{
 "report_id": "2026-08-10_value_momentum",
 "report_date": "2026-08-10",
 "report_timestamp": "2026-08-10T22:10:54+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": 814
 },
 "market_context": {
  "spy_close": 773.03,
  "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": 12.26,
   "market_cap": 15740957280,
   "fifty_two_week_low": 11.32,
   "pct_above_52_week_low": 8.3,
   "trailing_pe": 2.63,
   "five_day_return_pct": 1.24,
   "roc_14d_pct": 4.52,
   "roc_21d_pct": -1.05,
   "rsi_14d": 51.74,
   "sma_20d": 11.91,
   "sma_50d": 12.27,
   "sma_200d": 15.78,
   "pct_vs_sma_20d": 2.93,
   "pct_vs_sma_50d": -0.04,
   "pct_vs_sma_200d": -22.32,
   "pct_off_52_week_high": -47.29,
   "avg_daily_volume_3m": 1198746,
   "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": [
     "2025-08-08",
     "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",
     "2026-06-30",
     "2026-07-01",
     "2026-07-02",
     "2026-07-06",
     "2026-07-07",
     "2026-07-08",
     "2026-07-09",
     "2026-07-10",
     "2026-07-13",
     "2026-07-14",
     "2026-07-15",
     "2026-07-16",
     "2026-07-17",
     "2026-07-20",
     "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",
     "2026-08-03",
     "2026-08-04",
     "2026-08-05",
     "2026-08-06",
     "2026-08-07",
     "2026-08-10"
    ],
    "close": [
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     9.81,
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    ]
   },
   "overlap_with_other_screen": false
  },
  {
   "pick_rank": 2,
   "screen_type": "value",
   "ticker": "SUZ",
   "company_name": "Suzano S.A.",
   "sector": "Basic Materials",
   "universe": "US large-cap common stocks",
   "price": 8.12,
   "market_cap": 10037125788,
   "fifty_two_week_low": 7.67,
   "pct_above_52_week_low": 5.87,
   "trailing_pe": 4.48,
   "five_day_return_pct": -4.81,
   "roc_14d_pct": -1.46,
   "roc_21d_pct": 0.62,
   "rsi_14d": 43.45,
   "sma_20d": 8.3,
   "sma_50d": 8.16,
   "sma_200d": 9.11,
   "pct_vs_sma_20d": -2.18,
   "pct_vs_sma_50d": -0.55,
   "pct_vs_sma_200d": -10.87,
   "pct_off_52_week_high": -29.14,
   "avg_daily_volume_3m": 2990564,
   "risk_level": "high",
   "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": [
     "2025-08-08",
     "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",
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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": 22.54,
   "market_cap": 21019131915,
   "fifty_two_week_low": 20.87,
   "pct_above_52_week_low": 8.0,
   "trailing_pe": 4.65,
   "five_day_return_pct": 3.44,
   "roc_14d_pct": 4.11,
   "roc_21d_pct": 5.43,
   "rsi_14d": 56.47,
   "sma_20d": 21.84,
   "sma_50d": 22.54,
   "sma_200d": 23.43,
   "pct_vs_sma_20d": 3.21,
   "pct_vs_sma_50d": -0.02,
   "pct_vs_sma_200d": -3.8,
   "pct_off_52_week_high": -14.78,
   "avg_daily_volume_3m": 4012242,
   "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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   "risk_level": "high",
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   "strategy_action": "long, 21-day hold",
   "outlook": "Trend continuation setup.",
   "screen_reason": [
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    "Universe & liquidity filters passed"
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   "screen_reason": [
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   "ticker": "RBRK",
   "company_name": "Rubrik, Inc.",
   "sector": "Technology",
   "universe": "US large-cap common stocks",
   "price": 97.91,
   "market_cap": 20152477021,
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   "trailing_pe": null,
   "five_day_return_pct": 31.0,
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   "pct_vs_sma_20d": 24.25,
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   "pct_off_52_week_high": -0.6,
   "avg_daily_volume_3m": 3599827,
   "risk_level": "high",
   "above_200d_sma": true,
   "strategy_action": "long, 21-day hold",
   "outlook": "Trend continuation setup. At 52-week high after a >20% five-day spike (no historical edge either way).",
   "screen_reason": [
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  "universe_n": 828,
  "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"
 },
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      "delta": 0.5089,
      "cost_per_contract": 2270.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 0.55,
      "return_if_target_pct": 74.0,
      "return_if_flat_pct": -3.8,
      "ev_return_pct": -2.1,
      "p_profit_pct": 49.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.99
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "TEAM260918C00125000/TEAM260918C00175000",
      "strike": 125.0,
      "short_strike": 175.0,
      "label": "$125/$175C",
      "width": 50.0,
      "max_value_per_contract": 5000.0,
      "max_profit_pct": 81.8,
      "bid": 21.2,
      "ask": 27.5,
      "mid": 24.35,
      "oi": 418,
      "volume": 8,
      "iv": 0.8215,
      "contract_size": 100.0,
      "delta": 0.5548,
      "cost_per_contract": 2750.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 0.41,
      "return_if_target_pct": 61.8,
      "return_if_flat_pct": -2.6,
      "ev_return_pct": -3.7,
      "p_profit_pct": 49.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.33
     }
    ],
    "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 62 liquid call(s)",
     "163 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",
     "620 structure(s) hidden for returning under 3x the +18.5% 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": "BSP",
    "underlying": 51.43,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "target_move_pct": 10.0,
    "target_source": "fallback +10% (nearest strike 22% from spot)",
    "min_leverage": 3.0,
    "error": "no structure returns 3x the +10.0% target move (best: $40C at +13%, 1.33x) \u2014 the shares are the better expression today",
    "n_contracts_liquid": 2,
    "n_contracts_affordable": 2,
    "n_spreads_affordable": 2,
    "n_dominated": 4
   },
   {
    "ticker": "PLTR",
    "sleeve": "momentum",
    "underlying": 175.23,
    "horizon_date": "2026-09-08",
    "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": 13.96,
    "target_source": "implied 1-sigma expected move (ATM IV interpolated $175/$180)",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 299,
    "n_contracts_affordable": 144,
    "n_spreads_affordable": 2603,
    "min_leverage": 3.0,
    "n_dominated": 1249,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 144 of 299 liquid calls fit, plus 2603 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "PLTR260918C00190000/PLTR260918C00210000",
      "strike": 190.0,
      "short_strike": 210.0,
      "label": "$190/$210C",
      "width": 20.0,
      "max_value_per_contract": 2000.0,
      "max_profit_pct": 416.8,
      "bid": 3.67,
      "ask": 3.87,
      "mid": 3.77,
      "oi": 7291,
      "volume": 1377,
      "iv": 0.4932,
      "contract_size": 100.0,
      "delta": 0.1624,
      "cost_per_contract": 387.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 10.64,
      "return_if_target_pct": 146.5,
      "return_if_flat_pct": -68.9,
      "ev_return_pct": 31.8,
      "p_profit_pct": 37.7,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 10.49
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "PLTR260918C00185000/PLTR260918C00210000",
      "strike": 185.0,
      "short_strike": 210.0,
      "label": "$185/$210C",
      "width": 25.0,
      "max_value_per_contract": 2500.0,
      "max_profit_pct": 357.0,
      "bid": 5.17,
      "ask": 5.47,
      "mid": 5.32,
      "oi": 7291,
      "volume": 1377,
      "iv": 0.4935,
      "contract_size": 100.0,
      "delta": 0.2239,
      "cost_per_contract": 547.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 8.7,
      "return_if_target_pct": 144.8,
      "return_if_flat_pct": -60.0,
      "ev_return_pct": 26.7,
      "p_profit_pct": 39.3,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 10.37
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "PLTR260918C00190000/PLTR260918C00200000",
      "strike": 190.0,
      "short_strike": 200.0,
      "label": "$190/$200C",
      "width": 10.0,
      "max_value_per_contract": 1000.0,
      "max_profit_pct": 308.2,
      "bid": 2.2,
      "ask": 2.45,
      "mid": 2.325,
      "oi": 12570,
      "volume": 2066,
      "iv": 0.4932,
      "contract_size": 100.0,
      "delta": 0.0951,
      "cost_per_contract": 245.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 9.83,
      "return_if_target_pct": 143.9,
      "return_if_flat_pct": -62.0,
      "ev_return_pct": 20.5,
      "p_profit_pct": 39.3,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 10.31
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "PLTR260918C00210000/PLTR260918C00250000",
      "strike": 210.0,
      "short_strike": 250.0,
      "label": "$210/$250C",
      "width": 40.0,
      "max_value_per_contract": 4000.0,
      "max_profit_pct": 1961.9,
      "bid": 1.81,
      "ask": 1.94,
      "mid": 1.875,
      "oi": 3185,
      "volume": 1377,
      "iv": 0.5054,
      "contract_size": 100.0,
      "delta": 0.1384,
      "cost_per_contract": 194.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 20.95,
      "return_if_target_pct": 48.7,
      "return_if_flat_pct": -95.4,
      "ev_return_pct": 95.7,
      "p_profit_pct": 27.3,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.49
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "PLTR260918C00210000/PLTR260918C00240000",
      "strike": 210.0,
      "short_strike": 240.0,
      "label": "$210/$240C",
      "width": 30.0,
      "max_value_per_contract": 3000.0,
      "max_profit_pct": 1585.4,
      "bid": 1.62,
      "ask": 1.78,
      "mid": 1.7,
      "oi": 1416,
      "volume": 242,
      "iv": 0.5054,
      "contract_size": 100.0,
      "delta": 0.1183,
      "cost_per_contract": 178.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 20.86,
      "return_if_target_pct": 56.7,
      "return_if_flat_pct": -95.0,
      "ev_return_pct": 86.3,
      "p_profit_pct": 28.7,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 4.06
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "PLTR260918C00200000/PLTR260918C00310000",
      "strike": 200.0,
      "short_strike": 310.0,
      "label": "$200/$310C",
      "width": 110.0,
      "max_value_per_contract": 11000.0,
      "max_profit_pct": 2841.2,
      "bid": 3.54,
      "ask": 3.74,
      "mid": 3.64,
      "oi": 401,
      "volume": 27,
      "iv": 0.4968,
      "contract_size": 100.0,
      "delta": 0.2404,
      "cost_per_contract": 374.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 16.27,
      "return_if_target_pct": 74.0,
      "return_if_flat_pct": -90.3,
      "ev_return_pct": 82.6,
      "p_profit_pct": 30.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 5.3
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "PLTR260918C00155000/PLTR260918C00170000",
      "strike": 155.0,
      "short_strike": 170.0,
      "label": "$155/$170C",
      "width": 15.0,
      "max_value_per_contract": 1500.0,
      "max_profit_pct": 46.3,
      "bid": 9.85,
      "ask": 10.25,
      "mid": 10.05,
      "oi": 9836,
      "volume": 537,
      "iv": 0.514,
      "contract_size": 100.0,
      "delta": 0.1725,
      "cost_per_contract": 1025.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -5.7,
      "return_if_target_pct": 44.9,
      "return_if_flat_pct": 18.0,
      "ev_return_pct": -5.7,
      "p_profit_pct": 57.4,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.22
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "PLTR260918C00145000/PLTR260918C00185000",
      "strike": 145.0,
      "short_strike": 185.0,
      "label": "$145/$185C",
      "width": 40.0,
      "max_value_per_contract": 4000.0,
      "max_profit_pct": 58.7,
      "bid": 24.75,
      "ask": 25.2,
      "mid": 24.975,
      "oi": 3440,
      "volume": 127,
      "iv": 0.5284,
      "contract_size": 100.0,
      "delta": 0.4655,
      "cost_per_contract": 2520.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -2.87,
      "return_if_target_pct": 52.8,
      "return_if_flat_pct": 11.8,
      "ev_return_pct": -2.7,
      "p_profit_pct": 55.8,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.78
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "PLTR260918C00145000/PLTR260918C00180000",
      "strike": 145.0,
      "short_strike": 180.0,
      "label": "$145/$180C",
      "width": 35.0,
      "max_value_per_contract": 3500.0,
      "max_profit_pct": 50.2,
      "bid": 22.9,
      "ask": 23.3,
      "mid": 23.1,
      "oi": 3440,
      "volume": 127,
      "iv": 0.5284,
      "contract_size": 100.0,
      "delta": 0.3954,
      "cost_per_contract": 2330.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -3.95,
      "return_if_target_pct": 46.9,
      "return_if_flat_pct": 14.5,
      "ev_return_pct": -3.7,
      "p_profit_pct": 55.8,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.36
     }
    ],
    "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 155 liquid call(s)",
     "54 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",
     "1249 structure(s) hidden for returning under 3x the +14.0% 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"
    ]
   },
   {
    "ticker": "SHOP",
    "sleeve": "momentum",
    "underlying": 155.18,
    "horizon_date": "2026-09-08",
    "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": 13.23,
    "target_source": "implied 1-sigma expected move (ATM IV interpolated $155/$160)",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 153,
    "n_contracts_affordable": 79,
    "n_spreads_affordable": 1086,
    "min_leverage": 3.0,
    "n_dominated": 785,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 79 of 153 liquid calls fit, plus 1086 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SHOP260918C00165000/SHOP260918C00180000",
      "strike": 165.0,
      "short_strike": 180.0,
      "label": "$165/$180C",
      "width": 15.0,
      "max_value_per_contract": 1500.0,
      "max_profit_pct": 319.0,
      "bid": 3.03,
      "ask": 3.58,
      "mid": 3.305,
      "oi": 732,
      "volume": 67,
      "iv": 0.4667,
      "contract_size": 100.0,
      "delta": 0.1874,
      "cost_per_contract": 358.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 8.64,
      "return_if_target_pct": 140.1,
      "return_if_flat_pct": -61.5,
      "ev_return_pct": 24.2,
      "p_profit_pct": 39.3,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 10.59
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SHOP260918C00165000/SHOP260918C00185000",
      "strike": 165.0,
      "short_strike": 185.0,
      "label": "$165/$185C",
      "width": 20.0,
      "max_value_per_contract": 2000.0,
      "max_profit_pct": 365.1,
      "bid": 3.74,
      "ask": 4.3,
      "mid": 4.02,
      "oi": 668,
      "volume": 44,
      "iv": 0.4667,
      "contract_size": 100.0,
      "delta": 0.2321,
      "cost_per_contract": 430.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 9.1,
      "return_if_target_pct": 136.1,
      "return_if_flat_pct": -65.7,
      "ev_return_pct": 27.9,
      "p_profit_pct": 37.7,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 10.29
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SHOP260918C00165000/SHOP260918C00195000",
      "strike": 165.0,
      "short_strike": 195.0,
      "label": "$165/$195C",
      "width": 30.0,
      "max_value_per_contract": 3000.0,
      "max_profit_pct": 487.1,
      "bid": 4.65,
      "ask": 5.11,
      "mid": 4.88,
      "oi": 1174,
      "volume": 77,
      "iv": 0.4667,
      "contract_size": 100.0,
      "delta": 0.2976,
      "cost_per_contract": 511.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 9.62,
      "return_if_target_pct": 129.4,
      "return_if_flat_pct": -70.1,
      "ev_return_pct": 38.1,
      "p_profit_pct": 37.7,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 9.78
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call",
      "symbol": "SHOP260918C00180000",
      "expiry": "2026-09-18",
      "strike": 180.0,
      "label": "$180C",
      "bid": 2.37,
      "ask": 2.62,
      "mid": 2.495,
      "oi": 732,
      "wide": false,
      "volume": 67,
      "iv": 0.4776,
      "delta": 0.1949,
      "contract_size": 100.0,
      "cost_per_contract": 262.0,
      "breakeven_move_pct": 17.68,
      "return_if_target_pct": 44.7,
      "return_if_flat_pct": -93.9,
      "ev_return_pct": 104.6,
      "p_profit_pct": 28.7,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.38
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SHOP260918C00180000/SHOP260918C00250000",
      "strike": 180.0,
      "short_strike": 250.0,
      "label": "$180/$250C",
      "width": 70.0,
      "max_value_per_contract": 7000.0,
      "max_profit_pct": 2623.7,
      "bid": 2.27,
      "ask": 2.57,
      "mid": 2.42,
      "oi": 346,
      "volume": 1,
      "iv": 0.4776,
      "contract_size": 100.0,
      "delta": 0.1935,
      "cost_per_contract": 257.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 17.65,
      "return_if_target_pct": 47.5,
      "return_if_flat_pct": -93.8,
      "ev_return_pct": 100.5,
      "p_profit_pct": 28.7,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.59
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SHOP260918C00180000/SHOP260918C00240000",
      "strike": 180.0,
      "short_strike": 240.0,
      "label": "$180/$240C",
      "width": 60.0,
      "max_value_per_contract": 6000.0,
      "max_profit_pct": 2216.6,
      "bid": 1.95,
      "ask": 2.59,
      "mid": 2.27,
      "oi": 208,
      "volume": 0,
      "iv": 0.4776,
      "contract_size": 100.0,
      "delta": 0.1917,
      "cost_per_contract": 259.0,
      "short_leg_wide": true,
      "breakeven_move_pct": 17.66,
      "return_if_target_pct": 46.3,
      "return_if_flat_pct": -93.8,
      "ev_return_pct": 93.3,
      "p_profit_pct": 28.7,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.5
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SHOP260918C00130000/SHOP260918C00165000",
      "strike": 130.0,
      "short_strike": 165.0,
      "label": "$130/$165C",
      "width": 35.0,
      "max_value_per_contract": 3500.0,
      "max_profit_pct": 59.8,
      "bid": 20.2,
      "ask": 21.9,
      "mid": 21.05,
      "oi": 1174,
      "volume": 38,
      "iv": 0.4603,
      "contract_size": 100.0,
      "delta": 0.5165,
      "cost_per_contract": 2190.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -2.11,
      "return_if_target_pct": 52.8,
      "return_if_flat_pct": 8.8,
      "ev_return_pct": -5.0,
      "p_profit_pct": 54.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.99
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SHOP260918C00125000/SHOP260918C00165000",
      "strike": 125.0,
      "short_strike": 165.0,
      "label": "$125/$165C",
      "width": 40.0,
      "max_value_per_contract": 4000.0,
      "max_profit_pct": 50.1,
      "bid": 24.45,
      "ask": 26.65,
      "mid": 25.55,
      "oi": 1174,
      "volume": 37,
      "iv": 0.5869,
      "contract_size": 100.0,
      "delta": 0.5556,
      "cost_per_contract": 2665.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -2.27,
      "return_if_target_pct": 44.3,
      "return_if_flat_pct": 8.2,
      "ev_return_pct": -5.3,
      "p_profit_pct": 54.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.35
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SHOP260918C00130000/SHOP260918C00160000",
      "strike": 130.0,
      "short_strike": 160.0,
      "label": "$130/$160C",
      "width": 30.0,
      "max_value_per_contract": 3000.0,
      "max_profit_pct": 48.9,
      "bid": 18.2,
      "ask": 20.15,
      "mid": 19.175,
      "oi": 2708,
      "volume": 38,
      "iv": 0.4603,
      "contract_size": 100.0,
      "delta": 0.4384,
      "cost_per_contract": 2015.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -3.24,
      "return_if_target_pct": 45.3,
      "return_if_flat_pct": 11.6,
      "ev_return_pct": -6.8,
      "p_profit_pct": 54.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.42
     }
    ],
    "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 74 liquid call(s)",
     "169 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",
     "785 structure(s) hidden for returning under 3x the +13.2% 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": "RBRK",
    "sleeve": "momentum",
    "underlying": 97.91,
    "horizon_date": "2026-09-08",
    "sessions": 21,
    "expirations_used": [
     "2026-09-18",
     "2026-10-16",
     "2027-01-15"
    ],
    "target_move_pct": 22.36,
    "target_source": "implied 1-sigma expected move (ATM IV interpolated $95/$100)",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 59,
    "n_contracts_affordable": 38,
    "n_spreads_affordable": 439,
    "min_leverage": 3.0,
    "n_dominated": 452,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 38 of 59 liquid calls fit, plus 439 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call",
      "symbol": "RBRK260918C00095000",
      "expiry": "2026-09-18",
      "strike": 95.0,
      "label": "$95C",
      "bid": 10.7,
      "ask": 12.1,
      "mid": 11.399999999999999,
      "oi": 561,
      "wide": false,
      "volume": 79,
      "iv": 0.7747,
      "delta": 0.6015,
      "contract_size": 100.0,
      "cost_per_contract": 1210.0,
      "breakeven_move_pct": 9.39,
      "return_if_target_pct": 107.4,
      "return_if_flat_pct": -45.6,
      "ev_return_pct": -6.3,
      "p_profit_pct": 34.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 4.8
     },
     {
      "kind": "call",
      "symbol": "RBRK260918C00100000",
      "expiry": "2026-09-18",
      "strike": 100.0,
      "label": "$100C",
      "bid": 8.8,
      "ask": 10.3,
      "mid": 9.55,
      "oi": 10067,
      "wide": false,
      "volume": 625,
      "iv": 0.8064,
      "delta": 0.5258,
      "contract_size": 100.0,
      "cost_per_contract": 1030.0,
      "breakeven_move_pct": 12.65,
      "return_if_target_pct": 98.9,
      "return_if_flat_pct": -57.9,
      "ev_return_pct": -12.8,
      "p_profit_pct": 30.1,
      "max_loss": "100% of premium",
      "leverage_on_target": 4.42
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "RBRK260918C00095000/RBRK260918C00110000",
      "strike": 95.0,
      "short_strike": 110.0,
      "label": "$95/$110C",
      "width": 15.0,
      "max_value_per_contract": 1500.0,
      "max_profit_pct": 127.3,
      "bid": 4.3,
      "ask": 6.6,
      "mid": 5.45,
      "oi": 470,
      "volume": 79,
      "iv": 0.7747,
      "contract_size": 100.0,
      "delta": 0.2201,
      "cost_per_contract": 660.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 3.77,
      "return_if_target_pct": 94.7,
      "return_if_flat_pct": -22.0,
      "ev_return_pct": -7.7,
      "p_profit_pct": 42.6,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 4.24
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call",
      "symbol": "RBRK270115C00100000",
      "expiry": "2027-01-15",
      "strike": 100.0,
      "label": "$100C",
      "bid": 17.3,
      "ask": 18.1,
      "mid": 17.700000000000003,
      "oi": 2407,
      "wide": false,
      "volume": 121,
      "iv": 0.7071,
      "delta": 0.5878,
      "contract_size": 100.0,
      "cost_per_contract": 1810.0,
      "breakeven_move_pct": 20.62,
      "return_if_target_pct": 69.4,
      "return_if_flat_pct": -11.5,
      "ev_return_pct": 2.6,
      "p_profit_pct": 42.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.1
     },
     {
      "kind": "call",
      "symbol": "RBRK261016C00085000",
      "expiry": "2026-10-16",
      "strike": 85.0,
      "label": "$85C",
      "bid": 19.3,
      "ask": 21.0,
      "mid": 20.15,
      "oi": 384,
      "wide": false,
      "volume": 37,
      "iv": 0.7878,
      "delta": 0.736,
      "contract_size": 100.0,
      "cost_per_contract": 2100.0,
      "breakeven_move_pct": 8.26,
      "return_if_target_pct": 72.2,
      "return_if_flat_pct": -17.5,
      "ev_return_pct": -2.2,
      "p_profit_pct": 40.9,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.23
     },
     {
      "kind": "call",
      "symbol": "RBRK270115C00145000",
      "expiry": "2027-01-15",
      "strike": 145.0,
      "label": "$145C",
      "bid": 5.7,
      "ask": 7.0,
      "mid": 6.35,
      "oi": 1297,
      "wide": false,
      "volume": 132,
      "iv": 0.7114,
      "delta": 0.2852,
      "contract_size": 100.0,
      "cost_per_contract": 700.0,
      "breakeven_move_pct": 55.24,
      "return_if_target_pct": 75.4,
      "return_if_flat_pct": -28.5,
      "ev_return_pct": -3.5,
      "p_profit_pct": 34.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.37
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "RBRK260918C00085000/RBRK260918C00110000",
      "strike": 85.0,
      "short_strike": 110.0,
      "label": "$85/$110C",
      "width": 25.0,
      "max_value_per_contract": 2500.0,
      "max_profit_pct": 88.0,
      "bid": 10.1,
      "ask": 13.3,
      "mid": 11.7,
      "oi": 470,
      "volume": 27,
      "iv": 0.8242,
      "contract_size": 100.0,
      "delta": 0.3654,
      "cost_per_contract": 1330.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 0.4,
      "return_if_target_pct": 70.5,
      "return_if_flat_pct": -5.8,
      "ev_return_pct": -5.6,
      "p_profit_pct": 47.5,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.15
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "RBRK260918C00090000/RBRK260918C00110000",
      "strike": 90.0,
      "short_strike": 110.0,
      "label": "$90/$110C",
      "width": 20.0,
      "max_value_per_contract": 2000.0,
      "max_profit_pct": 98.0,
      "bid": 7.1,
      "ask": 10.1,
      "mid": 8.6,
      "oi": 470,
      "volume": 91,
      "iv": 0.8181,
      "contract_size": 100.0,
      "delta": 0.2945,
      "cost_per_contract": 1010.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 2.24,
      "return_if_target_pct": 75.7,
      "return_if_flat_pct": -14.7,
      "ev_return_pct": -9.2,
      "p_profit_pct": 44.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.39
     },
     {
      "kind": "call",
      "symbol": "RBRK270115C00100000",
      "expiry": "2027-01-15",
      "strike": 100.0,
      "label": "$100C",
      "bid": 17.3,
      "ask": 18.1,
      "mid": 17.700000000000003,
      "oi": 2407,
      "wide": false,
      "volume": 121,
      "iv": 0.7071,
      "delta": 0.5878,
      "contract_size": 100.0,
      "cost_per_contract": 1810.0,
      "breakeven_move_pct": 20.62,
      "return_if_target_pct": 69.4,
      "return_if_flat_pct": -11.5,
      "ev_return_pct": 2.6,
      "p_profit_pct": 42.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.1
     }
    ],
    "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 21 liquid call(s)",
     "12 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",
     "452 structure(s) hidden for returning under 3x the +22.4% 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": "ZBRA",
    "error": "no liquid calls after filters (min OI 100, retried at 25)"
   },
   {
    "ticker": "U",
    "sleeve": "momentum",
    "underlying": 43.1,
    "horizon_date": "2026-09-08",
    "sessions": 21,
    "expirations_used": [
     "2026-09-18",
     "2026-11-20",
     "2027-01-15",
     "2027-02-19",
     "2027-05-21"
    ],
    "target_move_pct": 16.97,
    "target_source": "implied 1-sigma expected move (ATM IV interpolated $41/$45)",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 71,
    "n_contracts_affordable": 70,
    "n_spreads_affordable": 547,
    "min_leverage": 3.0,
    "n_dominated": 585,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 70 of 71 liquid calls fit, plus 547 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "U260918C00045000/U260918C00050000",
      "strike": 45.0,
      "short_strike": 50.0,
      "label": "$45/$50C",
      "width": 5.0,
      "max_value_per_contract": 500.0,
      "max_profit_pct": 192.4,
      "bid": 0.99,
      "ask": 1.71,
      "mid": 1.35,
      "oi": 1440,
      "volume": 269,
      "iv": 0.6054,
      "contract_size": 100.0,
      "delta": 0.1901,
      "cost_per_contract": 171.0,
      "short_leg_wide": true,
      "breakeven_move_pct": 8.38,
      "return_if_target_pct": 101.4,
      "return_if_flat_pct": -52.2,
      "ev_return_pct": -8.2,
      "p_profit_pct": 37.7,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 5.98
     },
     {
      "kind": "call",
      "symbol": "U260918C00045000",
      "expiry": "2026-09-18",
      "strike": 45.0,
      "label": "$45C",
      "bid": 2.54,
      "ask": 2.91,
      "mid": 2.725,
      "oi": 4569,
      "wide": false,
      "volume": 269,
      "iv": 0.6054,
      "delta": 0.4644,
      "contract_size": 100.0,
      "cost_per_contract": 291.0,
      "breakeven_move_pct": 11.16,
      "return_if_target_pct": 98.0,
      "return_if_flat_pct": -66.1,
      "ev_return_pct": 10.8,
      "p_profit_pct": 33.1,
      "max_loss": "100% of premium",
      "leverage_on_target": 5.78
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "U260918C00041000/U260918C00050000",
      "strike": 41.0,
      "short_strike": 50.0,
      "label": "$41/$50C",
      "width": 9.0,
      "max_value_per_contract": 900.0,
      "max_profit_pct": 143.2,
      "bid": 2.75,
      "ask": 3.7,
      "mid": 3.225,
      "oi": 194,
      "volume": 32,
      "iv": 0.5983,
      "contract_size": 100.0,
      "delta": 0.3769,
      "cost_per_contract": 370.0,
      "short_leg_wide": true,
      "breakeven_move_pct": 3.71,
      "return_if_target_pct": 93.8,
      "return_if_flat_pct": -24.9,
      "ev_return_pct": -4.0,
      "p_profit_pct": 42.6,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 5.53
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call",
      "symbol": "U260918C00045000",
      "expiry": "2026-09-18",
      "strike": 45.0,
      "label": "$45C",
      "bid": 2.54,
      "ask": 2.91,
      "mid": 2.725,
      "oi": 4569,
      "wide": false,
      "volume": 269,
      "iv": 0.6054,
      "delta": 0.4644,
      "contract_size": 100.0,
      "cost_per_contract": 291.0,
      "breakeven_move_pct": 11.16,
      "return_if_target_pct": 98.0,
      "return_if_flat_pct": -66.1,
      "ev_return_pct": 10.8,
      "p_profit_pct": 33.1,
      "max_loss": "100% of premium",
      "leverage_on_target": 5.78
     },
     {
      "kind": "call",
      "symbol": "U260918C00041000",
      "expiry": "2026-09-18",
      "strike": 41.0,
      "label": "$41C",
      "bid": 4.3,
      "ask": 4.9,
      "mid": 4.6,
      "oi": 194,
      "wide": false,
      "volume": 32,
      "iv": 0.5983,
      "delta": 0.6512,
      "contract_size": 100.0,
      "cost_per_contract": 490.0,
      "breakeven_move_pct": 6.5,
      "return_if_target_pct": 93.6,
      "return_if_flat_pct": -39.8,
      "ev_return_pct": 6.3,
      "p_profit_pct": 37.7,
      "max_loss": "100% of premium",
      "leverage_on_target": 5.52
     },
     {
      "kind": "call",
      "symbol": "U260918C00040000",
      "expiry": "2026-09-18",
      "strike": 40.0,
      "label": "$40C",
      "bid": 5.0,
      "ask": 5.55,
      "mid": 5.275,
      "oi": 1882,
      "wide": false,
      "volume": 55,
      "iv": 0.6143,
      "delta": 0.6963,
      "contract_size": 100.0,
      "cost_per_contract": 555.0,
      "breakeven_move_pct": 5.68,
      "return_if_target_pct": 88.7,
      "return_if_flat_pct": -33.3,
      "ev_return_pct": 5.1,
      "p_profit_pct": 39.3,
      "max_loss": "100% of premium",
      "leverage_on_target": 5.23
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "U260918C00034000/U260918C00050000",
      "strike": 34.0,
      "short_strike": 50.0,
      "label": "$34/$50C",
      "width": 16.0,
      "max_value_per_contract": 1600.0,
      "max_profit_pct": 79.8,
      "bid": 8.0,
      "ask": 8.9,
      "mid": 8.45,
      "oi": 169,
      "volume": 3,
      "iv": 0.7405,
      "contract_size": 100.0,
      "delta": 0.6272,
      "cost_per_contract": 890.0,
      "short_leg_wide": true,
      "breakeven_move_pct": -0.46,
      "return_if_target_pct": 58.8,
      "return_if_flat_pct": 1.3,
      "ev_return_pct": -1.2,
      "p_profit_pct": 50.8,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.47
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "U260918C00038000/U260918C00045000",
      "strike": 38.0,
      "short_strike": 45.0,
      "label": "$38/$45C",
      "width": 7.0,
      "max_value_per_contract": 700.0,
      "max_profit_pct": 62.4,
      "bid": 3.49,
      "ask": 4.31,
      "mid": 3.9,
      "oi": 140,
      "volume": 8,
      "iv": 0.6204,
      "contract_size": 100.0,
      "delta": 0.3139,
      "cost_per_contract": 431.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -1.83,
      "return_if_target_pct": 55.4,
      "return_if_flat_pct": 1.4,
      "ev_return_pct": -8.0,
      "p_profit_pct": 50.8,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.26
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "U260918C00036000/U260918C00050000",
      "strike": 36.0,
      "short_strike": 50.0,
      "label": "$36/$50C",
      "width": 14.0,
      "max_value_per_contract": 1400.0,
      "max_profit_pct": 94.4,
      "bid": 5.6,
      "ask": 7.2,
      "mid": 6.4,
      "oi": 118,
      "volume": 23,
      "iv": 0.7407,
      "contract_size": 100.0,
      "delta": 0.5726,
      "cost_per_contract": 720.0,
      "short_leg_wide": true,
      "breakeven_move_pct": 0.23,
      "return_if_target_pct": 68.6,
      "return_if_flat_pct": -1.1,
      "ev_return_pct": -0.6,
      "p_profit_pct": 49.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 4.04
     }
    ],
    "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)",
     "18 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",
     "585 structure(s) hidden for returning under 3x the +17.0% 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"
    ]
   },
   {
    "ticker": "IT",
    "sleeve": "momentum",
    "underlying": 193.17,
    "horizon_date": "2026-09-08",
    "sessions": 21,
    "expirations_used": [
     "2026-09-18",
     "2026-12-18",
     "2027-03-19"
    ],
    "target_move_pct": 14.05,
    "target_source": "implied 1-sigma expected move (ATM IV interpolated $190/$195)",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 23,
    "n_contracts_affordable": 17,
    "n_spreads_affordable": 137,
    "min_leverage": 3.0,
    "n_dominated": 80,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 17 of 23 liquid calls fit, plus 137 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "IT260918C00210000/IT260918C00230000",
      "strike": 210.0,
      "short_strike": 230.0,
      "label": "$210/$230C",
      "width": 20.0,
      "max_value_per_contract": 2000.0,
      "max_profit_pct": 365.1,
      "bid": 2.5,
      "ask": 4.3,
      "mid": 3.4,
      "oi": 169,
      "volume": 0,
      "iv": 0.4728,
      "contract_size": 100.0,
      "delta": 0.1804,
      "cost_per_contract": 430.0,
      "short_leg_wide": true,
      "breakeven_move_pct": 10.94,
      "return_if_target_pct": 125.7,
      "return_if_flat_pct": -74.9,
      "ev_return_pct": 18.7,
      "p_profit_pct": 36.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 8.95
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "IT260918C00200000/IT260918C00230000",
      "strike": 200.0,
      "short_strike": 230.0,
      "label": "$200/$230C",
      "width": 30.0,
      "max_value_per_contract": 3000.0,
      "max_profit_pct": 270.4,
      "bid": 6.1,
      "ask": 8.1,
      "mid": 7.1,
      "oi": 169,
      "volume": 0,
      "iv": 0.4951,
      "contract_size": 100.0,
      "delta": 0.2965,
      "cost_per_contract": 810.0,
      "short_leg_wide": true,
      "breakeven_move_pct": 7.73,
      "return_if_target_pct": 121.7,
      "return_if_flat_pct": -56.2,
      "ev_return_pct": 11.5,
      "p_profit_pct": 39.3,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 8.66
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "IT260918C00195000/IT260918C00230000",
      "strike": 195.0,
      "short_strike": 230.0,
      "label": "$195/$230C",
      "width": 35.0,
      "max_value_per_contract": 3500.0,
      "max_profit_pct": 239.8,
      "bid": 8.3,
      "ask": 10.3,
      "mid": 9.3,
      "oi": 169,
      "volume": 0,
      "iv": 0.5011,
      "contract_size": 100.0,
      "delta": 0.3582,
      "cost_per_contract": 1030.0,
      "short_leg_wide": true,
      "breakeven_move_pct": 6.28,
      "return_if_target_pct": 118.4,
      "return_if_flat_pct": -46.2,
      "ev_return_pct": 10.0,
      "p_profit_pct": 40.9,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 8.43
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call",
      "symbol": "IT260918C00210000",
      "expiry": "2026-09-18",
      "strike": 210.0,
      "label": "$210C",
      "bid": 5.7,
      "ask": 6.3,
      "mid": 6.0,
      "oi": 271,
      "wide": false,
      "volume": 5,
      "iv": 0.4728,
      "delta": 0.3347,
      "contract_size": 100.0,
      "cost_per_contract": 630.0,
      "breakeven_move_pct": 11.97,
      "return_if_target_pct": 110.4,
      "return_if_flat_pct": -81.2,
      "ev_return_pct": 68.2,
      "p_profit_pct": 33.1,
      "max_loss": "100% of premium",
      "leverage_on_target": 7.86
     },
     {
      "kind": "call",
      "symbol": "IT260918C00200000",
      "expiry": "2026-09-18",
      "strike": 200.0,
      "label": "$200C",
      "bid": 9.3,
      "ask": 10.1,
      "mid": 9.7,
      "oi": 198,
      "wide": false,
      "volume": 2,
      "iv": 0.4951,
      "delta": 0.4508,
      "contract_size": 100.0,
      "cost_per_contract": 1010.0,
      "breakeven_move_pct": 8.76,
      "return_if_target_pct": 112.9,
      "return_if_flat_pct": -63.9,
      "ev_return_pct": 43.8,
      "p_profit_pct": 36.2,
      "max_loss": "100% of premium",
      "leverage_on_target": 8.04
     },
     {
      "kind": "call",
      "symbol": "IT260918C00195000",
      "expiry": "2026-09-18",
      "strike": 195.0,
      "label": "$195C",
      "bid": 11.5,
      "ask": 12.3,
      "mid": 11.9,
      "oi": 255,
      "wide": false,
      "volume": 6,
      "iv": 0.5011,
      "delta": 0.5125,
      "contract_size": 100.0,
      "cost_per_contract": 1230.0,
      "breakeven_move_pct": 7.31,
      "return_if_target_pct": 111.8,
      "return_if_flat_pct": -54.1,
      "ev_return_pct": 36.8,
      "p_profit_pct": 37.7,
      "max_loss": "100% of premium",
      "leverage_on_target": 7.96
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "IT260918C00165000/IT260918C00200000",
      "strike": 165.0,
      "short_strike": 200.0,
      "label": "$165/$200C",
      "width": 35.0,
      "max_value_per_contract": 3500.0,
      "max_profit_pct": 48.3,
      "bid": 19.7,
      "ask": 23.6,
      "mid": 21.65,
      "oi": 193,
      "volume": 0,
      "iv": 0.5412,
      "contract_size": 100.0,
      "delta": 0.3953,
      "cost_per_contract": 2360.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -2.37,
      "return_if_target_pct": 44.0,
      "return_if_flat_pct": 5.7,
      "ev_return_pct": -9.6,
      "p_profit_pct": 52.5,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.13
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "IT260918C00165000/IT260918C00210000",
      "strike": 165.0,
      "short_strike": 210.0,
      "label": "$165/$210C",
      "width": 45.0,
      "max_value_per_contract": 4500.0,
      "max_profit_pct": 65.4,
      "bid": 23.5,
      "ask": 27.2,
      "mid": 25.35,
      "oi": 193,
      "volume": 0,
      "iv": 0.5412,
      "contract_size": 100.0,
      "delta": 0.5114,
      "cost_per_contract": 2720.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -0.5,
      "return_if_target_pct": 55.3,
      "return_if_flat_pct": 0.8,
      "ev_return_pct": -7.1,
      "p_profit_pct": 50.8,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.94
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "IT260918C00170000/IT260918C00200000",
      "strike": 170.0,
      "short_strike": 200.0,
      "label": "$170/$200C",
      "width": 30.0,
      "max_value_per_contract": 3000.0,
      "max_profit_pct": 50.0,
      "bid": 16.0,
      "ask": 20.0,
      "mid": 18.0,
      "oi": 198,
      "volume": 1,
      "iv": 0.5513,
      "contract_size": 100.0,
      "delta": 0.3497,
      "cost_per_contract": 2000.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -1.64,
      "return_if_target_pct": 45.0,
      "return_if_flat_pct": 1.5,
      "ev_return_pct": -11.9,
      "p_profit_pct": 50.8,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.2
     }
    ],
    "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 6 liquid call(s)",
     "51 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",
     "80 structure(s) hidden for returning under 3x the +14.1% 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": "TWLO",
    "sleeve": "momentum",
    "underlying": 250.06,
    "horizon_date": "2026-09-08",
    "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": 15.28,
    "target_source": "implied 1-sigma expected move (ATM IV interpolated $250/$260)",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 63,
    "n_contracts_affordable": 10,
    "n_spreads_affordable": 87,
    "min_leverage": 3.0,
    "n_dominated": 69,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 10 of 63 liquid calls fit, plus 87 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "TWLO260918C00260000/TWLO260918C00300000",
      "strike": 260.0,
      "short_strike": 300.0,
      "label": "$260/$300C",
      "width": 40.0,
      "max_value_per_contract": 4000.0,
      "max_profit_pct": 260.4,
      "bid": 8.4,
      "ask": 11.1,
      "mid": 9.75,
      "oi": 254,
      "volume": 47,
      "iv": 0.5342,
      "contract_size": 100.0,
      "delta": 0.2833,
      "cost_per_contract": 1110.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 8.41,
      "return_if_target_pct": 116.9,
      "return_if_flat_pct": -57.1,
      "ev_return_pct": 4.7,
      "p_profit_pct": 37.7,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 7.65
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "TWLO260918C00250000/TWLO260918C00300000",
      "strike": 250.0,
      "short_strike": 300.0,
      "label": "$250/$300C",
      "width": 50.0,
      "max_value_per_contract": 5000.0,
      "max_profit_pct": 210.6,
      "bid": 12.8,
      "ask": 16.1,
      "mid": 14.45,
      "oi": 515,
      "volume": 32,
      "iv": 0.5422,
      "contract_size": 100.0,
      "delta": 0.3776,
      "cost_per_contract": 1610.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 6.41,
      "return_if_target_pct": 106.3,
      "return_if_flat_pct": -44.7,
      "ev_return_pct": 0.9,
      "p_profit_pct": 39.3,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 6.96
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "TWLO260918C00260000/TWLO260918C00290000",
      "strike": 260.0,
      "short_strike": 290.0,
      "label": "$260/$290C",
      "width": 30.0,
      "max_value_per_contract": 3000.0,
      "max_profit_pct": 200.0,
      "bid": 6.8,
      "ask": 10.0,
      "mid": 8.4,
      "oi": 107,
      "volume": 4,
      "iv": 0.5342,
      "contract_size": 100.0,
      "delta": 0.23,
      "cost_per_contract": 1000.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 7.97,
      "return_if_target_pct": 104.2,
      "return_if_flat_pct": -55.1,
      "ev_return_pct": -4.0,
      "p_profit_pct": 37.7,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 6.82
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call",
      "symbol": "TWLO260918C00290000",
      "expiry": "2026-09-18",
      "strike": 290.0,
      "label": "$290C",
      "bid": 4.9,
      "ask": 6.1,
      "mid": 5.5,
      "oi": 107,
      "wide": false,
      "volume": 4,
      "iv": 0.5369,
      "delta": 0.2267,
      "contract_size": 100.0,
      "cost_per_contract": 610.0,
      "breakeven_move_pct": 18.41,
      "return_if_target_pct": 56.6,
      "return_if_flat_pct": -92.0,
      "ev_return_pct": 47.7,
      "p_profit_pct": 27.3,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.7
     },
     {
      "kind": "call",
      "symbol": "TWLO260918C00260000",
      "expiry": "2026-09-18",
      "strike": 260.0,
      "label": "$260C",
      "bid": 12.9,
      "ask": 14.9,
      "mid": 13.9,
      "oi": 254,
      "wide": false,
      "volume": 101,
      "iv": 0.5342,
      "delta": 0.4567,
      "contract_size": 100.0,
      "cost_per_contract": 1490.0,
      "breakeven_move_pct": 9.93,
      "return_if_target_pct": 101.2,
      "return_if_flat_pct": -66.6,
      "ev_return_pct": 24.9,
      "p_profit_pct": 34.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 6.62
     },
     {
      "kind": "call",
      "symbol": "TWLO261016C00290000",
      "expiry": "2026-10-16",
      "strike": 290.0,
      "label": "$290C",
      "bid": 9.4,
      "ask": 11.0,
      "mid": 10.2,
      "oi": 247,
      "wide": false,
      "volume": 2,
      "iv": 0.5363,
      "delta": 0.3138,
      "contract_size": 100.0,
      "cost_per_contract": 1100.0,
      "breakeven_move_pct": 20.37,
      "return_if_target_pct": 78.5,
      "return_if_flat_pct": -52.1,
      "ev_return_pct": 24.0,
      "p_profit_pct": 34.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 5.14
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "TWLO260918C00220000/TWLO260918C00260000",
      "strike": 220.0,
      "short_strike": 260.0,
      "label": "$220/$260C",
      "width": 40.0,
      "max_value_per_contract": 4000.0,
      "max_profit_pct": 54.4,
      "bid": 20.5,
      "ask": 25.9,
      "mid": 23.2,
      "oi": 254,
      "volume": 16,
      "iv": 0.5288,
      "contract_size": 100.0,
      "delta": 0.3499,
      "cost_per_contract": 2590.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -1.66,
      "return_if_target_pct": 48.8,
      "return_if_flat_pct": 0.2,
      "ev_return_pct": -11.4,
      "p_profit_pct": 50.8,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.19
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "TWLO260918C00230000/TWLO260918C00260000",
      "strike": 230.0,
      "short_strike": 260.0,
      "label": "$230/$260C",
      "width": 30.0,
      "max_value_per_contract": 3000.0,
      "max_profit_pct": 61.3,
      "bid": 13.4,
      "ask": 18.6,
      "mid": 16.0,
      "oi": 254,
      "volume": 4,
      "iv": 0.541,
      "contract_size": 100.0,
      "delta": 0.2745,
      "cost_per_contract": 1860.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -0.58,
      "return_if_target_pct": 53.7,
      "return_if_flat_pct": -6.9,
      "ev_return_pct": -13.5,
      "p_profit_pct": 47.5,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.51
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "TWLO260918C00230000/TWLO260918C00290000",
      "strike": 230.0,
      "short_strike": 290.0,
      "label": "$230/$290C",
      "width": 60.0,
      "max_value_per_contract": 6000.0,
      "max_profit_pct": 125.6,
      "bid": 22.2,
      "ask": 26.6,
      "mid": 24.4,
      "oi": 107,
      "volume": 4,
      "iv": 0.541,
      "contract_size": 100.0,
      "delta": 0.5045,
      "cost_per_contract": 2660.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 2.62,
      "return_if_target_pct": 84.3,
      "return_if_flat_pct": -18.0,
      "ev_return_pct": -3.4,
      "p_profit_pct": 45.9,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 5.52
     }
    ],
    "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 53 liquid call(s)",
     "4 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",
     "69 structure(s) hidden for returning under 3x the +15.3% 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"
    ]
   }
  ]
 }
}