{
 "report_id": "2026-08-11_value_momentum",
 "report_date": "2026-08-11",
 "report_timestamp": "2026-08-11T22:10:53+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": 796
 },
 "market_context": {
  "spy_close": 770.56,
  "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": 12.3,
   "market_cap": 15792314400,
   "fifty_two_week_low": 11.32,
   "pct_above_52_week_low": 8.66,
   "trailing_pe": 2.59,
   "five_day_return_pct": -0.32,
   "roc_14d_pct": 3.62,
   "roc_21d_pct": 5.31,
   "rsi_14d": 52.38,
   "sma_20d": 11.95,
   "sma_50d": 12.25,
   "sma_200d": 15.77,
   "pct_vs_sma_20d": 2.94,
   "pct_vs_sma_50d": 0.43,
   "pct_vs_sma_200d": -21.99,
   "pct_off_52_week_high": -47.12,
   "avg_daily_volume_3m": 1197732,
   "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": [
     "2025-08-11",
     "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",
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     "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",
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     "2025-11-11",
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     "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",
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     "2025-12-19",
     "2025-12-22",
     "2025-12-23",
     "2025-12-24",
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     "2026-01-06",
     "2026-01-07",
     "2026-01-08",
     "2026-01-09",
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     "2026-03-13",
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    "close": [
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   },
   "overlap_with_other_screen": false
  },
  {
   "pick_rank": 1,
   "screen_type": "momentum",
   "ticker": "BSP",
   "company_name": "Bending Spoons S.p.A.",
   "sector": "Technology",
   "universe": "US large-cap common stocks",
   "price": 53.44,
   "market_cap": 35783592870,
   "fifty_two_week_low": 31.78,
   "pct_above_52_week_low": 68.16,
   "trailing_pe": null,
   "five_day_return_pct": 42.7,
   "roc_14d_pct": 58.2,
   "roc_21d_pct": 68.16,
   "rsi_14d": 62.04,
   "sma_20d": 37.34,
   "sma_50d": NaN,
   "sma_200d": NaN,
   "pct_vs_sma_20d": 43.11,
   "pct_vs_sma_50d": NaN,
   "pct_vs_sma_200d": null,
   "pct_off_52_week_high": 0.0,
   "avg_daily_volume_3m": 3313616,
   "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": [
    "Top 5-day performer",
    "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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     "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",
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     "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",
     "2026-08-11"
    ],
    "close": [
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   "company_name": "Everpure, Inc.",
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   "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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  },
  {
   "pick_rank": 6,
   "screen_type": "momentum",
   "ticker": "CHYM",
   "company_name": "Chime Financial, Inc. Class A Common Stock",
   "sector": "Financial Services",
   "universe": "US large-cap common stocks",
   "price": 31.73,
   "market_cap": 12089736900,
   "fifty_two_week_low": 16.44,
   "pct_above_52_week_low": 93.0,
   "trailing_pe": null,
   "five_day_return_pct": 27.17,
   "roc_14d_pct": 45.42,
   "roc_21d_pct": 51.46,
   "rsi_14d": 77.75,
   "sma_20d": 24.21,
   "sma_50d": 21.01,
   "sma_200d": 21.53,
   "pct_vs_sma_20d": 31.07,
   "pct_vs_sma_50d": 51.05,
   "pct_vs_sma_200d": 47.38,
   "pct_off_52_week_high": 0.0,
   "avg_daily_volume_3m": 6211241,
   "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": [
    "Top 5-day performer",
    "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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 ],
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   [
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 },
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  "month": "2026-08",
  "formed_on": "2026-08-03",
  "rebalance": "monthly (first run of each calendar month)",
  "mom121_top25": [
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   "CIEN",
   "INTC",
   "HUT",
   "ARWR",
   "TSEM",
   "RVMD",
   "DOCN",
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   "TTMI",
   "AMD",
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  "mom121_values": {
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   "WDC": 7.4659,
   "MU": 7.0891,
   "LITE": 6.9607,
   "STX": 4.7014,
   "VSAT": 4.6084,
   "CIEN": 4.2735,
   "INTC": 4.267,
   "HUT": 4.2565,
   "ARWR": 4.22,
   "TSEM": 4.1638,
   "RVMD": 4.1298,
   "DOCN": 3.6442,
   "ALAB": 3.584,
   "NBIS": 3.2858,
   "ASX": 3.2276,
   "TER": 3.0256,
   "COHR": 2.8476,
   "TTMI": 2.84,
   "AMD": 2.8044,
   "GLW": 2.7829,
   "LRCX": 2.65,
   "MKSI": 2.6489,
   "ECHO": 2.579
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  "lowvol_quintile": [
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   "REG",
   "MPLX",
   "WBD",
   "ATO",
   "ET",
   "DUK",
   "AFL",
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   "WPC",
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   "CNP",
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   "NI",
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   "KIM",
   "ELS",
   "CMS",
   "CFR",
   "BNS",
   "DTE",
   "ENB",
   "PPL",
   "TRP",
   "SRE",
   "SO",
   "PEG",
   "SUI",
   "AEE",
   "WBS",
   "MCD",
   "KMI",
   "NLY",
   "AEP",
   "EQR",
   "MAA",
   "VICI",
   "CPT",
   "ARCC",
   "EPD",
   "HIG",
   "AMH",
   "BCE",
   "PFE",
   "COST",
   "PAA",
   "KO",
   "JNJ",
   "XEL",
   "AM",
   "INVH",
   "LIN",
   "SPG",
   "GL",
   "KVUE",
   "CB",
   "RSG",
   "PG",
   "GGG",
   "WM",
   "EXC",
   "MFC",
   "UDR",
   "RPRX",
   "TAK",
   "OHI",
   "LAMR",
   "ORI",
   "WES",
   "TJX",
   "D",
   "NVS",
   "CNI",
   "CHD",
   "MTB",
   "WTRG",
   "PNC",
   "BIP",
   "BAC",
   "YUM",
   "AGNC",
   "PLD",
   "ES",
   "PFG",
   "ETR",
   "DTM",
   "WRB",
   "CP",
   "PEP",
   "NEE",
   "FHN",
   "ACGL",
   "JPM",
   "AIG",
   "TRV",
   "NSC",
   "CL",
   "ITW",
   "WMB",
   "CINF",
   "ZTO",
   "EWBC",
   "V",
   "HST",
   "AWK",
   "UNM",
   "KEY",
   "BNY",
   "ONB",
   "EXR",
   "IBN",
   "ECL",
   "PRU",
   "USB",
   "CSX",
   "HLT",
   "LH",
   "APD",
   "SNY",
   "AME",
   "SSB",
   "MA",
   "OTIS",
   "MET",
   "RF",
   "VTR",
   "HLN",
   "AEG",
   "GD",
   "VZ",
   "UNP",
   "CVX",
   "PSA",
   "CCEP",
   "NGG",
   "SHEL",
   "WELL",
   "MDLZ",
   "PSO",
   "EIX",
   "STT",
   "DGX",
   "KMB",
   "ALL",
   "PCG",
   "TROW",
   "QSR",
   "NTRS",
   "FMX",
   "SEIC",
   "SFD",
   "AVY",
   "VLTO",
   "MDT",
   "CFG",
   "ADM",
   "TFC"
  ],
  "lowvol_n": 165,
  "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"
 },
 "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": "BSP",
    "sleeve": "momentum",
    "underlying": 53.44,
    "horizon_date": "2026-09-09",
    "sessions": 21,
    "expirations_used": [
     "2026-09-18",
     "2026-10-16",
     "2027-01-15",
     "2027-06-17"
    ],
    "target_move_pct": 26.94,
    "target_source": "implied 1-sigma expected move (IV at nearest strike $50 (-6.4%))",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 5,
    "n_contracts_affordable": 4,
    "n_spreads_affordable": 6,
    "min_leverage": 3.0,
    "n_dominated": 9,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 4 of 5 liquid calls fit, plus 6 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call",
      "symbol": "BSP260918C00050000",
      "expiry": "2026-09-18",
      "strike": 50.0,
      "label": "$50C",
      "bid": 6.8,
      "ask": 8.5,
      "mid": 7.65,
      "oi": 120,
      "wide": false,
      "volume": 10,
      "iv": 0.9558,
      "delta": 0.6527,
      "contract_size": 100.0,
      "cost_per_contract": 850.0,
      "breakeven_move_pct": 9.47,
      "return_if_target_pct": 111.2,
      "return_if_flat_pct": -39.5,
      "ev_return_pct": -11.8,
      "p_profit_pct": 34.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 4.13
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call",
      "symbol": "BSP260918C00050000",
      "expiry": "2026-09-18",
      "strike": 50.0,
      "label": "$50C",
      "bid": 6.8,
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      "oi": 120,
      "wide": false,
      "volume": 10,
      "iv": 0.9558,
      "delta": 0.6527,
      "contract_size": 100.0,
      "cost_per_contract": 850.0,
      "breakeven_move_pct": 9.47,
      "return_if_target_pct": 111.2,
      "return_if_flat_pct": -39.5,
      "ev_return_pct": -11.8,
      "p_profit_pct": 34.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 4.13
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call",
      "symbol": "BSP260918C00050000",
      "expiry": "2026-09-18",
      "strike": 50.0,
      "label": "$50C",
      "bid": 6.8,
      "ask": 8.5,
      "mid": 7.65,
      "oi": 120,
      "wide": false,
      "volume": 10,
      "iv": 0.9558,
      "delta": 0.6527,
      "contract_size": 100.0,
      "cost_per_contract": 850.0,
      "breakeven_move_pct": 9.47,
      "return_if_target_pct": 111.2,
      "return_if_flat_pct": -39.5,
      "ev_return_pct": -11.8,
      "p_profit_pct": 34.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 4.13
     }
    ],
    "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)",
     "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",
     "9 structure(s) hidden for returning under 3x the +26.9% 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": "TEAM",
    "sleeve": "momentum",
    "underlying": 154.08,
    "horizon_date": "2026-09-09",
    "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": 17.35,
    "target_source": "implied 1-sigma expected move (ATM IV interpolated $150/$155)",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 89,
    "n_contracts_affordable": 35,
    "n_spreads_affordable": 581,
    "min_leverage": 3.0,
    "n_dominated": 546,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 35 of 89 liquid calls fit, plus 581 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "TEAM260918C00160000/TEAM260918C00190000",
      "strike": 160.0,
      "short_strike": 190.0,
      "label": "$160/$190C",
      "width": 30.0,
      "max_value_per_contract": 3000.0,
      "max_profit_pct": 284.6,
      "bid": 6.0,
      "ask": 7.8,
      "mid": 6.9,
      "oi": 142,
      "volume": 24,
      "iv": 0.6059,
      "contract_size": 100.0,
      "delta": 0.2908,
      "cost_per_contract": 780.0,
      "short_leg_wide": true,
      "breakeven_move_pct": 8.9,
      "return_if_target_pct": 130.5,
      "return_if_flat_pct": -56.4,
      "ev_return_pct": 4.0,
      "p_profit_pct": 37.7,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 7.52
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "TEAM260918C00160000/TEAM260918C00200000",
      "strike": 160.0,
      "short_strike": 200.0,
      "label": "$160/$200C",
      "width": 40.0,
      "max_value_per_contract": 4000.0,
      "max_profit_pct": 357.1,
      "bid": 7.1,
      "ask": 8.75,
      "mid": 7.925,
      "oi": 1395,
      "volume": 83,
      "iv": 0.6059,
      "contract_size": 100.0,
      "delta": 0.3486,
      "cost_per_contract": 875.0,
      "short_leg_wide": true,
      "breakeven_move_pct": 9.52,
      "return_if_target_pct": 129.5,
      "return_if_flat_pct": -60.2,
      "ev_return_pct": 7.3,
      "p_profit_pct": 36.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 7.47
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "TEAM260918C00160000/TEAM260918C00195000",
      "strike": 160.0,
      "short_strike": 195.0,
      "label": "$160/$195C",
      "width": 35.0,
      "max_value_per_contract": 3500.0,
      "max_profit_pct": 316.7,
      "bid": 6.6,
      "ask": 8.4,
      "mid": 7.5,
      "oi": 124,
      "volume": 7,
      "iv": 0.6059,
      "contract_size": 100.0,
      "delta": 0.3217,
      "cost_per_contract": 840.0,
      "short_leg_wide": true,
      "breakeven_move_pct": 9.29,
      "return_if_target_pct": 129.0,
      "return_if_flat_pct": -58.8,
      "ev_return_pct": 5.0,
      "p_profit_pct": 36.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 7.44
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call",
      "symbol": "TEAM260918C00175000",
      "expiry": "2026-09-18",
      "strike": 175.0,
      "label": "$175C",
      "bid": 4.8,
      "ask": 5.8,
      "mid": 5.3,
      "oi": 952,
      "wide": false,
      "volume": 7,
      "iv": 0.6147,
      "delta": 0.3052,
      "contract_size": 100.0,
      "cost_per_contract": 580.0,
      "breakeven_move_pct": 17.34,
      "return_if_target_pct": 76.6,
      "return_if_flat_pct": -87.8,
      "ev_return_pct": 14.8,
      "p_profit_pct": 27.3,
      "max_loss": "100% of premium",
      "leverage_on_target": 4.42
     },
     {
      "kind": "call",
      "symbol": "TEAM260918C00160000",
      "expiry": "2026-09-18",
      "strike": 160.0,
      "label": "$160C",
      "bid": 9.3,
      "ask": 10.3,
      "mid": 9.8,
      "oi": 1395,
      "wide": false,
      "volume": 99,
      "iv": 0.6059,
      "delta": 0.4734,
      "contract_size": 100.0,
      "cost_per_contract": 1030.0,
      "breakeven_move_pct": 10.53,
      "return_if_target_pct": 110.7,
      "return_if_flat_pct": -65.9,
      "ev_return_pct": 13.9,
      "p_profit_pct": 33.1,
      "max_loss": "100% of premium",
      "leverage_on_target": 6.38
     },
     {
      "kind": "call",
      "symbol": "TEAM260918C00150000",
      "expiry": "2026-09-18",
      "strike": 150.0,
      "label": "$150C",
      "bid": 13.9,
      "ask": 14.7,
      "mid": 14.3,
      "oi": 3626,
      "wide": false,
      "volume": 93,
      "iv": 0.6001,
      "delta": 0.6029,
      "contract_size": 100.0,
      "cost_per_contract": 1470.0,
      "breakeven_move_pct": 6.89,
      "return_if_target_pct": 111.5,
      "return_if_flat_pct": -45.1,
      "ev_return_pct": 12.5,
      "p_profit_pct": 37.7,
      "max_loss": "100% of premium",
      "leverage_on_target": 6.43
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "TEAM260918C00130000/TEAM260918C00160000",
      "strike": 130.0,
      "short_strike": 160.0,
      "label": "$130/$160C",
      "width": 30.0,
      "max_value_per_contract": 3000.0,
      "max_profit_pct": 56.2,
      "bid": 16.5,
      "ask": 19.2,
      "mid": 17.85,
      "oi": 1395,
      "volume": 91,
      "iv": 0.606,
      "contract_size": 100.0,
      "delta": 0.358,
      "cost_per_contract": 1920.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -3.17,
      "return_if_target_pct": 52.2,
      "return_if_flat_pct": 8.8,
      "ev_return_pct": -5.1,
      "p_profit_pct": 54.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.01
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "TEAM260918C00130000/TEAM260918C00175000",
      "strike": 130.0,
      "short_strike": 175.0,
      "label": "$130/$175C",
      "width": 45.0,
      "max_value_per_contract": 4500.0,
      "max_profit_pct": 89.9,
      "bid": 21.0,
      "ask": 23.7,
      "mid": 22.35,
      "oi": 952,
      "volume": 7,
      "iv": 0.606,
      "contract_size": 100.0,
      "delta": 0.5262,
      "cost_per_contract": 2370.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -0.25,
      "return_if_target_pct": 71.7,
      "return_if_flat_pct": -0.0,
      "ev_return_pct": -1.7,
      "p_profit_pct": 50.8,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 4.13
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "TEAM260918C00130000/TEAM260918C00170000",
      "strike": 130.0,
      "short_strike": 170.0,
      "label": "$130/$170C",
      "width": 40.0,
      "max_value_per_contract": 4000.0,
      "max_profit_pct": 74.7,
      "bid": 19.3,
      "ask": 22.9,
      "mid": 21.1,
      "oi": 1470,
      "volume": 21,
      "iv": 0.606,
      "contract_size": 100.0,
      "delta": 0.4751,
      "cost_per_contract": 2290.0,
      "short_leg_wide": true,
      "breakeven_move_pct": -0.77,
      "return_if_target_pct": 63.1,
      "return_if_flat_pct": 1.1,
      "ev_return_pct": -4.6,
      "p_profit_pct": 50.8,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.64
     }
    ],
    "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 54 liquid call(s)",
     "190 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",
     "546 structure(s) hidden for returning under 3x the +17.3% 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"
    ]
   },
   {
    "ticker": "TWLO",
    "sleeve": "momentum",
    "underlying": 255.95,
    "horizon_date": "2026-09-09",
    "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": 14.44,
    "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": 65,
    "n_contracts_affordable": 12,
    "n_spreads_affordable": 85,
    "min_leverage": 3.0,
    "n_dominated": 68,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 12 of 65 liquid calls fit, plus 85 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": 233.3,
      "bid": 9.8,
      "ask": 12.0,
      "mid": 10.9,
      "oi": 286,
      "volume": 73,
      "iv": 0.5075,
      "contract_size": 100.0,
      "delta": 0.3099,
      "cost_per_contract": 1200.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 6.27,
      "return_if_target_pct": 126.8,
      "return_if_flat_pct": -48.2,
      "ev_return_pct": 9.6,
      "p_profit_pct": 40.9,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 8.78
     },
     {
      "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": 191.3,
      "bid": 8.2,
      "ask": 10.3,
      "mid": 9.25,
      "oi": 109,
      "volume": 75,
      "iv": 0.5075,
      "contract_size": 100.0,
      "delta": 0.2496,
      "cost_per_contract": 1030.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 5.61,
      "return_if_target_pct": 121.2,
      "return_if_flat_pct": -43.1,
      "ev_return_pct": 4.8,
      "p_profit_pct": 42.6,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 8.39
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "TWLO260918C00280000/TWLO260918C00300000",
      "strike": 280.0,
      "short_strike": 300.0,
      "label": "$280/$300C",
      "width": 20.0,
      "max_value_per_contract": 2000.0,
      "max_profit_pct": 316.7,
      "bid": 3.1,
      "ask": 4.8,
      "mid": 3.95,
      "oi": 131,
      "volume": 55,
      "iv": 0.5088,
      "contract_size": 100.0,
      "delta": 0.1332,
      "cost_per_contract": 480.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 11.27,
      "return_if_target_pct": 120.9,
      "return_if_flat_pct": -74.8,
      "ev_return_pct": 10.3,
      "p_profit_pct": 36.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 8.37
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call",
      "symbol": "TWLO260918C00290000",
      "expiry": "2026-09-18",
      "strike": 290.0,
      "label": "$290C",
      "bid": 5.7,
      "ask": 6.4,
      "mid": 6.050000000000001,
      "oi": 109,
      "wide": false,
      "volume": 103,
      "iv": 0.5114,
      "delta": 0.2533,
      "contract_size": 100.0,
      "cost_per_contract": 640.0,
      "breakeven_move_pct": 15.8,
      "return_if_target_pct": 72.0,
      "return_if_flat_pct": -90.9,
      "ev_return_pct": 65.3,
      "p_profit_pct": 28.7,
      "max_loss": "100% of premium",
      "leverage_on_target": 4.99
     },
     {
      "kind": "call",
      "symbol": "TWLO260918C00280000",
      "expiry": "2026-09-18",
      "strike": 280.0,
      "label": "$280C",
      "bid": 7.9,
      "ask": 8.8,
      "mid": 8.350000000000001,
      "oi": 131,
      "wide": false,
      "volume": 55,
      "iv": 0.5088,
      "delta": 0.3262,
      "contract_size": 100.0,
      "cost_per_contract": 880.0,
      "breakeven_move_pct": 12.83,
      "return_if_target_pct": 95.3,
      "return_if_flat_pct": -83.7,
      "ev_return_pct": 53.6,
      "p_profit_pct": 31.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 6.6
     },
     {
      "kind": "call",
      "symbol": "TWLO260918C00260000",
      "expiry": "2026-09-18",
      "strike": 260.0,
      "label": "$260C",
      "bid": 14.6,
      "ask": 16.0,
      "mid": 15.3,
      "oi": 286,
      "wide": false,
      "volume": 75,
      "iv": 0.5075,
      "delta": 0.5029,
      "contract_size": 100.0,
      "cost_per_contract": 1600.0,
      "breakeven_move_pct": 7.83,
      "return_if_target_pct": 111.2,
      "return_if_flat_pct": -59.8,
      "ev_return_pct": 33.6,
      "p_profit_pct": 37.7,
      "max_loss": "100% of premium",
      "leverage_on_target": 7.7
     }
    ],
    "top_by_p_profit": [
     {
      "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": 49.3,
      "bid": 16.1,
      "ask": 20.1,
      "mid": 18.1,
      "oi": 286,
      "volume": 5,
      "iv": 0.5366,
      "contract_size": 100.0,
      "delta": 0.2663,
      "cost_per_contract": 2010.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -2.29,
      "return_if_target_pct": 46.0,
      "return_if_flat_pct": 3.0,
      "ev_return_pct": -12.4,
      "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/TWLO260918C00280000",
      "strike": 230.0,
      "short_strike": 280.0,
      "label": "$230/$280C",
      "width": 50.0,
      "max_value_per_contract": 5000.0,
      "max_profit_pct": 86.6,
      "bid": 23.3,
      "ask": 26.8,
      "mid": 25.05,
      "oi": 131,
      "volume": 5,
      "iv": 0.5366,
      "contract_size": 100.0,
      "delta": 0.443,
      "cost_per_contract": 2680.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 0.33,
      "return_if_target_pct": 71.5,
      "return_if_flat_pct": -4.1,
      "ev_return_pct": -5.0,
      "p_profit_pct": 49.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 4.95
     },
     {
      "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": 106.9,
      "bid": 25.7,
      "ask": 29.0,
      "mid": 27.35,
      "oi": 109,
      "volume": 5,
      "iv": 0.5366,
      "contract_size": 100.0,
      "delta": 0.5159,
      "cost_per_contract": 2900.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 1.19,
      "return_if_target_pct": 79.8,
      "return_if_flat_pct": -8.4,
      "ev_return_pct": -2.1,
      "p_profit_pct": 47.5,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 5.53
     }
    ],
    "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)",
     "68 structure(s) hidden for returning under 3x the +14.4% 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": "P",
    "sleeve": "momentum",
    "underlying": 109.38,
    "horizon_date": "2026-09-09",
    "sessions": 21,
    "expirations_used": [
     "2026-09-18",
     "2026-11-20",
     "2027-01-15",
     "2027-02-19",
     "2027-06-17"
    ],
    "target_move_pct": 22.82,
    "target_source": "implied 1-sigma expected move (ATM IV interpolated $105/$110)",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 42,
    "n_contracts_affordable": 25,
    "n_spreads_affordable": 208,
    "min_leverage": 3.0,
    "n_dominated": 210,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 25 of 42 liquid calls fit, plus 208 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call",
      "symbol": "P260918C00110000",
      "expiry": "2026-09-18",
      "strike": 110.0,
      "label": "$110C",
      "bid": 10.7,
      "ask": 11.5,
      "mid": 11.1,
      "oi": 279,
      "wide": false,
      "volume": 376,
      "iv": 0.8095,
      "delta": 0.5421,
      "contract_size": 100.0,
      "cost_per_contract": 1150.0,
      "breakeven_move_pct": 11.08,
      "return_if_target_pct": 115.9,
      "return_if_flat_pct": -53.9,
      "ev_return_pct": -7.2,
      "p_profit_pct": 33.1,
      "max_loss": "100% of premium",
      "leverage_on_target": 5.08
     },
     {
      "kind": "call",
      "symbol": "P260918C00115000",
      "expiry": "2026-09-18",
      "strike": 115.0,
      "label": "$115C",
      "bid": 8.7,
      "ask": 9.5,
      "mid": 9.1,
      "oi": 404,
      "wide": false,
      "volume": 40,
      "iv": 0.8123,
      "delta": 0.4734,
      "contract_size": 100.0,
      "cost_per_contract": 950.0,
      "breakeven_move_pct": 13.82,
      "return_if_target_pct": 113.7,
      "return_if_flat_pct": -64.6,
      "ev_return_pct": -10.7,
      "p_profit_pct": 30.1,
      "max_loss": "100% of premium",
      "leverage_on_target": 4.98
     },
     {
      "kind": "call",
      "symbol": "P260918C00105000",
      "expiry": "2026-09-18",
      "strike": 105.0,
      "label": "$105C",
      "bid": 13.1,
      "ask": 13.9,
      "mid": 13.5,
      "oi": 132,
      "wide": false,
      "volume": 207,
      "iv": 0.8116,
      "delta": 0.6125,
      "contract_size": 100.0,
      "cost_per_contract": 1390.0,
      "breakeven_move_pct": 8.7,
      "return_if_target_pct": 112.9,
      "return_if_flat_pct": -42.6,
      "ev_return_pct": -4.5,
      "p_profit_pct": 36.2,
      "max_loss": "100% of premium",
      "leverage_on_target": 4.95
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call",
      "symbol": "P261120C00090000",
      "expiry": "2026-11-20",
      "strike": 90.0,
      "label": "$90C",
      "bid": 25.7,
      "ask": 27.6,
      "mid": 26.65,
      "oi": 534,
      "wide": false,
      "volume": 9,
      "iv": 0.7105,
      "delta": 0.7606,
      "contract_size": 100.0,
      "cost_per_contract": 2760.0,
      "breakeven_move_pct": 7.52,
      "return_if_target_pct": 69.0,
      "return_if_flat_pct": -9.6,
      "ev_return_pct": 1.9,
      "p_profit_pct": 44.2,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.02
     },
     {
      "kind": "call",
      "symbol": "P260918C00085000",
      "expiry": "2026-09-18",
      "strike": 85.0,
      "label": "$85C",
      "bid": 26.1,
      "ask": 27.2,
      "mid": 26.65,
      "oi": 1068,
      "wide": false,
      "volume": 4,
      "iv": 0.8156,
      "delta": 0.8653,
      "contract_size": 100.0,
      "cost_per_contract": 2720.0,
      "breakeven_move_pct": 2.58,
      "return_if_target_pct": 81.7,
      "return_if_flat_pct": -9.7,
      "ev_return_pct": 1.7,
      "p_profit_pct": 44.2,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.58
     },
     {
      "kind": "call",
      "symbol": "P261120C00095000",
      "expiry": "2026-11-20",
      "strike": 95.0,
      "label": "$95C",
      "bid": 22.3,
      "ask": 24.5,
      "mid": 23.4,
      "oi": 337,
      "wide": false,
      "volume": 4,
      "iv": 0.7014,
      "delta": 0.714,
      "contract_size": 100.0,
      "cost_per_contract": 2450.0,
      "breakeven_move_pct": 9.25,
      "return_if_target_pct": 72.7,
      "return_if_flat_pct": -12.0,
      "ev_return_pct": 1.5,
      "p_profit_pct": 42.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.19
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "P260918C00095000/P260918C00115000",
      "strike": 95.0,
      "short_strike": 115.0,
      "label": "$95/$115C",
      "width": 20.0,
      "max_value_per_contract": 2000.0,
      "max_profit_pct": 78.6,
      "bid": 8.9,
      "ask": 11.2,
      "mid": 10.05,
      "oi": 369,
      "volume": 27,
      "iv": 0.7958,
      "contract_size": 100.0,
      "delta": 0.2762,
      "cost_per_contract": 1120.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -2.91,
      "return_if_target_pct": 71.0,
      "return_if_flat_pct": 6.4,
      "ev_return_pct": -0.3,
      "p_profit_pct": 52.5,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.11
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "P260918C00100000/P260918C00115000",
      "strike": 100.0,
      "short_strike": 115.0,
      "label": "$100/$115C",
      "width": 15.0,
      "max_value_per_contract": 1500.0,
      "max_profit_pct": 92.3,
      "bid": 5.5,
      "ask": 7.8,
      "mid": 6.65,
      "oi": 404,
      "volume": 40,
      "iv": 0.7733,
      "contract_size": 100.0,
      "delta": 0.2091,
      "cost_per_contract": 780.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -1.44,
      "return_if_target_pct": 81.8,
      "return_if_flat_pct": -0.2,
      "ev_return_pct": -1.7,
      "p_profit_pct": 50.8,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.58
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "P260918C00105000/P260918C00115000",
      "strike": 105.0,
      "short_strike": 115.0,
      "label": "$105/$115C",
      "width": 10.0,
      "max_value_per_contract": 1000.0,
      "max_profit_pct": 92.3,
      "bid": 3.6,
      "ask": 5.2,
      "mid": 4.4,
      "oi": 132,
      "volume": 40,
      "iv": 0.8116,
      "contract_size": 100.0,
      "delta": 0.1391,
      "cost_per_contract": 520.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 0.75,
      "return_if_target_pct": 78.8,
      "return_if_flat_pct": -11.3,
      "ev_return_pct": -8.0,
      "p_profit_pct": 45.9,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.45
     }
    ],
    "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 17 liquid call(s)",
     "10 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",
     "210 structure(s) hidden for returning under 3x the +22.8% 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": "CHYM",
    "sleeve": "momentum",
    "underlying": 31.73,
    "horizon_date": "2026-09-09",
    "sessions": 21,
    "expirations_used": [
     "2026-09-18",
     "2026-12-18",
     "2027-01-15",
     "2027-03-19"
    ],
    "target_move_pct": 15.66,
    "target_source": "implied 1-sigma expected move (ATM IV interpolated $30/$32.5)",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 29,
    "n_contracts_affordable": 29,
    "n_spreads_affordable": 113,
    "min_leverage": 3.0,
    "n_dominated": 126,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 29 of 29 liquid calls fit, plus 113 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "CHYM260918C00032500/CHYM260918C00037500",
      "strike": 32.5,
      "short_strike": 37.5,
      "label": "$32.5/$37.5C",
      "width": 5.0,
      "max_value_per_contract": 500.0,
      "max_profit_pct": 212.5,
      "bid": 1.1,
      "ask": 1.6,
      "mid": 1.35,
      "oi": 133,
      "volume": 11,
      "iv": 0.5498,
      "contract_size": 100.0,
      "delta": 0.303,
      "cost_per_contract": 160.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 7.47,
      "return_if_target_pct": 112.9,
      "return_if_flat_pct": -53.5,
      "ev_return_pct": -0.9,
      "p_profit_pct": 37.7,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 7.21
     },
     {
      "kind": "call",
      "symbol": "CHYM260918C00032500",
      "expiry": "2026-09-18",
      "strike": 32.5,
      "label": "$32.5C",
      "bid": 1.75,
      "ask": 2.1,
      "mid": 1.925,
      "oi": 1640,
      "wide": false,
      "volume": 979,
      "iv": 0.5498,
      "delta": 0.4855,
      "contract_size": 100.0,
      "cost_per_contract": 210.0,
      "breakeven_move_pct": 9.05,
      "return_if_target_pct": 106.5,
      "return_if_flat_pct": -63.1,
      "ev_return_pct": 22.0,
      "p_profit_pct": 34.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 6.8
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "CHYM260918C00035000/CHYM260918C00037500",
      "strike": 35.0,
      "short_strike": 37.5,
      "label": "$35/$37.5C",
      "width": 2.5,
      "max_value_per_contract": 250.0,
      "max_profit_pct": 257.1,
      "bid": 0.4,
      "ask": 0.7,
      "mid": 0.55,
      "oi": 133,
      "volume": 11,
      "iv": 0.5595,
      "contract_size": 100.0,
      "delta": 0.1362,
      "cost_per_contract": 70.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 12.51,
      "return_if_target_pct": 97.0,
      "return_if_flat_pct": -76.0,
      "ev_return_pct": -7.5,
      "p_profit_pct": 33.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 6.19
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call",
      "symbol": "CHYM260918C00035000",
      "expiry": "2026-09-18",
      "strike": 35.0,
      "label": "$35C",
      "bid": 1.05,
      "ask": 1.2,
      "mid": 1.125,
      "oi": 1224,
      "wide": false,
      "volume": 119,
      "iv": 0.5595,
      "delta": 0.3187,
      "contract_size": 100.0,
      "cost_per_contract": 120.0,
      "breakeven_move_pct": 14.09,
      "return_if_target_pct": 92.4,
      "return_if_flat_pct": -83.4,
      "ev_return_pct": 35.4,
      "p_profit_pct": 30.1,
      "max_loss": "100% of premium",
      "leverage_on_target": 5.9
     },
     {
      "kind": "call",
      "symbol": "CHYM260918C00032500",
      "expiry": "2026-09-18",
      "strike": 32.5,
      "label": "$32.5C",
      "bid": 1.75,
      "ask": 2.1,
      "mid": 1.925,
      "oi": 1640,
      "wide": false,
      "volume": 979,
      "iv": 0.5498,
      "delta": 0.4855,
      "contract_size": 100.0,
      "cost_per_contract": 210.0,
      "breakeven_move_pct": 9.05,
      "return_if_target_pct": 106.5,
      "return_if_flat_pct": -63.1,
      "ev_return_pct": 22.0,
      "p_profit_pct": 34.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 6.8
     },
     {
      "kind": "call",
      "symbol": "CHYM260918C00030000",
      "expiry": "2026-09-18",
      "strike": 30.0,
      "label": "$30C",
      "bid": 3.0,
      "ask": 3.5,
      "mid": 3.25,
      "oi": 3859,
      "wide": false,
      "volume": 30,
      "iv": 0.569,
      "delta": 0.6563,
      "contract_size": 100.0,
      "cost_per_contract": 350.0,
      "breakeven_move_pct": 5.58,
      "return_if_target_pct": 92.6,
      "return_if_flat_pct": -37.3,
      "ev_return_pct": 11.1,
      "p_profit_pct": 39.3,
      "max_loss": "100% of premium",
      "leverage_on_target": 5.91
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "CHYM260918C00027500/CHYM260918C00035000",
      "strike": 27.5,
      "short_strike": 35.0,
      "label": "$27.5/$35C",
      "width": 7.5,
      "max_value_per_contract": 750.0,
      "max_profit_pct": 68.5,
      "bid": 3.5,
      "ask": 4.45,
      "mid": 3.975,
      "oi": 1224,
      "volume": 15,
      "iv": 0.621,
      "contract_size": 100.0,
      "delta": 0.4829,
      "cost_per_contract": 445.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 0.69,
      "return_if_target_pct": 55.5,
      "return_if_flat_pct": -6.8,
      "ev_return_pct": -10.3,
      "p_profit_pct": 47.5,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.54
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "CHYM260918C00027500/CHYM260918C00037500",
      "strike": 27.5,
      "short_strike": 37.5,
      "label": "$27.5/$37.5C",
      "width": 10.0,
      "max_value_per_contract": 1000.0,
      "max_profit_pct": 100.0,
      "bid": 4.05,
      "ask": 5.0,
      "mid": 4.525,
      "oi": 133,
      "volume": 11,
      "iv": 0.621,
      "contract_size": 100.0,
      "delta": 0.6191,
      "cost_per_contract": 500.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 2.43,
      "return_if_target_pct": 66.0,
      "return_if_flat_pct": -13.7,
      "ev_return_pct": -7.2,
      "p_profit_pct": 45.9,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 4.21
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "CHYM260918C00030000/CHYM260918C00035000",
      "strike": 30.0,
      "short_strike": 35.0,
      "label": "$30/$35C",
      "width": 5.0,
      "max_value_per_contract": 500.0,
      "max_profit_pct": 104.1,
      "bid": 1.8,
      "ask": 2.45,
      "mid": 2.125,
      "oi": 1224,
      "volume": 30,
      "iv": 0.569,
      "contract_size": 100.0,
      "delta": 0.3376,
      "cost_per_contract": 245.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 2.27,
      "return_if_target_pct": 80.9,
      "return_if_flat_pct": -18.5,
      "ev_return_pct": -7.5,
      "p_profit_pct": 45.9,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 5.16
     }
    ],
    "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)",
     "30 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",
     "126 structure(s) hidden for returning under 3x the +15.7% 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": "U",
    "sleeve": "momentum",
    "underlying": 43.87,
    "horizon_date": "2026-09-09",
    "sessions": 21,
    "expirations_used": [
     "2026-09-18",
     "2026-11-20",
     "2027-01-15",
     "2027-02-19",
     "2027-05-21"
    ],
    "target_move_pct": 16.1,
    "target_source": "implied 1-sigma expected move (ATM IV interpolated $42/$45)",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 75,
    "n_contracts_affordable": 73,
    "n_spreads_affordable": 535,
    "min_leverage": 3.0,
    "n_dominated": 564,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 73 of 75 liquid calls fit, plus 535 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": 180.9,
      "bid": 1.45,
      "ask": 1.78,
      "mid": 1.615,
      "oi": 1802,
      "volume": 234,
      "iv": 0.5715,
      "contract_size": 100.0,
      "delta": 0.2102,
      "cost_per_contract": 178.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 6.63,
      "return_if_target_pct": 111.7,
      "return_if_flat_pct": -46.3,
      "ev_return_pct": -3.0,
      "p_profit_pct": 39.3,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 6.94
     },
     {
      "kind": "call",
      "symbol": "U260918C00045000",
      "expiry": "2026-09-18",
      "strike": 45.0,
      "label": "$45C",
      "bid": 2.81,
      "ask": 2.99,
      "mid": 2.9000000000000004,
      "oi": 4567,
      "wide": false,
      "volume": 234,
      "iv": 0.5715,
      "delta": 0.487,
      "contract_size": 100.0,
      "cost_per_contract": 299.0,
      "breakeven_move_pct": 9.39,
      "return_if_target_pct": 105.3,
      "return_if_flat_pct": -63.0,
      "ev_return_pct": 18.4,
      "p_profit_pct": 34.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 6.54
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "U260918C00042000/U260918C00050000",
      "strike": 42.0,
      "short_strike": 50.0,
      "label": "$42/$50C",
      "width": 8.0,
      "max_value_per_contract": 800.0,
      "max_profit_pct": 146.9,
      "bid": 2.64,
      "ask": 3.24,
      "mid": 2.94,
      "oi": 129,
      "volume": 10,
      "iv": 0.5708,
      "contract_size": 100.0,
      "delta": 0.3562,
      "cost_per_contract": 324.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 3.12,
      "return_if_target_pct": 104.5,
      "return_if_flat_pct": -22.0,
      "ev_return_pct": 0.6,
      "p_profit_pct": 44.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 6.49
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call",
      "symbol": "U260918C00050000",
      "expiry": "2026-09-18",
      "strike": 50.0,
      "label": "$50C",
      "bid": 1.21,
      "ask": 1.36,
      "mid": 1.2850000000000001,
      "oi": 1802,
      "wide": false,
      "volume": 323,
      "iv": 0.5816,
      "delta": 0.2768,
      "contract_size": 100.0,
      "cost_per_contract": 136.0,
      "breakeven_move_pct": 17.07,
      "return_if_target_pct": 74.3,
      "return_if_flat_pct": -89.0,
      "ev_return_pct": 33.2,
      "p_profit_pct": 27.3,
      "max_loss": "100% of premium",
      "leverage_on_target": 4.61
     },
     {
      "kind": "call",
      "symbol": "U260918C00045000",
      "expiry": "2026-09-18",
      "strike": 45.0,
      "label": "$45C",
      "bid": 2.81,
      "ask": 2.99,
      "mid": 2.9000000000000004,
      "oi": 4567,
      "wide": false,
      "volume": 234,
      "iv": 0.5715,
      "delta": 0.487,
      "contract_size": 100.0,
      "cost_per_contract": 299.0,
      "breakeven_move_pct": 9.39,
      "return_if_target_pct": 105.3,
      "return_if_flat_pct": -63.0,
      "ev_return_pct": 18.4,
      "p_profit_pct": 34.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 6.54
     },
     {
      "kind": "call",
      "symbol": "U260918C00042000",
      "expiry": "2026-09-18",
      "strike": 42.0,
      "label": "$42C",
      "bid": 4.0,
      "ask": 4.45,
      "mid": 4.225,
      "oi": 129,
      "wide": false,
      "volume": 10,
      "iv": 0.5708,
      "delta": 0.633,
      "contract_size": 100.0,
      "cost_per_contract": 445.0,
      "breakeven_move_pct": 5.88,
      "return_if_target_pct": 102.2,
      "return_if_flat_pct": -39.9,
      "ev_return_pct": 14.0,
      "p_profit_pct": 39.3,
      "max_loss": "100% of premium",
      "leverage_on_target": 6.35
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "U260918C00037000/U260918C00045000",
      "strike": 37.0,
      "short_strike": 45.0,
      "label": "$37/$45C",
      "width": 8.0,
      "max_value_per_contract": 800.0,
      "max_profit_pct": 55.6,
      "bid": 3.56,
      "ask": 5.14,
      "mid": 4.35,
      "oi": 379,
      "volume": 1,
      "iv": 0.699,
      "contract_size": 100.0,
      "delta": 0.349,
      "cost_per_contract": 514.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -3.94,
      "return_if_target_pct": 52.4,
      "return_if_flat_pct": 15.1,
      "ev_return_pct": -1.3,
      "p_profit_pct": 57.4,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.25
     },
     {
      "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": 59.5,
      "bid": 3.31,
      "ask": 4.39,
      "mid": 3.85,
      "oi": 140,
      "volume": 2,
      "iv": 0.5347,
      "contract_size": 100.0,
      "delta": 0.3163,
      "cost_per_contract": 439.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -3.37,
      "return_if_target_pct": 55.6,
      "return_if_flat_pct": 10.7,
      "ev_return_pct": -5.0,
      "p_profit_pct": 54.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.45
     },
     {
      "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": 69.5,
      "bid": 7.29,
      "ask": 9.44,
      "mid": 8.365,
      "oi": 169,
      "volume": 0,
      "iv": 0.7483,
      "contract_size": 100.0,
      "delta": 0.635,
      "cost_per_contract": 944.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -0.98,
      "return_if_target_pct": 54.6,
      "return_if_flat_pct": 3.6,
      "ev_return_pct": -1.3,
      "p_profit_pct": 52.5,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.39
     }
    ],
    "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 2 liquid call(s)",
     "25 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",
     "564 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": "SHOP",
    "sleeve": "momentum",
    "underlying": 152.61,
    "horizon_date": "2026-09-09",
    "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": 12.9,
    "target_source": "implied 1-sigma expected move (ATM IV interpolated $150/$155)",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 141,
    "n_contracts_affordable": 70,
    "n_spreads_affordable": 986,
    "min_leverage": 3.0,
    "n_dominated": 773,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 70 of 141 liquid calls fit, plus 986 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SHOP260918C00160000/SHOP260918C00175000",
      "strike": 160.0,
      "short_strike": 175.0,
      "label": "$160/$175C",
      "width": 15.0,
      "max_value_per_contract": 1500.0,
      "max_profit_pct": 275.0,
      "bid": 3.2,
      "ask": 4.0,
      "mid": 3.6,
      "oi": 44306,
      "volume": 57,
      "iv": 0.4534,
      "contract_size": 100.0,
      "delta": 0.2022,
      "cost_per_contract": 400.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 7.46,
      "return_if_target_pct": 137.8,
      "return_if_flat_pct": -60.2,
      "ev_return_pct": 19.5,
      "p_profit_pct": 39.3,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 10.68
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SHOP260918C00155000/SHOP260918C00175000",
      "strike": 155.0,
      "short_strike": 175.0,
      "label": "$155/$175C",
      "width": 20.0,
      "max_value_per_contract": 2000.0,
      "max_profit_pct": 230.6,
      "bid": 4.9,
      "ask": 6.05,
      "mid": 5.475,
      "oi": 1545,
      "volume": 57,
      "iv": 0.45,
      "contract_size": 100.0,
      "delta": 0.2888,
      "cost_per_contract": 605.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 5.53,
      "return_if_target_pct": 130.5,
      "return_if_flat_pct": -47.6,
      "ev_return_pct": 14.8,
      "p_profit_pct": 42.6,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 10.12
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SHOP260918C00160000/SHOP260918C00180000",
      "strike": 160.0,
      "short_strike": 180.0,
      "label": "$160/$180C",
      "width": 20.0,
      "max_value_per_contract": 2000.0,
      "max_profit_pct": 312.4,
      "bid": 3.54,
      "ask": 4.85,
      "mid": 4.195,
      "oi": 771,
      "volume": 7,
      "iv": 0.4534,
      "contract_size": 100.0,
      "delta": 0.2498,
      "cost_per_contract": 485.0,
      "short_leg_wide": true,
      "breakeven_move_pct": 8.02,
      "return_if_target_pct": 128.9,
      "return_if_flat_pct": -65.5,
      "ev_return_pct": 21.1,
      "p_profit_pct": 39.3,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 9.99
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call",
      "symbol": "SHOP260918C00175000",
      "expiry": "2026-09-18",
      "strike": 175.0,
      "label": "$175C",
      "bid": 2.25,
      "ask": 2.45,
      "mid": 2.35,
      "oi": 44306,
      "wide": false,
      "volume": 57,
      "iv": 0.4593,
      "delta": 0.1995,
      "contract_size": 100.0,
      "cost_per_contract": 245.0,
      "breakeven_move_pct": 16.28,
      "return_if_target_pct": 56.2,
      "return_if_flat_pct": -94.5,
      "ev_return_pct": 128.7,
      "p_profit_pct": 30.1,
      "max_loss": "100% of premium",
      "leverage_on_target": 4.36
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SHOP260918C00175000/SHOP260918C00250000",
      "strike": 175.0,
      "short_strike": 250.0,
      "label": "$175/$250C",
      "width": 75.0,
      "max_value_per_contract": 7500.0,
      "max_profit_pct": 2999.2,
      "bid": 2.19,
      "ask": 2.42,
      "mid": 2.305,
      "oi": 345,
      "volume": 10,
      "iv": 0.4593,
      "contract_size": 100.0,
      "delta": 0.1985,
      "cost_per_contract": 242.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 16.26,
      "return_if_target_pct": 58.1,
      "return_if_flat_pct": -94.4,
      "ev_return_pct": 125.4,
      "p_profit_pct": 30.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 4.5
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SHOP260918C00175000/SHOP260918C00240000",
      "strike": 175.0,
      "short_strike": 240.0,
      "label": "$175/$240C",
      "width": 65.0,
      "max_value_per_contract": 6500.0,
      "max_profit_pct": 2586.0,
      "bid": 2.02,
      "ask": 2.42,
      "mid": 2.22,
      "oi": 208,
      "volume": 0,
      "iv": 0.4593,
      "contract_size": 100.0,
      "delta": 0.1972,
      "cost_per_contract": 242.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 16.26,
      "return_if_target_pct": 58.1,
      "return_if_flat_pct": -94.4,
      "ev_return_pct": 120.8,
      "p_profit_pct": 30.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 4.5
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SHOP260918C00125000/SHOP260918C00160000",
      "strike": 125.0,
      "short_strike": 160.0,
      "label": "$125/$160C",
      "width": 35.0,
      "max_value_per_contract": 3500.0,
      "max_profit_pct": 45.8,
      "bid": 21.55,
      "ask": 24.0,
      "mid": 22.775,
      "oi": 2441,
      "volume": 24,
      "iv": 0.5756,
      "contract_size": 100.0,
      "delta": 0.5057,
      "cost_per_contract": 2400.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -2.37,
      "return_if_target_pct": 42.0,
      "return_if_flat_pct": 8.6,
      "ev_return_pct": -7.3,
      "p_profit_pct": 54.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.26
     },
     {
      "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": 53.6,
      "bid": 23.15,
      "ask": 26.05,
      "mid": 24.6,
      "oi": 1205,
      "volume": 24,
      "iv": 0.5756,
      "contract_size": 100.0,
      "delta": 0.583,
      "cost_per_contract": 2605.0,
      "short_leg_wide": true,
      "breakeven_move_pct": -1.02,
      "return_if_target_pct": 46.4,
      "return_if_flat_pct": 3.9,
      "ev_return_pct": -7.2,
      "p_profit_pct": 52.5,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.6
     },
     {
      "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": 49.3,
      "bid": 17.6,
      "ask": 20.1,
      "mid": 18.85,
      "oi": 2698,
      "volume": 22,
      "iv": 0.5098,
      "contract_size": 100.0,
      "delta": 0.4676,
      "cost_per_contract": 2010.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -1.64,
      "return_if_target_pct": 44.7,
      "return_if_flat_pct": 5.0,
      "ev_return_pct": -10.1,
      "p_profit_pct": 52.5,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.47
     }
    ],
    "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 71 liquid call(s)",
     "291 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",
     "773 structure(s) hidden for returning under 3x the +12.9% 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": "ABNB",
    "sleeve": "momentum",
    "underlying": 184.98,
    "horizon_date": "2026-09-09",
    "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": 9.56,
    "target_source": "implied 1-sigma expected move (ATM IV interpolated $180/$185)",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 76,
    "n_contracts_affordable": 34,
    "n_spreads_affordable": 302,
    "min_leverage": 3.0,
    "n_dominated": 227,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 34 of 76 liquid calls fit, plus 302 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call",
      "symbol": "ABNB260918C00190000",
      "expiry": "2026-09-18",
      "strike": 190.0,
      "label": "$190C",
      "bid": 5.25,
      "ask": 5.55,
      "mid": 5.4,
      "oi": 599,
      "wide": false,
      "volume": 74,
      "iv": 0.3216,
      "delta": 0.4047,
      "contract_size": 100.0,
      "cost_per_contract": 555.0,
      "breakeven_move_pct": 5.71,
      "return_if_target_pct": 139.7,
      "return_if_flat_pct": -66.8,
      "ev_return_pct": 148.2,
      "p_profit_pct": 40.9,
      "max_loss": "100% of premium",
      "leverage_on_target": 14.61
     },
     {
      "kind": "call",
      "symbol": "ABNB260918C00195000",
      "expiry": "2026-09-18",
      "strike": 195.0,
      "label": "$195C",
      "bid": 3.5,
      "ask": 3.85,
      "mid": 3.675,
      "oi": 276,
      "wide": false,
      "volume": 63,
      "iv": 0.3171,
      "delta": 0.2986,
      "contract_size": 100.0,
      "cost_per_contract": 385.0,
      "breakeven_move_pct": 7.5,
      "return_if_target_pct": 135.2,
      "return_if_flat_pct": -81.0,
      "ev_return_pct": 203.1,
      "p_profit_pct": 39.3,
      "max_loss": "100% of premium",
      "leverage_on_target": 14.14
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "ABNB260918C00190000/ABNB260918C00210000",
      "strike": 190.0,
      "short_strike": 210.0,
      "label": "$190/$210C",
      "width": 20.0,
      "max_value_per_contract": 2000.0,
      "max_profit_pct": 286.8,
      "bid": 4.15,
      "ask": 5.17,
      "mid": 4.66,
      "oi": 128,
      "volume": 21,
      "iv": 0.3216,
      "contract_size": 100.0,
      "delta": 0.3269,
      "cost_per_contract": 517.0,
      "short_leg_wide": true,
      "breakeven_move_pct": 5.51,
      "return_if_target_pct": 134.3,
      "return_if_flat_pct": -64.5,
      "ev_return_pct": 35.3,
      "p_profit_pct": 42.6,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 14.05
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call",
      "symbol": "ABNB260918C00195000",
      "expiry": "2026-09-18",
      "strike": 195.0,
      "label": "$195C",
      "bid": 3.5,
      "ask": 3.85,
      "mid": 3.675,
      "oi": 276,
      "wide": false,
      "volume": 63,
      "iv": 0.3171,
      "delta": 0.2986,
      "contract_size": 100.0,
      "cost_per_contract": 385.0,
      "breakeven_move_pct": 7.5,
      "return_if_target_pct": 135.2,
      "return_if_flat_pct": -81.0,
      "ev_return_pct": 203.1,
      "p_profit_pct": 39.3,
      "max_loss": "100% of premium",
      "leverage_on_target": 14.14
     },
     {
      "kind": "call",
      "symbol": "ABNB260918C00190000",
      "expiry": "2026-09-18",
      "strike": 190.0,
      "label": "$190C",
      "bid": 5.25,
      "ask": 5.55,
      "mid": 5.4,
      "oi": 599,
      "wide": false,
      "volume": 74,
      "iv": 0.3216,
      "delta": 0.4047,
      "contract_size": 100.0,
      "cost_per_contract": 555.0,
      "breakeven_move_pct": 5.71,
      "return_if_target_pct": 139.7,
      "return_if_flat_pct": -66.8,
      "ev_return_pct": 148.2,
      "p_profit_pct": 40.9,
      "max_loss": "100% of premium",
      "leverage_on_target": 14.61
     },
     {
      "kind": "call",
      "symbol": "ABNB261016C00200000",
      "expiry": "2026-10-16",
      "strike": 200.0,
      "label": "$200C",
      "bid": 4.35,
      "ask": 4.75,
      "mid": 4.55,
      "oi": 267,
      "wide": false,
      "volume": 71,
      "iv": 0.3169,
      "delta": 0.2944,
      "contract_size": 100.0,
      "cost_per_contract": 475.0,
      "breakeven_move_pct": 10.69,
      "return_if_target_pct": 109.2,
      "return_if_flat_pct": -45.0,
      "ev_return_pct": 141.1,
      "p_profit_pct": 42.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 11.42
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "ABNB260918C00165000/ABNB260918C00195000",
      "strike": 165.0,
      "short_strike": 195.0,
      "label": "$165/$195C",
      "width": 30.0,
      "max_value_per_contract": 3000.0,
      "max_profit_pct": 53.1,
      "bid": 16.8,
      "ask": 19.6,
      "mid": 18.2,
      "oi": 276,
      "volume": 55,
      "iv": 0.4063,
      "contract_size": 100.0,
      "delta": 0.5652,
      "cost_per_contract": 1960.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -0.21,
      "return_if_target_pct": 46.8,
      "return_if_flat_pct": -0.2,
      "ev_return_pct": -13.6,
      "p_profit_pct": 50.8,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 4.9
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "ABNB260918C00155000/ABNB260918C00195000",
      "strike": 155.0,
      "short_strike": 195.0,
      "label": "$155/$195C",
      "width": 40.0,
      "max_value_per_contract": 4000.0,
      "max_profit_pct": 35.4,
      "bid": 26.15,
      "ask": 29.55,
      "mid": 27.85,
      "oi": 276,
      "volume": 12,
      "iv": 0.5405,
      "contract_size": 100.0,
      "delta": 0.6496,
      "cost_per_contract": 2955.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -0.23,
      "return_if_target_pct": 31.2,
      "return_if_flat_pct": -0.2,
      "ev_return_pct": -15.6,
      "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": "ABNB260918C00165000/ABNB260918C00190000",
      "strike": 165.0,
      "short_strike": 190.0,
      "label": "$165/$190C",
      "width": 25.0,
      "max_value_per_contract": 2500.0,
      "max_profit_pct": 40.1,
      "bid": 15.1,
      "ask": 17.85,
      "mid": 16.475,
      "oi": 599,
      "volume": 55,
      "iv": 0.4063,
      "contract_size": 100.0,
      "delta": 0.4591,
      "cost_per_contract": 1785.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -1.15,
      "return_if_target_pct": 37.4,
      "return_if_flat_pct": 3.4,
      "ev_return_pct": -16.9,
      "p_profit_pct": 50.8,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.91
     }
    ],
    "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 42 liquid call(s)",
     "101 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",
     "227 structure(s) hidden for returning under 3x the +9.6% 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": "HALO",
    "sleeve": "momentum",
    "underlying": 102.62,
    "horizon_date": "2026-09-09",
    "sessions": 21,
    "expirations_used": [
     "2026-09-18",
     "2026-12-18",
     "2027-03-19"
    ],
    "target_move_pct": 15.66,
    "target_source": "implied 1-sigma expected move (IV at nearest strike $90 (-12.3%))",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 15,
    "n_contracts_affordable": 8,
    "n_spreads_affordable": 33,
    "min_leverage": 3.0,
    "n_dominated": 34,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 8 of 15 liquid calls fit, plus 33 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call",
      "symbol": "HALO260918C00090000",
      "expiry": "2026-09-18",
      "strike": 90.0,
      "label": "$90C",
      "bid": 12.1,
      "ask": 15.1,
      "mid": 13.6,
      "oi": 345,
      "wide": false,
      "volume": 0,
      "iv": 0.5555,
      "delta": 0.8886,
      "contract_size": 100.0,
      "cost_per_contract": 1510.0,
      "breakeven_move_pct": 2.42,
      "return_if_target_pct": 90.6,
      "return_if_flat_pct": -14.3,
      "ev_return_pct": 14.2,
      "p_profit_pct": 45.9,
      "max_loss": "100% of premium",
      "leverage_on_target": 5.79
     },
     {
      "kind": "call",
      "symbol": "HALO260918C00085000",
      "expiry": "2026-09-18",
      "strike": 85.0,
      "label": "$85C",
      "bid": 16.6,
      "ask": 20.4,
      "mid": 18.5,
      "oi": 129,
      "wide": false,
      "volume": 9,
      "iv": 0.6551,
      "delta": 0.9553,
      "contract_size": 100.0,
      "cost_per_contract": 2040.0,
      "breakeven_move_pct": 2.71,
      "return_if_target_pct": 65.6,
      "return_if_flat_pct": -12.6,
      "ev_return_pct": 4.4,
      "p_profit_pct": 44.2,
      "max_loss": "100% of premium",
      "leverage_on_target": 4.19
     },
     {
      "kind": "call",
      "symbol": "HALO261218C00095000",
      "expiry": "2026-12-18",
      "strike": 95.0,
      "label": "$95C",
      "bid": 12.3,
      "ask": 15.8,
      "mid": 14.05,
      "oi": 131,
      "wide": false,
      "volume": 1,
      "iv": 0.3746,
      "delta": 0.6995,
      "contract_size": 100.0,
      "cost_per_contract": 1580.0,
      "breakeven_move_pct": 7.97,
      "return_if_target_pct": 63.9,
      "return_if_flat_pct": -19.2,
      "ev_return_pct": 5.8,
      "p_profit_pct": 42.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 4.08
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call",
      "symbol": "HALO260918C00090000",
      "expiry": "2026-09-18",
      "strike": 90.0,
      "label": "$90C",
      "bid": 12.1,
      "ask": 15.1,
      "mid": 13.6,
      "oi": 345,
      "wide": false,
      "volume": 0,
      "iv": 0.5555,
      "delta": 0.8886,
      "contract_size": 100.0,
      "cost_per_contract": 1510.0,
      "breakeven_move_pct": 2.42,
      "return_if_target_pct": 90.6,
      "return_if_flat_pct": -14.3,
      "ev_return_pct": 14.2,
      "p_profit_pct": 45.9,
      "max_loss": "100% of premium",
      "leverage_on_target": 5.79
     },
     {
      "kind": "call",
      "symbol": "HALO261218C00095000",
      "expiry": "2026-12-18",
      "strike": 95.0,
      "label": "$95C",
      "bid": 12.3,
      "ask": 15.8,
      "mid": 14.05,
      "oi": 131,
      "wide": false,
      "volume": 1,
      "iv": 0.3746,
      "delta": 0.6995,
      "contract_size": 100.0,
      "cost_per_contract": 1580.0,
      "breakeven_move_pct": 7.97,
      "return_if_target_pct": 63.9,
      "return_if_flat_pct": -19.2,
      "ev_return_pct": 5.8,
      "p_profit_pct": 42.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 4.08
     },
     {
      "kind": "call",
      "symbol": "HALO261218C00080000",
      "expiry": "2026-12-18",
      "strike": 80.0,
      "label": "$80C",
      "bid": 23.3,
      "ask": 27.3,
      "mid": 25.3,
      "oi": 376,
      "wide": false,
      "volume": 0,
      "iv": 0.5283,
      "delta": 0.9,
      "contract_size": 100.0,
      "cost_per_contract": 2730.0,
      "breakeven_move_pct": 4.56,
      "return_if_target_pct": 48.0,
      "return_if_flat_pct": -5.5,
      "ev_return_pct": 5.3,
      "p_profit_pct": 45.9,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.07
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call",
      "symbol": "HALO260918C00090000",
      "expiry": "2026-09-18",
      "strike": 90.0,
      "label": "$90C",
      "bid": 12.1,
      "ask": 15.1,
      "mid": 13.6,
      "oi": 345,
      "wide": false,
      "volume": 0,
      "iv": 0.5555,
      "delta": 0.8886,
      "contract_size": 100.0,
      "cost_per_contract": 1510.0,
      "breakeven_move_pct": 2.42,
      "return_if_target_pct": 90.6,
      "return_if_flat_pct": -14.3,
      "ev_return_pct": 14.2,
      "p_profit_pct": 45.9,
      "max_loss": "100% of premium",
      "leverage_on_target": 5.79
     },
     {
      "kind": "call",
      "symbol": "HALO261218C00080000",
      "expiry": "2026-12-18",
      "strike": 80.0,
      "label": "$80C",
      "bid": 23.3,
      "ask": 27.3,
      "mid": 25.3,
      "oi": 376,
      "wide": false,
      "volume": 0,
      "iv": 0.5283,
      "delta": 0.9,
      "contract_size": 100.0,
      "cost_per_contract": 2730.0,
      "breakeven_move_pct": 4.56,
      "return_if_target_pct": 48.0,
      "return_if_flat_pct": -5.5,
      "ev_return_pct": 5.3,
      "p_profit_pct": 45.9,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.07
     },
     {
      "kind": "call",
      "symbol": "HALO260918C00080000",
      "expiry": "2026-09-18",
      "strike": 80.0,
      "label": "$80C",
      "bid": 21.3,
      "ask": 25.2,
      "mid": 23.25,
      "oi": 500,
      "wide": false,
      "volume": 19,
      "iv": 0.762,
      "delta": 0.9818,
      "contract_size": 100.0,
      "cost_per_contract": 2520.0,
      "breakeven_move_pct": 2.51,
      "return_if_target_pct": 53.8,
      "return_if_flat_pct": -9.6,
      "ev_return_pct": 1.8,
      "p_profit_pct": 45.9,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.44
     }
    ],
    "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)",
     "30 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",
     "34 structure(s) hidden for returning under 3x the +15.7% 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"
    ]
   }
  ]
 }
}