": 100.0,
      "delta": 0.3,
      "cost_per_contract": 90.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 9.89,
      "return_if_target_pct": 102.9,
      "return_if_flat_pct": -67.7,
      "ev_return_pct": 101.0,
      "p_profit_pct": 39.3,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 10.12
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call",
      "symbol": "CMG260918C00042500",
      "expiry": "2026-09-18",
      "strike": 42.5,
      "label": "$42.5C",
      "bid": 0.39,
      "ask": 0.44,
      "mid": 0.41500000000000004,
      "oi": 11261,
      "wide": false,
      "volume": 1042,
      "iv": 0.3491,
      "delta": 0.174,
      "contract_size": 100.0,
      "cost_per_contract": 44.0,
      "breakeven_move_pct": 15.37,
      "return_if_target_pct": 60.2,
      "return_if_flat_pct": -86.8,
      "ev_return_pct": 229.4,
      "p_profit_pct": 34.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 5.92
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "CMG260918C00042500/CMG260918C00055000",
      "strike": 42.5,
      "short_strike": 55.0,
      "label": "$42.5/$55C",
      "width": 12.5,
      "max_value_per_contract": 1250.0,
      "max_profit_pct": 2807.0,
      "bid": 0.34,
      "ask": 0.43,
      "mid": 0.385,
      "oi": 701,
      "volume": 0,
      "iv": 0.3491,
      "contract_size": 100.0,
      "delta": 0.1713,
      "cost_per_contract": 43.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 15.34,
      "return_if_target_pct": 63.3,
      "return_if_flat_pct": -86.5,
      "ev_return_pct": 201.2,
      "p_profit_pct": 34.6,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 6.22
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "CMG260918C00042500/CMG260918C00050000",
      "strike": 42.5,
      "short_strike": 50.0,
      "label": "$42.5/$50C",
      "width": 7.5,
      "max_value_per_contract": 750.0,
      "max_profit_pct": 1775.0,
      "bid": 0.24,
      "ask": 0.4,
      "mid": 0.32,
      "oi": 9833,
      "volume": 61,
      "iv": 0.3491,
      "contract_size": 100.0,
      "delta": 0.1567,
      "cost_per_contract": 40.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 15.26,
      "return_if_target_pct": 68.2,
      "return_if_flat_pct": -85.7,
      "ev_return_pct": 162.8,
      "p_profit_pct": 34.6,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 6.71
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "CMG260918C00030000/CMG260918C00040000",
      "strike": 30.0,
      "short_strike": 40.0,
      "label": "$30/$40C",
      "width": 10.0,
      "max_value_per_contract": 1000.0,
      "max_profit_pct": 42.9,
      "bid": 6.31,
      "ask": 7.0,
      "mid": 6.655,
      "oi": 2741,
      "volume": 136,
      "iv": 0.5206,
      "contract_size": 100.0,
      "delta": 0.6288,
      "cost_per_contract": 700.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -0.59,
      "return_if_target_pct": 31.6,
      "return_if_flat_pct": 0.5,
      "ev_return_pct": -10.4,
      "p_profit_pct": 50.8,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.11
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "CMG260918C00030000/CMG260918C00042500",
      "strike": 30.0,
      "short_strike": 42.5,
      "label": "$30/$42.5C",
      "width": 12.5,
      "max_value_per_contract": 1250.0,
      "max_profit_pct": 66.4,
      "bid": 6.81,
      "ask": 7.51,
      "mid": 7.16,
      "oi": 2741,
      "volume": 136,
      "iv": 0.5206,
      "contract_size": 100.0,
      "delta": 0.7721,
      "cost_per_contract": 751.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 0.78,
      "return_if_target_pct": 38.0,
      "return_if_flat_pct": -3.3,
      "ev_return_pct": -6.4,
      "p_profit_pct": 49.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.74
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "CMG260918C00035000/CMG260918C00037500",
      "strike": 35.0,
      "short_strike": 37.5,
      "label": "$35/$37.5C",
      "width": 2.5,
      "max_value_per_contract": 250.0,
      "max_profit_pct": 48.8,
      "bid": 1.35,
      "ask": 1.68,
      "mid": 1.515,
      "oi": 4452,
      "volume": 123,
      "iv": 0.3605,
      "contract_size": 100.0,
      "delta": 0.2049,
      "cost_per_contract": 168.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -1.45,
      "return_if_target_pct": 39.6,
      "return_if_flat_pct": -5.3,
      "ev_return_pct": -17.2,
      "p_profit_pct": 49.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.89
     }
    ],
    "caveats": [
     "IV changes not modeled (post-spike crush can eat a correct call)",
     "spreads are priced at the ask/bid of BOTH legs (what crossing costs); they need a spread-approved account and both legs must be closed \u2014 the short leg carries assignment risk if it goes ITM",
     "premium cap $30.00 ($3,000/contract) excluded 0 liquid call(s)",
     "797 spread(s) sell a leg whose own market is wide (quotes go stale after the close). Entry is modelled at its BID so the debit is not flattered, but buying that leg back early could cost more than the model assumes",
     "1341 structure(s) hidden for returning under 3x the +10.2% target move \u2014 at that leverage the shares do the job with no expiry and no total loss",
     "EV assumes the future resembles the backtest cell; treat huge EV on OTM strikes with suspicion",
     "cost basis = ask; options can expire worthless",
     "not investment advice"
    ]
   },
   {
    "ticker": "AMZN",
    "sleeve": "momentum",
    "underlying": 271.58,
    "horizon_date": "2026-08-31",
    "sessions": 21,
    "expirations_used": [
     "2026-09-18",
     "2026-10-16",
     "2026-11-20",
     "2026-12-18",
     "2027-01-15",
     "2027-02-19"
    ],
    "target_move_pct": 9.12,
    "target_source": "implied 1-sigma expected move (ATM IV interpolated $270/$275)",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 270,
    "n_contracts_affordable": 124,
    "n_spreads_affordable": 2037,
    "min_leverage": 3.0,
    "n_dominated": 613,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 124 of 270 liquid calls fit, plus 2037 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "AMZN260918C00285000/AMZN260918C00320000",
      "strike": 285.0,
      "short_strike": 320.0,
      "label": "$285/$320C",
      "width": 35.0,
      "max_value_per_contract": 3500.0,
      "max_profit_pct": 444.3,
      "bid": 5.88,
      "ask": 6.43,
      "mid": 6.155,
      "oi": 6895,
      "volume": 1472,
      "iv": 0.3112,
      "contract_size": 100.0,
      "delta": 0.2805,
      "cost_per_contract": 643.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 7.31,
      "return_if_target_pct": 113.4,
      "return_if_flat_pct": -56.3,
      "ev_return_pct": 60.8,
      "p_profit_pct": 42.6,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 12.44
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "AMZN260918C00285000/AMZN260918C00325000",
      "strike": 285.0,
      "short_strike": 325.0,
      "label": "$285/$325C",
      "width": 40.0,
      "max_value_per_contract": 4000.0,
      "max_profit_pct": 497.0,
      "bid": 6.24,
      "ask": 6.7,
      "mid": 6.47,
      "oi": 5823,
      "volume": 1801,
      "iv": 0.3112,
      "contract_size": 100.0,
      "delta": 0.2999,
      "cost_per_contract": 670.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 7.41,
      "return_if_target_pct": 113.0,
      "return_if_flat_pct": -57.5,
      "ev_return_pct": 68.6,
      "p_profit_pct": 40.9,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 12.4
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "AMZN260918C00285000/AMZN260918C00315000",
      "strike": 285.0,
      "short_strike": 315.0,
      "label": "$285/$315C",
      "width": 30.0,
      "max_value_per_contract": 3000.0,
      "max_profit_pct": 389.4,
      "bid": 5.47,
      "ask": 6.13,
      "mid": 5.8,
      "oi": 5664,
      "volume": 1057,
      "iv": 0.3112,
      "contract_size": 100.0,
      "delta": 0.2567,
      "cost_per_contract": 613.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 7.2,
      "return_if_target_pct": 111.8,
      "return_if_flat_pct": -55.0,
      "ev_return_pct": 51.5,
      "p_profit_pct": 42.6,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 12.26
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call",
      "symbol": "AMZN261016C00350000",
      "expiry": "2026-10-16",
      "strike": 350.0,
      "label": "$350C",
      "bid": 0.79,
      "ask": 0.97,
      "mid": 0.88,
      "oi": 1530,
      "wide": false,
      "volume": 531,
      "iv": 0.3204,
      "delta": 0.0516,
      "contract_size": 100.0,
      "cost_per_contract": 97.0,
      "breakeven_move_pct": 29.23,
      "return_if_target_pct": 32.3,
      "return_if_flat_pct": -81.7,
      "ev_return_pct": 417.1,
      "p_profit_pct": 34.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.54
     },
     {
      "kind": "call",
      "symbol": "AMZN260918C00315000",
      "expiry": "2026-09-18",
      "strike": 315.0,
      "label": "$315C",
      "bid": 1.52,
      "ask": 1.83,
      "mid": 1.675,
      "oi": 5664,
      "wide": false,
      "volume": 1057,
      "iv": 0.3135,
      "delta": 0.1134,
      "contract_size": 100.0,
      "cost_per_contract": 183.0,
      "breakeven_move_pct": 16.66,
      "return_if_target_pct": 27.9,
      "return_if_flat_pct": -92.9,
      "ev_return_pct": 398.2,
      "p_profit_pct": 33.1,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.06
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "AMZN260918C00315000/AMZN260918C00400000",
      "strike": 315.0,
      "short_strike": 400.0,
      "label": "$315/$400C",
      "width": 85.0,
      "max_value_per_contract": 8500.0,
      "max_profit_pct": 4570.3,
      "bid": 1.47,
      "ask": 1.82,
      "mid": 1.645,
      "oi": 860,
      "volume": 166,
      "iv": 0.3135,
      "contract_size": 100.0,
      "delta": 0.1129,
      "cost_per_contract": 182.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 16.66,
      "return_if_target_pct": 28.6,
      "return_if_flat_pct": -92.8,
      "ev_return_pct": 350.1,
      "p_profit_pct": 34.6,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.14
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "AMZN260918C00235000/AMZN260918C00270000",
      "strike": 235.0,
      "short_strike": 270.0,
      "label": "$235/$270C",
      "width": 35.0,
      "max_value_per_contract": 3500.0,
      "max_profit_pct": 32.1,
      "bid": 24.75,
      "ask": 26.5,
      "mid": 25.625,
      "oi": 4989,
      "volume": 1150,
      "iv": 0.3356,
      "contract_size": 100.0,
      "delta": 0.3423,
      "cost_per_contract": 2650.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -3.71,
      "return_if_target_pct": 28.9,
      "return_if_flat_pct": 8.0,
      "ev_return_pct": -14.9,
      "p_profit_pct": 54.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.17
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "AMZN260918C00240000/AMZN260918C00280000",
      "strike": 240.0,
      "short_strike": 280.0,
      "label": "$240/$280C",
      "width": 40.0,
      "max_value_per_contract": 4000.0,
      "max_profit_pct": 50.1,
      "bid": 25.0,
      "ask": 26.65,
      "mid": 25.825,
      "oi": 11231,
      "volume": 5393,
      "iv": 0.3284,
      "contract_size": 100.0,
      "delta": 0.4384,
      "cost_per_contract": 2665.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -1.82,
      "return_if_target_pct": 41.6,
      "return_if_flat_pct": 5.4,
      "ev_return_pct": -11.7,
      "p_profit_pct": 52.5,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 4.56
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "AMZN260918C00245000/AMZN260918C00275000",
      "strike": 245.0,
      "short_strike": 275.0,
      "label": "$245/$275C",
      "width": 30.0,
      "max_value_per_contract": 3000.0,
      "max_profit_pct": 48.1,
      "bid": 18.7,
      "ask": 20.25,
      "mid": 19.475,
      "oi": 10968,
      "volume": 1482,
      "iv": 0.3247,
      "contract_size": 100.0,
      "delta": 0.3369,
      "cost_per_contract": 2025.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -2.33,
      "return_if_target_pct": 41.4,
      "return_if_flat_pct": 6.0,
      "ev_return_pct": -12.8,
      "p_profit_pct": 52.5,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 4.54
     }
    ],
    "caveats": [
     "IV changes not modeled (post-spike crush can eat a correct call)",
     "spreads are priced at the ask/bid of BOTH legs (what crossing costs); they need a spread-approved account and both legs must be closed \u2014 the short leg carries assignment risk if it goes ITM",
     "premium cap $30.00 ($3,000/contract) excluded 146 liquid call(s)",
     "60 spread(s) sell a leg whose own market is wide (quotes go stale after the close). Entry is modelled at its BID so the debit is not flattered, but buying that leg back early could cost more than the model assumes",
     "613 structure(s) hidden for returning under 3x the +9.1% target move \u2014 at that leverage the shares do the job with no expiry and no total loss",
     "EV assumes the future resembles the backtest cell; treat huge EV on OTM strikes with suspicion",
     "cost basis = ask; options can expire worthless",
     "not investment advice"
    ]
   },
   {
    "ticker": "BAX",
    "sleeve": "momentum",
    "underlying": 26.16,
    "horizon_date": "2026-08-31",
    "sessions": 21,
    "expirations_used": [
     "2026-09-18",
     "2026-11-20",
     "2026-12-18",
     "2027-01-15",
     "2027-02-19",
     "2027-03-19"
    ],
    "target_move_pct": 10.93,
    "target_source": "implied 1-sigma expected move (ATM IV interpolated $25/$27.5)",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 22,
    "n_contracts_affordable": 22,
    "n_spreads_affordable": 85,
    "min_leverage": 3.0,
    "n_dominated": 90,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 22 of 22 liquid calls fit, plus 85 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "BAX260918C00027500/BAX260918C00032500",
      "strike": 27.5,
      "short_strike": 32.5,
      "label": "$27.5/$32.5C",
      "width": 5.0,
      "max_value_per_contract": 500.0,
      "max_profit_pct": 488.2,
      "bid": 0.6,
      "ask": 0.85,
      "mid": 0.725,
      "oi": 258,
      "volume": 3,
      "iv": 0.3526,
      "contract_size": 100.0,
      "delta": 0.3229,
      "cost_per_contract": 85.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 8.37,
      "return_if_target_pct": 105.3,
      "return_if_flat_pct": -60.0,
      "ev_return_pct": 46.2,
      "p_profit_pct": 39.3,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 9.63
     },
     {
      "kind": "call",
      "symbol": "BAX260918C00027500",
      "expiry": "2026-09-18",
      "strike": 27.5,
      "label": "$27.5C",
      "bid": 0.8,
      "ask": 0.95,
      "mid": 0.875,
      "oi": 502,
      "wide": false,
      "volume": 640,
      "iv": 0.3526,
      "delta": 0.3945,
      "contract_size": 100.0,
      "cost_per_contract": 95.0,
      "breakeven_move_pct": 8.75,
      "return_if_target_pct": 98.3,
      "return_if_flat_pct": -63.5,
      "ev_return_pct": 88.4,
      "p_profit_pct": 39.3,
      "max_loss": "100% of premium",
      "leverage_on_target": 8.99
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "BAX260918C00027500/BAX260918C00030000",
      "strike": 27.5,
      "short_strike": 30.0,
      "label": "$27.5/$30C",
      "width": 2.5,
      "max_value_per_contract": 250.0,
      "max_profit_pct": 257.1,
      "bid": 0.45,
      "ask": 0.7,
      "mid": 0.575,
      "oi": 502,
      "volume": 3,
      "iv": 0.3526,
      "contract_size": 100.0,
      "delta": 0.2157,
      "cost_per_contract": 70.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 7.8,
      "return_if_target_pct": 92.2,
      "return_if_flat_pct": -56.1,
      "ev_return_pct": 14.1,
      "p_profit_pct": 39.3,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 8.43
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call",
      "symbol": "BAX260918C00030000",
      "expiry": "2026-09-18",
      "strike": 30.0,
      "label": "$30C",
      "bid": 0.25,
      "ask": 0.35,
      "mid": 0.3,
      "oi": 640,
      "wide": false,
      "volume": 3,
      "iv": 0.3548,
      "delta": 0.1788,
      "contract_size": 100.0,
      "cost_per_contract": 35.0,
      "breakeven_move_pct": 16.02,
      "return_if_target_pct": 53.7,
      "return_if_flat_pct": -88.9,
      "ev_return_pct": 183.2,
      "p_profit_pct": 33.1,
      "max_loss": "100% of premium",
      "leverage_on_target": 4.91
     },
     {
      "kind": "call",
      "symbol": "BAX260918C00027500",
      "expiry": "2026-09-18",
      "strike": 27.5,
      "label": "$27.5C",
      "bid": 0.8,
      "ask": 0.95,
      "mid": 0.875,
      "oi": 502,
      "wide": false,
      "volume": 640,
      "iv": 0.3526,
      "delta": 0.3945,
      "contract_size": 100.0,
      "cost_per_contract": 95.0,
      "breakeven_move_pct": 8.75,
      "return_if_target_pct": 98.3,
      "return_if_flat_pct": -63.5,
      "ev_return_pct": 88.4,
      "p_profit_pct": 39.3,
      "max_loss": "100% of premium",
      "leverage_on_target": 8.99
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "BAX260918C00030000/BAX260918C00032500",
      "strike": 30.0,
      "short_strike": 32.5,
      "label": "$30/$32.5C",
      "width": 2.5,
      "max_value_per_contract": 250.0,
      "max_profit_pct": 900.0,
      "bid": 0.05,
      "ask": 0.25,
      "mid": 0.15,
      "oi": 258,
      "volume": 3,
      "iv": 0.3548,
      "contract_size": 100.0,
      "delta": 0.1072,
      "cost_per_contract": 25.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 15.63,
      "return_if_target_pct": 59.7,
      "return_if_flat_pct": -87.1,
      "ev_return_pct": 77.7,
      "p_profit_pct": 33.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 5.46
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "BAX260918C00025000/BAX260918C00032500",
      "strike": 25.0,
      "short_strike": 32.5,
      "label": "$25/$32.5C",
      "width": 7.5,
      "max_value_per_contract": 750.0,
      "max_profit_pct": 233.3,
      "bid": 1.9,
      "ask": 2.25,
      "mid": 2.075,
      "oi": 258,
      "volume": 3,
      "iv": 0.3947,
      "contract_size": 100.0,
      "delta": 0.597,
      "cost_per_contract": 225.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 4.17,
      "return_if_target_pct": 76.5,
      "return_if_flat_pct": -28.1,
      "ev_return_pct": 11.5,
      "p_profit_pct": 44.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 7.0
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "BAX260918C00025000/BAX260918C00030000",
      "strike": 25.0,
      "short_strike": 30.0,
      "label": "$25/$30C",
      "width": 5.0,
      "max_value_per_contract": 500.0,
      "max_profit_pct": 138.1,
      "bid": 1.75,
      "ask": 2.1,
      "mid": 1.925,
      "oi": 640,
      "volume": 3,
      "iv": 0.3947,
      "contract_size": 100.0,
      "delta": 0.4898,
      "cost_per_contract": 210.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 3.59,
      "return_if_target_pct": 70.1,
      "return_if_flat_pct": -24.5,
      "ev_return_pct": -1.6,
      "p_profit_pct": 44.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 6.41
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "BAX260918C00022500/BAX260918C00032500",
      "strike": 22.5,
      "short_strike": 32.5,
      "label": "$22.5/$32.5C",
      "width": 10.0,
      "max_value_per_contract": 1000.0,
      "max_profit_pct": 122.2,
      "bid": 3.7,
      "ask": 4.5,
      "mid": 4.1,
      "oi": 258,
      "volume": 3,
      "iv": 0.4935,
      "contract_size": 100.0,
      "delta": 0.7805,
      "cost_per_contract": 450.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 3.21,
      "return_if_target_pct": 43.0,
      "return_if_flat_pct": -15.6,
      "ev_return_pct": -5.1,
      "p_profit_pct": 44.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.93
     }
    ],
    "caveats": [
     "IV changes not modeled (post-spike crush can eat a correct call)",
     "spreads are priced at the ask/bid of BOTH legs (what crossing costs); they need a spread-approved account and both legs must be closed \u2014 the short leg carries assignment risk if it goes ITM",
     "premium cap $30.00 ($3,000/contract) excluded 0 liquid call(s)",
     "46 spread(s) sell a leg whose own market is wide (quotes go stale after the close). Entry is modelled at its BID so the debit is not flattered, but buying that leg back early could cost more than the model assumes",
     "90 structure(s) hidden for returning under 3x the +10.9% target move \u2014 at that leverage the shares do the job with no expiry and no total loss",
     "EV assumes the future resembles the backtest cell; treat huge EV on OTM strikes with suspicion",
     "cost basis = ask; options can expire worthless",
     "not investment advice"
    ]
   }
  ]
 }
}