{
 "report_id": "2026-08-13_value_momentum",
 "report_date": "2026-08-13",
 "report_timestamp": "2026-08-13T22:10:52+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": 871
 },
 "market_context": {
  "spy_close": 777.88,
  "spy_above_21d_ema": true,
  "note": "regime shown for reference; backtest found it non-predictive"
 },
 "picks": [
  {
   "pick_rank": 1,
   "screen_type": "value",
   "ticker": "KEP",
   "company_name": "Korea Electric Power Corporation",
   "sector": "Utilities",
   "universe": "US large-cap common stocks",
   "price": 11.51,
   "market_cap": 14778011280,
   "fifty_two_week_low": 11.32,
   "pct_above_52_week_low": 1.68,
   "trailing_pe": 2.44,
   "five_day_return_pct": -7.62,
   "roc_14d_pct": -4.56,
   "roc_21d_pct": 0.44,
   "rsi_14d": 40.47,
   "sma_20d": 11.97,
   "sma_50d": 12.2,
   "sma_200d": 15.73,
   "pct_vs_sma_20d": -3.85,
   "pct_vs_sma_50d": -5.66,
   "pct_vs_sma_200d": -26.85,
   "pct_off_52_week_high": -50.52,
   "avg_daily_volume_3m": 1222204,
   "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": [
     "2025-08-13",
     "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",
     "2026-08-11",
     "2026-08-12",
     "2026-08-13"
    ],
    "close": [
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     9.38,
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    ]
   },
   "overlap_with_other_screen": false
  },
  {
   "pick_rank": 2,
   "screen_type": "value",
   "ticker": "TME",
   "company_name": "Tencent Music Entertainment Group",
   "sector": "Communication Services",
   "universe": "US large-cap common stocks",
   "price": 8.66,
   "market_cap": 13310003445,
   "fifty_two_week_low": 8.16,
   "pct_above_52_week_low": 6.13,
   "trailing_pe": 9.86,
   "five_day_return_pct": -9.7,
   "roc_14d_pct": -2.26,
   "roc_21d_pct": -2.26,
   "rsi_14d": 41.76,
   "sma_20d": 9.23,
   "sma_50d": 8.97,
   "sma_200d": 12.94,
   "pct_vs_sma_20d": -6.21,
   "pct_vs_sma_50d": -3.47,
   "pct_vs_sma_200d": -33.1,
   "pct_off_52_week_high": -67.15,
   "avg_daily_volume_3m": 9842129,
   "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": [
     "2025-08-13",
     "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",
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   "company_name": "Nebius Group N.V.",
   "sector": "Technology",
   "universe": "US large-cap common stocks",
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   "risk_level": "high",
   "above_200d_sma": true,
   "strategy_action": "long, 21-day hold",
   "outlook": "Trend continuation setup.",
   "screen_reason": [
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   "company_name": "Super Micro Computer, Inc.",
   "sector": "Technology",
   "universe": "US large-cap common stocks",
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   "trailing_pe": null,
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   "avg_daily_volume_3m": 57244740,
   "risk_level": "high",
   "above_200d_sma": true,
   "strategy_action": "long, 21-day hold",
   "outlook": "Trend continuation setup.",
   "screen_reason": [
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   "ticker": "RBRK",
   "company_name": "Rubrik, Inc.",
   "sector": "Technology",
   "universe": "US large-cap common stocks",
   "price": 105.09,
   "market_cap": 21630311614,
   "fifty_two_week_low": 43.81,
   "pct_above_52_week_low": 139.88,
   "trailing_pe": null,
   "five_day_return_pct": 24.22,
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   "rsi_14d": 78.36,
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   "pct_off_52_week_high": 0.0,
   "avg_daily_volume_3m": 3652831,
   "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 & liquidity filters passed"
   ],
   "price_series": {
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   "pct_vs_sma_20d": 16.07,
   "pct_vs_sma_50d": NaN,
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   "pct_off_52_week_high": -33.16,
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   "risk_level": "high",
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   "outlook": "Trend continuation setup.",
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    "COO",
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    "FN",
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    "ON",
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    "OVV",
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    "CP",
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    "TTWO",
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    "THC",
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    "PR",
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    "ALB",
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    "FWONK",
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    "IQV",
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    "FDXF",
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    "C",
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    "LEN",
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    "SKM",
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    "STZ",
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    "WES",
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    "MFG",
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    "SSB",
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    "SSNC",
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    "BIP",
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    "AM",
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    "ROKU",
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    "VZ",
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    "XEL",
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    "DLR",
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    "D",
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    "LMT",
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    "GNRC",
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    "MUFG",
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    "BN",
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    "FISV",
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    "RDY",
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    "KMI",
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    "SRE",
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    "KDP",
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    "DY",
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    "ZBH",
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    "WTRG",
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    "DEO",
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    "HBAN",
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    "LYV",
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    "CFG",
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    "IEX",
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    "IBM",
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    "HEI",
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    "BWXT",
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    "MS",
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    "EL",
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    "WEC",
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    "TW",
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    "USB",
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    "ET",
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    "EQIX",
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    "DHR",
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    "GPC",
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    "AME",
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    "LH",
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    "INCY",
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    "WMB",
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    "ELV",
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    "COF",
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    "RY",
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    "NVO",
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   [
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    "PDD",
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   [
    "AS",
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    "PFGC",
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   [
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   [
    "TIGO",
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   ],
   [
    "TME",
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   ],
   [
    "ITUB",
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   [
    "JD",
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   [
    "ONON",
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   [
    "TPR",
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  ]
 },
 "factor_sleeves": {
  "month": "2026-08",
  "formed_on": "2026-08-03",
  "rebalance": "monthly (first run of each calendar month)",
  "mom121_top25": [
   "SNDK",
   "BE",
   "WDC",
   "MU",
   "LITE",
   "STX",
   "VSAT",
   "CIEN",
   "INTC",
   "HUT",
   "ARWR",
   "TSEM",
   "RVMD",
   "DOCN",
   "ALAB",
   "NBIS",
   "ASX",
   "TER",
   "COHR",
   "TTMI",
   "AMD",
   "GLW",
   "LRCX",
   "MKSI",
   "ECHO"
  ],
  "mom121_values": {
   "SNDK": 37.8123,
   "BE": 11.2408,
   "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
  },
  "lowvol_quintile": [
   "EA",
   "BRK-B",
   "REG",
   "MPLX",
   "WBD",
   "ATO",
   "ET",
   "DUK",
   "AFL",
   "WEC",
   "FE",
   "O",
   "EVRG",
   "PNW",
   "ED",
   "L",
   "WPC",
   "GLPI",
   "CNP",
   "LNT",
   "NI",
   "EGP",
   "TD",
   "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": "TEAM",
    "sleeve": "momentum",
    "underlying": 165.98,
    "horizon_date": "2026-09-11",
    "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": 17.05,
    "target_source": "implied 1-sigma expected move (ATM IV interpolated $165/$170)",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 81,
    "n_contracts_affordable": 17,
    "n_spreads_affordable": 342,
    "min_leverage": 3.0,
    "n_dominated": 296,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 17 of 81 liquid calls fit, plus 342 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "TEAM260918C00165000/TEAM260918C00200000",
      "strike": 165.0,
      "short_strike": 200.0,
      "label": "$165/$200C",
      "width": 35.0,
      "max_value_per_contract": 3500.0,
      "max_profit_pct": 218.2,
      "bid": 9.3,
      "ask": 11.0,
      "mid": 10.15,
      "oi": 1493,
      "volume": 41,
      "iv": 0.6057,
      "contract_size": 100.0,
      "delta": 0.3475,
      "cost_per_contract": 1100.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 6.04,
      "return_if_target_pct": 129.6,
      "return_if_flat_pct": -45.2,
      "ev_return_pct": 3.3,
      "p_profit_pct": 39.3,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 7.6
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "TEAM260918C00170000/TEAM260918C00200000",
      "strike": 170.0,
      "short_strike": 200.0,
      "label": "$170/$200C",
      "width": 30.0,
      "max_value_per_contract": 3000.0,
      "max_profit_pct": 233.3,
      "bid": 7.2,
      "ask": 9.0,
      "mid": 8.1,
      "oi": 1481,
      "volume": 11,
      "iv": 0.6011,
      "contract_size": 100.0,
      "delta": 0.2857,
      "cost_per_contract": 900.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 7.84,
      "return_if_target_pct": 127.3,
      "return_if_flat_pct": -58.2,
      "ev_return_pct": -0.5,
      "p_profit_pct": 37.7,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 7.47
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "TEAM260918C00165000/TEAM260918C00195000",
      "strike": 165.0,
      "short_strike": 195.0,
      "label": "$165/$195C",
      "width": 30.0,
      "max_value_per_contract": 3000.0,
      "max_profit_pct": 188.5,
      "bid": 8.0,
      "ask": 10.4,
      "mid": 9.2,
      "oi": 124,
      "volume": 10,
      "iv": 0.6057,
      "contract_size": 100.0,
      "delta": 0.3129,
      "cost_per_contract": 1040.0,
      "short_leg_wide": true,
      "breakeven_move_pct": 5.68,
      "return_if_target_pct": 122.4,
      "return_if_flat_pct": -43.1,
      "ev_return_pct": -0.4,
      "p_profit_pct": 40.9,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 7.18
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call",
      "symbol": "TEAM260918C00165000",
      "expiry": "2026-09-18",
      "strike": 165.0,
      "label": "$165C",
      "bid": 12.9,
      "ask": 14.0,
      "mid": 13.45,
      "oi": 1603,
      "wide": false,
      "volume": 325,
      "iv": 0.6057,
      "delta": 0.561,
      "contract_size": 100.0,
      "cost_per_contract": 1400.0,
      "breakeven_move_pct": 7.84,
      "return_if_target_pct": 111.0,
      "return_if_flat_pct": -56.4,
      "ev_return_pct": 12.2,
      "p_profit_pct": 36.2,
      "max_loss": "100% of premium",
      "leverage_on_target": 6.51
     },
     {
      "kind": "call",
      "symbol": "TEAM260918C00170000",
      "expiry": "2026-09-18",
      "strike": 170.0,
      "label": "$170C",
      "bid": 10.8,
      "ask": 12.0,
      "mid": 11.4,
      "oi": 1481,
      "wide": false,
      "volume": 11,
      "iv": 0.6011,
      "delta": 0.4992,
      "contract_size": 100.0,
      "cost_per_contract": 1200.0,
      "breakeven_move_pct": 9.65,
      "return_if_target_pct": 106.2,
      "return_if_flat_pct": -68.0,
      "ev_return_pct": 10.9,
      "p_profit_pct": 33.1,
      "max_loss": "100% of premium",
      "leverage_on_target": 6.23
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "TEAM260918C00165000/TEAM260918C00250000",
      "strike": 165.0,
      "short_strike": 250.0,
      "label": "$165/$250C",
      "width": 85.0,
      "max_value_per_contract": 8500.0,
      "max_profit_pct": 520.4,
      "bid": 12.3,
      "ask": 13.7,
      "mid": 13.0,
      "oi": 147,
      "volume": 5,
      "iv": 0.6057,
      "contract_size": 100.0,
      "delta": 0.5233,
      "cost_per_contract": 1370.0,
      "short_leg_wide": true,
      "breakeven_move_pct": 7.66,
      "return_if_target_pct": 115.5,
      "return_if_flat_pct": -55.4,
      "ev_return_pct": 10.9,
      "p_profit_pct": 36.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 6.78
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "TEAM260918C00140000/TEAM260918C00175000",
      "strike": 140.0,
      "short_strike": 175.0,
      "label": "$140/$175C",
      "width": 35.0,
      "max_value_per_contract": 3500.0,
      "max_profit_pct": 57.7,
      "bid": 15.2,
      "ask": 22.2,
      "mid": 18.7,
      "oi": 952,
      "volume": 97,
      "iv": 0.7367,
      "contract_size": 100.0,
      "delta": 0.3961,
      "cost_per_contract": 2220.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -2.28,
      "return_if_target_pct": 53.6,
      "return_if_flat_pct": 7.7,
      "ev_return_pct": -4.9,
      "p_profit_pct": 54.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.14
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "TEAM260918C00140000/TEAM260918C00185000",
      "strike": 140.0,
      "short_strike": 185.0,
      "label": "$140/$185C",
      "width": 45.0,
      "max_value_per_contract": 4500.0,
      "max_profit_pct": 78.6,
      "bid": 18.5,
      "ask": 25.2,
      "mid": 21.85,
      "oi": 353,
      "volume": 97,
      "iv": 0.7367,
      "contract_size": 100.0,
      "delta": 0.5021,
      "cost_per_contract": 2520.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -0.47,
      "return_if_target_pct": 67.0,
      "return_if_flat_pct": 1.6,
      "ev_return_pct": -2.7,
      "p_profit_pct": 50.8,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.93
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "TEAM260918C00140000/TEAM260918C00180000",
      "strike": 140.0,
      "short_strike": 180.0,
      "label": "$140/$180C",
      "width": 40.0,
      "max_value_per_contract": 4000.0,
      "max_profit_pct": 63.3,
      "bid": 17.0,
      "ask": 24.5,
      "mid": 20.75,
      "oi": 175,
      "volume": 97,
      "iv": 0.7367,
      "contract_size": 100.0,
      "delta": 0.4515,
      "cost_per_contract": 2450.0,
      "short_leg_wide": true,
      "breakeven_move_pct": -0.89,
      "return_if_target_pct": 56.9,
      "return_if_flat_pct": 2.3,
      "ev_return_pct": -6.1,
      "p_profit_pct": 50.8,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.34
     }
    ],
    "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 64 liquid call(s)",
     "159 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",
     "296 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": "P",
    "sleeve": "momentum",
    "underlying": 117.35,
    "horizon_date": "2026-09-11",
    "sessions": 21,
    "expirations_used": [
     "2026-09-18",
     "2026-11-20",
     "2027-01-15",
     "2027-02-19",
     "2027-06-17"
    ],
    "target_move_pct": 22.83,
    "target_source": "implied 1-sigma expected move (ATM IV interpolated $115/$120)",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 47,
    "n_contracts_affordable": 23,
    "n_spreads_affordable": 206,
    "min_leverage": 3.0,
    "n_dominated": 206,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 23 of 47 liquid calls fit, plus 206 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "P260918C00125000/P260918C00150000",
      "strike": 125.0,
      "short_strike": 150.0,
      "label": "$125/$150C",
      "width": 25.0,
      "max_value_per_contract": 2500.0,
      "max_profit_pct": 300.0,
      "bid": 4.4,
      "ask": 6.25,
      "mid": 5.325,
      "oi": 158,
      "volume": 35,
      "iv": 0.7894,
      "contract_size": 100.0,
      "delta": 0.2414,
      "cost_per_contract": 625.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 11.84,
      "return_if_target_pct": 150.5,
      "return_if_flat_pct": -64.0,
      "ev_return_pct": -8.1,
      "p_profit_pct": 33.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 6.59
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "P260918C00120000/P260918C00150000",
      "strike": 120.0,
      "short_strike": 150.0,
      "label": "$120/$150C",
      "width": 30.0,
      "max_value_per_contract": 3000.0,
      "max_profit_pct": 255.0,
      "bid": 6.6,
      "ask": 8.45,
      "mid": 7.525,
      "oi": 322,
      "volume": 432,
      "iv": 0.8091,
      "contract_size": 100.0,
      "delta": 0.3069,
      "cost_per_contract": 845.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 9.46,
      "return_if_target_pct": 140.3,
      "return_if_flat_pct": -52.3,
      "ev_return_pct": -6.9,
      "p_profit_pct": 36.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 6.14
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "P260918C00115000/P260918C00150000",
      "strike": 115.0,
      "short_strike": 150.0,
      "label": "$115/$150C",
      "width": 35.0,
      "max_value_per_contract": 3500.0,
      "max_profit_pct": 222.6,
      "bid": 8.7,
      "ask": 10.85,
      "mid": 9.775,
      "oi": 443,
      "volume": 40,
      "iv": 0.8109,
      "contract_size": 100.0,
      "delta": 0.3753,
      "cost_per_contract": 1085.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 7.24,
      "return_if_target_pct": 131.4,
      "return_if_flat_pct": -40.8,
      "ev_return_pct": -4.9,
      "p_profit_pct": 37.7,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 5.75
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "P260918C00090000/P260918C00150000",
      "strike": 90.0,
      "short_strike": 150.0,
      "label": "$90/$150C",
      "width": 60.0,
      "max_value_per_contract": 6000.0,
      "max_profit_pct": 117.0,
      "bid": 25.8,
      "ask": 27.65,
      "mid": 26.725,
      "oi": 371,
      "volume": 48,
      "iv": 0.8932,
      "contract_size": 100.0,
      "delta": 0.6694,
      "cost_per_contract": 2765.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 0.26,
      "return_if_target_pct": 80.7,
      "return_if_flat_pct": -0.9,
      "ev_return_pct": 2.7,
      "p_profit_pct": 49.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.53
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "P260918C00095000/P260918C00150000",
      "strike": 95.0,
      "short_strike": 150.0,
      "label": "$95/$150C",
      "width": 55.0,
      "max_value_per_contract": 5500.0,
      "max_profit_pct": 131.6,
      "bid": 21.5,
      "ask": 23.75,
      "mid": 22.625,
      "oi": 370,
      "volume": 98,
      "iv": 0.8565,
      "contract_size": 100.0,
      "delta": 0.6248,
      "cost_per_contract": 2375.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 1.19,
      "return_if_target_pct": 89.4,
      "return_if_flat_pct": -5.2,
      "ev_return_pct": 1.4,
      "p_profit_pct": 47.5,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.92
     },
     {
      "kind": "call",
      "symbol": "P270115C00140000",
      "expiry": "2027-01-15",
      "strike": 140.0,
      "label": "$140C",
      "bid": 14.2,
      "ask": 15.4,
      "mid": 14.8,
      "oi": 3034,
      "wide": false,
      "volume": 82,
      "iv": 0.7225,
      "delta": 0.4538,
      "contract_size": 100.0,
      "cost_per_contract": 1540.0,
      "breakeven_move_pct": 32.42,
      "return_if_target_pct": 74.5,
      "return_if_flat_pct": -18.0,
      "ev_return_pct": 0.1,
      "p_profit_pct": 39.3,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.26
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "P260918C00090000/P260918C00150000",
      "strike": 90.0,
      "short_strike": 150.0,
      "label": "$90/$150C",
      "width": 60.0,
      "max_value_per_contract": 6000.0,
      "max_profit_pct": 117.0,
      "bid": 25.8,
      "ask": 27.65,
      "mid": 26.725,
      "oi": 371,
      "volume": 48,
      "iv": 0.8932,
      "contract_size": 100.0,
      "delta": 0.6694,
      "cost_per_contract": 2765.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 0.26,
      "return_if_target_pct": 80.7,
      "return_if_flat_pct": -0.9,
      "ev_return_pct": 2.7,
      "p_profit_pct": 49.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.53
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "P260918C00095000/P260918C00150000",
      "strike": 95.0,
      "short_strike": 150.0,
      "label": "$95/$150C",
      "width": 55.0,
      "max_value_per_contract": 5500.0,
      "max_profit_pct": 131.6,
      "bid": 21.5,
      "ask": 23.75,
      "mid": 22.625,
      "oi": 370,
      "volume": 98,
      "iv": 0.8565,
      "contract_size": 100.0,
      "delta": 0.6248,
      "cost_per_contract": 2375.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 1.19,
      "return_if_target_pct": 89.4,
      "return_if_flat_pct": -5.2,
      "ev_return_pct": 1.4,
      "p_profit_pct": 47.5,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.92
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "P260918C00100000/P260918C00150000",
      "strike": 100.0,
      "short_strike": 150.0,
      "label": "$100/$150C",
      "width": 50.0,
      "max_value_per_contract": 5000.0,
      "max_profit_pct": 149.4,
      "bid": 17.4,
      "ask": 20.05,
      "mid": 18.725,
      "oi": 575,
      "volume": 50,
      "iv": 0.8245,
      "contract_size": 100.0,
      "delta": 0.5716,
      "cost_per_contract": 2005.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 2.3,
      "return_if_target_pct": 99.4,
      "return_if_flat_pct": -11.3,
      "ev_return_pct": -0.0,
      "p_profit_pct": 45.9,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 4.35
     }
    ],
    "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 24 liquid call(s)",
     "206 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": "NBIS",
    "sleeve": "momentum",
    "underlying": 255.04,
    "horizon_date": "2026-09-11",
    "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": 28.24,
    "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": 255,
    "n_contracts_affordable": 36,
    "n_spreads_affordable": 1183,
    "min_leverage": 3.0,
    "n_dominated": 1074,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 36 of 255 liquid calls fit, plus 1183 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "NBIS260918C00270000/NBIS260918C00350000",
      "strike": 270.0,
      "short_strike": 350.0,
      "label": "$270/$350C",
      "width": 80.0,
      "max_value_per_contract": 8000.0,
      "max_profit_pct": 332.4,
      "bid": 16.8,
      "ask": 18.5,
      "mid": 17.65,
      "oi": 1867,
      "volume": 794,
      "iv": 0.9987,
      "contract_size": 100.0,
      "delta": 0.2815,
      "cost_per_contract": 1850.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 13.12,
      "return_if_target_pct": 164.4,
      "return_if_flat_pct": -56.3,
      "ev_return_pct": -11.9,
      "p_profit_pct": 33.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 5.82
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "NBIS260918C00270000/NBIS260918C00340000",
      "strike": 270.0,
      "short_strike": 340.0,
      "label": "$270/$340C",
      "width": 70.0,
      "max_value_per_contract": 7000.0,
      "max_profit_pct": 303.5,
      "bid": 15.6,
      "ask": 17.35,
      "mid": 16.475,
      "oi": 1311,
      "volume": 386,
      "iv": 0.9987,
      "contract_size": 100.0,
      "delta": 0.2566,
      "cost_per_contract": 1735.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 12.67,
      "return_if_target_pct": 163.4,
      "return_if_flat_pct": -54.2,
      "ev_return_pct": -11.2,
      "p_profit_pct": 33.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 5.79
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "NBIS260918C00260000/NBIS260918C00350000",
      "strike": 260.0,
      "short_strike": 350.0,
      "label": "$260/$350C",
      "width": 90.0,
      "max_value_per_contract": 9000.0,
      "max_profit_pct": 306.3,
      "bid": 20.75,
      "ask": 22.15,
      "mid": 21.45,
      "oi": 2348,
      "volume": 794,
      "iv": 0.9993,
      "contract_size": 100.0,
      "delta": 0.3296,
      "cost_per_contract": 2215.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 10.63,
      "return_if_target_pct": 162.7,
      "return_if_flat_pct": -46.9,
      "ev_return_pct": -7.4,
      "p_profit_pct": 34.6,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 5.76
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "NBIS260918C00250000/NBIS260918C00290000",
      "strike": 250.0,
      "short_strike": 290.0,
      "label": "$250/$290C",
      "width": 40.0,
      "max_value_per_contract": 4000.0,
      "max_profit_pct": 164.0,
      "bid": 12.55,
      "ask": 15.15,
      "mid": 13.85,
      "oi": 2688,
      "volume": 695,
      "iv": 1.0042,
      "contract_size": 100.0,
      "delta": 0.1866,
      "cost_per_contract": 1515.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 3.96,
      "return_if_target_pct": 135.9,
      "return_if_flat_pct": -14.1,
      "ev_return_pct": 3.1,
      "p_profit_pct": 45.9,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 4.81
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "NBIS260918C00230000/NBIS260918C00290000",
      "strike": 230.0,
      "short_strike": 290.0,
      "label": "$230/$290C",
      "width": 60.0,
      "max_value_per_contract": 6000.0,
      "max_profit_pct": 124.7,
      "bid": 22.55,
      "ask": 26.7,
      "mid": 24.625,
      "oi": 2688,
      "volume": 235,
      "iv": 1.0091,
      "contract_size": 100.0,
      "delta": 0.2901,
      "cost_per_contract": 2670.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 0.65,
      "return_if_target_pct": 107.5,
      "return_if_flat_pct": -2.8,
      "ev_return_pct": 2.7,
      "p_profit_pct": 49.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.81
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "NBIS260918C00230000/NBIS260918C00270000",
      "strike": 230.0,
      "short_strike": 270.0,
      "label": "$230/$270C",
      "width": 40.0,
      "max_value_per_contract": 4000.0,
      "max_profit_pct": 95.6,
      "bid": 16.55,
      "ask": 20.45,
      "mid": 18.5,
      "oi": 1867,
      "volume": 235,
      "iv": 1.0091,
      "contract_size": 100.0,
      "delta": 0.2019,
      "cost_per_contract": 2045.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -1.8,
      "return_if_target_pct": 88.3,
      "return_if_flat_pct": 4.7,
      "ev_return_pct": 2.3,
      "p_profit_pct": 52.5,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.13
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "NBIS260918C00230000/NBIS260918C00270000",
      "strike": 230.0,
      "short_strike": 270.0,
      "label": "$230/$270C",
      "width": 40.0,
      "max_value_per_contract": 4000.0,
      "max_profit_pct": 95.6,
      "bid": 16.55,
      "ask": 20.45,
      "mid": 18.5,
      "oi": 1867,
      "volume": 235,
      "iv": 1.0091,
      "contract_size": 100.0,
      "delta": 0.2019,
      "cost_per_contract": 2045.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -1.8,
      "return_if_target_pct": 88.3,
      "return_if_flat_pct": 4.7,
      "ev_return_pct": 2.3,
      "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": "NBIS260918C00230000/NBIS260918C00280000",
      "strike": 230.0,
      "short_strike": 280.0,
      "label": "$230/$280C",
      "width": 50.0,
      "max_value_per_contract": 5000.0,
      "max_profit_pct": 109.2,
      "bid": 19.7,
      "ask": 23.9,
      "mid": 21.8,
      "oi": 3465,
      "volume": 235,
      "iv": 1.0091,
      "contract_size": 100.0,
      "delta": 0.2475,
      "cost_per_contract": 2390.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -0.45,
      "return_if_target_pct": 97.4,
      "return_if_flat_pct": 0.2,
      "ev_return_pct": 2.0,
      "p_profit_pct": 50.8,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.45
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "NBIS260918C00230000/NBIS260918C00290000",
      "strike": 230.0,
      "short_strike": 290.0,
      "label": "$230/$290C",
      "width": 60.0,
      "max_value_per_contract": 6000.0,
      "max_profit_pct": 124.7,
      "bid": 22.55,
      "ask": 26.7,
      "mid": 24.625,
      "oi": 2688,
      "volume": 235,
      "iv": 1.0091,
      "contract_size": 100.0,
      "delta": 0.2901,
      "cost_per_contract": 2670.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 0.65,
      "return_if_target_pct": 107.5,
      "return_if_flat_pct": -2.8,
      "ev_return_pct": 2.7,
      "p_profit_pct": 49.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.81
     }
    ],
    "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 219 liquid call(s); every single call that fits is out-of-the-money, which inflates if-tgt and EV \u2014 read them beside P(win)",
     "15 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",
     "1074 structure(s) hidden for returning under 3x the +28.2% 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": "SMCI",
    "sleeve": "momentum",
    "underlying": 39.16,
    "horizon_date": "2026-09-11",
    "sessions": 21,
    "expirations_used": [
     "2026-09-18",
     "2026-11-20",
     "2026-12-18",
     "2027-01-15",
     "2027-02-19",
     "2027-03-19"
    ],
    "target_move_pct": 22.44,
    "target_source": "implied 1-sigma expected move (ATM IV interpolated $39/$40)",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 226,
    "n_contracts_affordable": 212,
    "n_spreads_affordable": 5485,
    "min_leverage": 3.0,
    "n_dominated": 5385,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 212 of 226 liquid calls fit, plus 5485 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SMCI260918C00043000/SMCI260918C00050000",
      "strike": 43.0,
      "short_strike": 50.0,
      "label": "$43/$50C",
      "width": 7.0,
      "max_value_per_contract": 700.0,
      "max_profit_pct": 357.5,
      "bid": 1.19,
      "ask": 1.53,
      "mid": 1.36,
      "oi": 2527,
      "volume": 3293,
      "iv": 0.8128,
      "contract_size": 100.0,
      "delta": 0.1945,
      "cost_per_contract": 153.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 13.71,
      "return_if_target_pct": 158.1,
      "return_if_flat_pct": -68.0,
      "ev_return_pct": -5.0,
      "p_profit_pct": 31.6,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 7.05
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SMCI260918C00040000/SMCI260918C00050000",
      "strike": 40.0,
      "short_strike": 50.0,
      "label": "$40/$50C",
      "width": 10.0,
      "max_value_per_contract": 1000.0,
      "max_profit_pct": 286.1,
      "bid": 2.26,
      "ask": 2.59,
      "mid": 2.425,
      "oi": 11959,
      "volume": 5035,
      "iv": 0.8038,
      "contract_size": 100.0,
      "delta": 0.3022,
      "cost_per_contract": 259.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 8.76,
      "return_if_target_pct": 155.0,
      "return_if_flat_pct": -48.3,
      "ev_return_pct": 0.5,
      "p_profit_pct": 37.7,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 6.91
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SMCI260918C00039000/SMCI260918C00050000",
      "strike": 39.0,
      "short_strike": 50.0,
      "label": "$39/$50C",
      "width": 11.0,
      "max_value_per_contract": 1100.0,
      "max_profit_pct": 267.9,
      "bid": 2.66,
      "ask": 2.99,
      "mid": 2.825,
      "oi": 1635,
      "volume": 1017,
      "iv": 0.7945,
      "contract_size": 100.0,
      "delta": 0.3407,
      "cost_per_contract": 299.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 7.23,
      "return_if_target_pct": 152.7,
      "return_if_flat_pct": -40.9,
      "ev_return_pct": 2.6,
      "p_profit_pct": 39.3,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 6.81
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SMCI260918C00032000/SMCI260918C00045000",
      "strike": 32.0,
      "short_strike": 45.0,
      "label": "$32/$45C",
      "width": 13.0,
      "max_value_per_contract": 1300.0,
      "max_profit_pct": 106.3,
      "bid": 5.83,
      "ask": 6.3,
      "mid": 6.065,
      "oi": 2998,
      "volume": 556,
      "iv": 0.7416,
      "contract_size": 100.0,
      "delta": 0.4828,
      "cost_per_contract": 630.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -2.2,
      "return_if_target_pct": 90.8,
      "return_if_flat_pct": 10.2,
      "ev_return_pct": 7.7,
      "p_profit_pct": 54.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 4.05
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SMCI260918C00035000/SMCI260918C00045000",
      "strike": 35.0,
      "short_strike": 45.0,
      "label": "$35/$45C",
      "width": 10.0,
      "max_value_per_contract": 1000.0,
      "max_profit_pct": 138.1,
      "bid": 3.88,
      "ask": 4.2,
      "mid": 4.04,
      "oi": 7428,
      "volume": 2738,
      "iv": 0.7709,
      "contract_size": 100.0,
      "delta": 0.373,
      "cost_per_contract": 420.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 0.1,
      "return_if_target_pct": 114.8,
      "return_if_flat_pct": 0.1,
      "ev_return_pct": 7.7,
      "p_profit_pct": 50.8,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 5.12
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SMCI260918C00036000/SMCI260918C00045000",
      "strike": 36.0,
      "short_strike": 45.0,
      "label": "$36/$45C",
      "width": 9.0,
      "max_value_per_contract": 900.0,
      "max_profit_pct": 150.0,
      "bid": 3.28,
      "ask": 3.6,
      "mid": 3.44,
      "oi": 7428,
      "volume": 594,
      "iv": 0.775,
      "contract_size": 100.0,
      "delta": 0.3322,
      "cost_per_contract": 360.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 1.12,
      "return_if_target_pct": 122.9,
      "return_if_flat_pct": -5.4,
      "ev_return_pct": 7.2,
      "p_profit_pct": 49.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 5.48
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SMCI260918C00032000/SMCI260918C00041000",
      "strike": 32.0,
      "short_strike": 41.0,
      "label": "$32/$41C",
      "width": 9.0,
      "max_value_per_contract": 900.0,
      "max_profit_pct": 73.1,
      "bid": 4.55,
      "ask": 5.2,
      "mid": 4.875,
      "oi": 2998,
      "volume": 556,
      "iv": 0.7416,
      "contract_size": 100.0,
      "delta": 0.3477,
      "cost_per_contract": 520.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -5.01,
      "return_if_target_pct": 69.4,
      "return_if_flat_pct": 18.8,
      "ev_return_pct": 5.7,
      "p_profit_pct": 59.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.09
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SMCI260918C00032000/SMCI260918C00042000",
      "strike": 32.0,
      "short_strike": 42.0,
      "label": "$32/$42C",
      "width": 10.0,
      "max_value_per_contract": 1000.0,
      "max_profit_pct": 80.2,
      "bid": 4.9,
      "ask": 5.55,
      "mid": 5.225,
      "oi": 1656,
      "volume": 556,
      "iv": 0.7416,
      "contract_size": 100.0,
      "delta": 0.3836,
      "cost_per_contract": 555.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -4.11,
      "return_if_target_pct": 74.6,
      "return_if_flat_pct": 16.3,
      "ev_return_pct": 5.9,
      "p_profit_pct": 57.4,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.32
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SMCI260918C00030000/SMCI260918C00045000",
      "strike": 30.0,
      "short_strike": 45.0,
      "label": "$30/$45C",
      "width": 15.0,
      "max_value_per_contract": 1500.0,
      "max_profit_pct": 88.7,
      "bid": 7.48,
      "ask": 7.95,
      "mid": 7.715,
      "oi": 7428,
      "volume": 2247,
      "iv": 0.7469,
      "contract_size": 100.0,
      "delta": 0.5361,
      "cost_per_contract": 795.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -3.09,
      "return_if_target_pct": 76.3,
      "return_if_flat_pct": 12.1,
      "ev_return_pct": 7.0,
      "p_profit_pct": 55.8,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.4
     }
    ],
    "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 14 liquid call(s)",
     "1422 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",
     "5385 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": "TWLO",
    "sleeve": "momentum",
    "underlying": 249.42,
    "horizon_date": "2026-09-11",
    "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": 13.54,
    "target_source": "implied 1-sigma expected move (ATM IV interpolated $240/$250)",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 62,
    "n_contracts_affordable": 13,
    "n_spreads_affordable": 89,
    "min_leverage": 3.0,
    "n_dominated": 70,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 13 of 62 liquid calls fit, plus 89 debit spread(s)",
    "top_by_return_if_target": [
     {
      "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": 252.9,
      "bid": 6.2,
      "ask": 8.5,
      "mid": 7.35,
      "oi": 182,
      "volume": 5,
      "iv": 0.4829,
      "contract_size": 100.0,
      "delta": 0.2448,
      "cost_per_contract": 850.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 7.65,
      "return_if_target_pct": 127.0,
      "return_if_flat_pct": -67.8,
      "ev_return_pct": 9.6,
      "p_profit_pct": 37.7,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 9.38
     },
     {
      "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": 314.5,
      "bid": 7.3,
      "ask": 9.65,
      "mid": 8.475,
      "oi": 286,
      "volume": 5,
      "iv": 0.4829,
      "contract_size": 100.0,
      "delta": 0.2991,
      "cost_per_contract": 965.0,
      "short_leg_wide": true,
      "breakeven_move_pct": 8.11,
      "return_if_target_pct": 126.8,
      "return_if_flat_pct": -71.0,
      "ev_return_pct": 16.6,
      "p_profit_pct": 37.7,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 9.36
     },
     {
      "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": 258.4,
      "bid": 11.4,
      "ask": 13.95,
      "mid": 12.675,
      "oi": 574,
      "volume": 5,
      "iv": 0.4803,
      "contract_size": 100.0,
      "delta": 0.4018,
      "cost_per_contract": 1395.0,
      "short_leg_wide": true,
      "breakeven_move_pct": 5.83,
      "return_if_target_pct": 123.9,
      "return_if_flat_pct": -54.1,
      "ev_return_pct": 13.1,
      "p_profit_pct": 39.3,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 9.15
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call",
      "symbol": "TWLO260918C00280000",
      "expiry": "2026-09-18",
      "strike": 280.0,
      "label": "$280C",
      "bid": 4.9,
      "ask": 6.1,
      "mid": 5.5,
      "oi": 193,
      "wide": false,
      "volume": 120,
      "iv": 0.4861,
      "delta": 0.2597,
      "contract_size": 100.0,
      "cost_per_contract": 610.0,
      "breakeven_move_pct": 14.71,
      "return_if_target_pct": 53.9,
      "return_if_flat_pct": -94.8,
      "ev_return_pct": 73.0,
      "p_profit_pct": 28.7,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.98
     },
     {
      "kind": "call",
      "symbol": "TWLO260918C00260000",
      "expiry": "2026-09-18",
      "strike": 260.0,
      "label": "$260C",
      "bid": 10.5,
      "ask": 11.9,
      "mid": 11.2,
      "oi": 286,
      "wide": false,
      "volume": 5,
      "iv": 0.4829,
      "delta": 0.4362,
      "contract_size": 100.0,
      "cost_per_contract": 1190.0,
      "breakeven_move_pct": 9.01,
      "return_if_target_pct": 103.7,
      "return_if_flat_pct": -76.3,
      "ev_return_pct": 46.3,
      "p_profit_pct": 34.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 7.66
     },
     {
      "kind": "call",
      "symbol": "TWLO260918C00250000",
      "expiry": "2026-09-18",
      "strike": 250.0,
      "label": "$250C",
      "bid": 14.6,
      "ask": 16.2,
      "mid": 15.399999999999999,
      "oi": 1199,
      "wide": false,
      "volume": 31,
      "iv": 0.4803,
      "delta": 0.5389,
      "contract_size": 100.0,
      "cost_per_contract": 1620.0,
      "breakeven_move_pct": 6.73,
      "return_if_target_pct": 107.4,
      "return_if_flat_pct": -60.3,
      "ev_return_pct": 35.4,
      "p_profit_pct": 37.7,
      "max_loss": "100% of premium",
      "leverage_on_target": 7.93
     }
    ],
    "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": 58.1,
      "bid": 20.8,
      "ask": 25.3,
      "mid": 23.05,
      "oi": 286,
      "volume": 0,
      "iv": 0.4602,
      "contract_size": 100.0,
      "delta": 0.3924,
      "cost_per_contract": 2530.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -1.65,
      "return_if_target_pct": 54.6,
      "return_if_flat_pct": 6.3,
      "ev_return_pct": -9.4,
      "p_profit_pct": 52.5,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 4.03
     },
     {
      "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": 64.8,
      "bid": 13.6,
      "ask": 18.2,
      "mid": 15.9,
      "oi": 286,
      "volume": 1,
      "iv": 0.4773,
      "contract_size": 100.0,
      "delta": 0.3063,
      "cost_per_contract": 1820.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -0.49,
      "return_if_target_pct": 60.1,
      "return_if_flat_pct": -3.3,
      "ev_return_pct": -12.0,
      "p_profit_pct": 49.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 4.44
     },
     {
      "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": 137.2,
      "bid": 21.2,
      "ask": 25.3,
      "mid": 23.25,
      "oi": 182,
      "volume": 1,
      "iv": 0.4773,
      "contract_size": 100.0,
      "delta": 0.5511,
      "cost_per_contract": 2530.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 2.36,
      "return_if_target_pct": 91.4,
      "return_if_flat_pct": -19.7,
      "ev_return_pct": 0.1,
      "p_profit_pct": 45.9,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 6.75
     }
    ],
    "caveats": [
     "IV changes not modeled (post-spike crush can eat a correct call)",
     "spreads are priced at the ask/bid of BOTH legs (what crossing costs); they need a spread-approved account and both legs must be closed \u2014 the short leg carries assignment risk if it goes ITM",
     "premium cap $30.00 ($3,000/contract) excluded 49 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",
     "70 structure(s) hidden for returning under 3x the +13.5% 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": "MDB",
    "sleeve": "momentum",
    "underlying": 472.29,
    "horizon_date": "2026-09-11",
    "sessions": 21,
    "expirations_used": [
     "2026-09-18",
     "2026-11-20",
     "2026-12-18",
     "2027-01-15",
     "2027-02-19",
     "2027-03-19"
    ],
    "target_move_pct": 23.1,
    "target_source": "implied 1-sigma expected move (ATM IV interpolated $470/$480)",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 106,
    "n_contracts_affordable": 2,
    "n_spreads_affordable": 160,
    "min_leverage": 3.0,
    "n_dominated": 142,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 2 of 106 liquid calls fit, plus 160 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "MDB260918C00520000/MDB260918C00640000",
      "strike": 520.0,
      "short_strike": 640.0,
      "label": "$520/$640C",
      "width": 120.0,
      "max_value_per_contract": 12000.0,
      "max_profit_pct": 365.1,
      "bid": 17.35,
      "ask": 25.8,
      "mid": 21.575,
      "oi": 520,
      "volume": 14,
      "iv": 0.836,
      "contract_size": 100.0,
      "delta": 0.2545,
      "cost_per_contract": 2580.0,
      "short_leg_wide": true,
      "breakeven_move_pct": 15.56,
      "return_if_target_pct": 127.6,
      "return_if_flat_pct": -74.9,
      "ev_return_pct": -17.5,
      "p_profit_pct": 28.7,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 5.52
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "MDB260918C00500000/MDB260918C00580000",
      "strike": 500.0,
      "short_strike": 580.0,
      "label": "$500/$580C",
      "width": 80.0,
      "max_value_per_contract": 8000.0,
      "max_profit_pct": 217.5,
      "bid": 15.25,
      "ask": 25.2,
      "mid": 20.225,
      "oi": 260,
      "volume": 11,
      "iv": 0.8152,
      "contract_size": 100.0,
      "delta": 0.2111,
      "cost_per_contract": 2520.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 11.2,
      "return_if_target_pct": 125.7,
      "return_if_flat_pct": -60.4,
      "ev_return_pct": -15.9,
      "p_profit_pct": 33.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 5.44
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "MDB260918C00490000/MDB260918C00580000",
      "strike": 490.0,
      "short_strike": 580.0,
      "label": "$490/$580C",
      "width": 90.0,
      "max_value_per_contract": 9000.0,
      "max_profit_pct": 204.6,
      "bid": 19.05,
      "ask": 29.55,
      "mid": 24.3,
      "oi": 321,
      "volume": 11,
      "iv": 0.8199,
      "contract_size": 100.0,
      "delta": 0.2426,
      "cost_per_contract": 2955.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 10.01,
      "return_if_target_pct": 123.6,
      "return_if_flat_pct": -54.9,
      "ev_return_pct": -14.3,
      "p_profit_pct": 34.6,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 5.35
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "MDB260918C00460000/MDB260918C00520000",
      "strike": 460.0,
      "short_strike": 520.0,
      "label": "$460/$520C",
      "width": 60.0,
      "max_value_per_contract": 6000.0,
      "max_profit_pct": 102.7,
      "bid": 16.45,
      "ask": 29.6,
      "mid": 23.025,
      "oi": 126,
      "volume": 22,
      "iv": 0.8257,
      "contract_size": 100.0,
      "delta": 0.1894,
      "cost_per_contract": 2960.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 3.67,
      "return_if_target_pct": 85.1,
      "return_if_flat_pct": -27.1,
      "ev_return_pct": -14.2,
      "p_profit_pct": 40.9,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.68
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "MDB260918C00490000/MDB260918C00580000",
      "strike": 490.0,
      "short_strike": 580.0,
      "label": "$490/$580C",
      "width": 90.0,
      "max_value_per_contract": 9000.0,
      "max_profit_pct": 204.6,
      "bid": 19.05,
      "ask": 29.55,
      "mid": 24.3,
      "oi": 321,
      "volume": 11,
      "iv": 0.8199,
      "contract_size": 100.0,
      "delta": 0.2426,
      "cost_per_contract": 2955.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 10.01,
      "return_if_target_pct": 123.6,
      "return_if_flat_pct": -54.9,
      "ev_return_pct": -14.3,
      "p_profit_pct": 34.6,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 5.35
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "MDB260918C00470000/MDB260918C00520000",
      "strike": 470.0,
      "short_strike": 520.0,
      "label": "$470/$520C",
      "width": 50.0,
      "max_value_per_contract": 5000.0,
      "max_profit_pct": 112.3,
      "bid": 11.8,
      "ask": 23.55,
      "mid": 17.675,
      "oi": 345,
      "volume": 22,
      "iv": 0.8146,
      "contract_size": 100.0,
      "delta": 0.1564,
      "cost_per_contract": 2355.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 4.5,
      "return_if_target_pct": 91.2,
      "return_if_flat_pct": -32.3,
      "ev_return_pct": -14.9,
      "p_profit_pct": 40.9,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.95
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "MDB260918C00460000/MDB260918C00520000",
      "strike": 460.0,
      "short_strike": 520.0,
      "label": "$460/$520C",
      "width": 60.0,
      "max_value_per_contract": 6000.0,
      "max_profit_pct": 102.7,
      "bid": 16.45,
      "ask": 29.6,
      "mid": 23.025,
      "oi": 126,
      "volume": 22,
      "iv": 0.8257,
      "contract_size": 100.0,
      "delta": 0.1894,
      "cost_per_contract": 2960.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 3.67,
      "return_if_target_pct": 85.1,
      "return_if_flat_pct": -27.1,
      "ev_return_pct": -14.2,
      "p_profit_pct": 40.9,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.68
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "MDB260918C00470000/MDB260918C00520000",
      "strike": 470.0,
      "short_strike": 520.0,
      "label": "$470/$520C",
      "width": 50.0,
      "max_value_per_contract": 5000.0,
      "max_profit_pct": 112.3,
      "bid": 11.8,
      "ask": 23.55,
      "mid": 17.675,
      "oi": 345,
      "volume": 22,
      "iv": 0.8146,
      "contract_size": 100.0,
      "delta": 0.1564,
      "cost_per_contract": 2355.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 4.5,
      "return_if_target_pct": 91.2,
      "return_if_flat_pct": -32.3,
      "ev_return_pct": -14.9,
      "p_profit_pct": 40.9,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.95
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "MDB260918C00480000/MDB260918C00520000",
      "strike": 480.0,
      "short_strike": 520.0,
      "label": "$480/$520C",
      "width": 40.0,
      "max_value_per_contract": 4000.0,
      "max_profit_pct": 104.1,
      "bid": 9.55,
      "ask": 19.6,
      "mid": 14.575,
      "oi": 144,
      "volume": 22,
      "iv": 0.8363,
      "contract_size": 100.0,
      "delta": 0.1237,
      "cost_per_contract": 1960.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 5.78,
      "return_if_target_pct": 81.6,
      "return_if_flat_pct": -39.2,
      "ev_return_pct": -20.7,
      "p_profit_pct": 37.7,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.53
     }
    ],
    "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 104 liquid call(s); every single call that fits is out-of-the-money, which inflates if-tgt and EV \u2014 read them beside P(win)",
     "16 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",
     "142 structure(s) hidden for returning under 3x the +23.1% 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": "ONTO",
    "sleeve": "momentum",
    "underlying": 337.82,
    "horizon_date": "2026-09-11",
    "sessions": 21,
    "expirations_used": [
     "2026-09-18",
     "2026-12-18",
     "2027-01-15",
     "2027-03-19"
    ],
    "target_move_pct": 21.37,
    "target_source": "implied 1-sigma expected move (ATM IV interpolated $330/$340)",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 27,
    "n_contracts_affordable": 7,
    "n_spreads_affordable": 76,
    "min_leverage": 3.0,
    "n_dominated": 43,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 7 of 27 liquid calls fit, plus 76 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "ONTO260918C00360000/ONTO260918C00430000",
      "strike": 360.0,
      "short_strike": 430.0,
      "label": "$360/$430C",
      "width": 70.0,
      "max_value_per_contract": 7000.0,
      "max_profit_pct": 297.7,
      "bid": 14.2,
      "ask": 17.6,
      "mid": 15.9,
      "oi": 157,
      "volume": 20,
      "iv": 0.7427,
      "contract_size": 100.0,
      "delta": 0.2618,
      "cost_per_contract": 1760.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 11.78,
      "return_if_target_pct": 144.8,
      "return_if_flat_pct": -67.0,
      "ev_return_pct": -7.1,
      "p_profit_pct": 33.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 6.78
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "ONTO260918C00350000/ONTO260918C00430000",
      "strike": 350.0,
      "short_strike": 430.0,
      "label": "$350/$430C",
      "width": 80.0,
      "max_value_per_contract": 8000.0,
      "max_profit_pct": 273.8,
      "bid": 17.9,
      "ask": 21.4,
      "mid": 19.65,
      "oi": 108,
      "volume": 3,
      "iv": 0.7424,
      "contract_size": 100.0,
      "delta": 0.31,
      "cost_per_contract": 2140.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 9.94,
      "return_if_target_pct": 143.9,
      "return_if_flat_pct": -58.9,
      "ev_return_pct": -4.9,
      "p_profit_pct": 34.6,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 6.73
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "ONTO260918C00350000/ONTO260918C00420000",
      "strike": 350.0,
      "short_strike": 420.0,
      "label": "$350/$420C",
      "width": 70.0,
      "max_value_per_contract": 7000.0,
      "max_profit_pct": 244.8,
      "bid": 16.1,
      "ask": 20.3,
      "mid": 18.2,
      "oi": 108,
      "volume": 0,
      "iv": 0.7424,
      "contract_size": 100.0,
      "delta": 0.2819,
      "cost_per_contract": 2030.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 9.61,
      "return_if_target_pct": 139.8,
      "return_if_flat_pct": -57.2,
      "ev_return_pct": -6.5,
      "p_profit_pct": 36.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 6.54
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "ONTO260918C00300000/ONTO260918C00350000",
      "strike": 300.0,
      "short_strike": 350.0,
      "label": "$300/$350C",
      "width": 50.0,
      "max_value_per_contract": 5000.0,
      "max_profit_pct": 72.4,
      "bid": 24.2,
      "ask": 29.0,
      "mid": 26.6,
      "oi": 108,
      "volume": 2,
      "iv": 0.7528,
      "contract_size": 100.0,
      "delta": 0.2479,
      "cost_per_contract": 2900.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -2.61,
      "return_if_target_pct": 68.8,
      "return_if_flat_pct": 7.6,
      "ev_return_pct": -2.4,
      "p_profit_pct": 52.5,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.22
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "ONTO260918C00320000/ONTO260918C00390000",
      "strike": 320.0,
      "short_strike": 390.0,
      "label": "$320/$390C",
      "width": 70.0,
      "max_value_per_contract": 7000.0,
      "max_profit_pct": 138.9,
      "bid": 24.7,
      "ask": 29.3,
      "mid": 27.0,
      "oi": 276,
      "volume": 0,
      "iv": 0.7503,
      "contract_size": 100.0,
      "delta": 0.3294,
      "cost_per_contract": 2930.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 3.4,
      "return_if_target_pct": 111.1,
      "return_if_flat_pct": -21.1,
      "ev_return_pct": -2.7,
      "p_profit_pct": 44.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 5.2
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "ONTO260918C00320000/ONTO260918C00380000",
      "strike": 320.0,
      "short_strike": 380.0,
      "label": "$320/$380C",
      "width": 60.0,
      "max_value_per_contract": 6000.0,
      "max_profit_pct": 123.0,
      "bid": 21.6,
      "ask": 26.9,
      "mid": 24.25,
      "oi": 140,
      "volume": 0,
      "iv": 0.7503,
      "contract_size": 100.0,
      "delta": 0.2887,
      "cost_per_contract": 2690.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 2.69,
      "return_if_target_pct": 103.0,
      "return_if_flat_pct": -17.8,
      "ev_return_pct": -4.0,
      "p_profit_pct": 44.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 4.82
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "ONTO260918C00300000/ONTO260918C00350000",
      "strike": 300.0,
      "short_strike": 350.0,
      "label": "$300/$350C",
      "width": 50.0,
      "max_value_per_contract": 5000.0,
      "max_profit_pct": 72.4,
      "bid": 24.2,
      "ask": 29.0,
      "mid": 26.6,
      "oi": 108,
      "volume": 2,
      "iv": 0.7528,
      "contract_size": 100.0,
      "delta": 0.2479,
      "cost_per_contract": 2900.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -2.61,
      "return_if_target_pct": 68.8,
      "return_if_flat_pct": 7.6,
      "ev_return_pct": -2.4,
      "p_profit_pct": 52.5,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.22
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "ONTO260918C00310000/ONTO260918C00360000",
      "strike": 310.0,
      "short_strike": 360.0,
      "label": "$310/$360C",
      "width": 50.0,
      "max_value_per_contract": 5000.0,
      "max_profit_pct": 85.9,
      "bid": 21.5,
      "ask": 26.9,
      "mid": 24.2,
      "oi": 177,
      "volume": 0,
      "iv": 0.7556,
      "contract_size": 100.0,
      "delta": 0.2484,
      "cost_per_contract": 2690.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -0.27,
      "return_if_target_pct": 78.8,
      "return_if_flat_pct": -3.4,
      "ev_return_pct": -4.9,
      "p_profit_pct": 49.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.69
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "ONTO260918C00310000/ONTO260918C00350000",
      "strike": 310.0,
      "short_strike": 350.0,
      "label": "$310/$350C",
      "width": 40.0,
      "max_value_per_contract": 4000.0,
      "max_profit_pct": 72.4,
      "bid": 17.7,
      "ask": 23.2,
      "mid": 20.45,
      "oi": 108,
      "volume": 0,
      "iv": 0.7556,
      "contract_size": 100.0,
      "delta": 0.2002,
      "cost_per_contract": 2320.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -1.37,
      "return_if_target_pct": 68.1,
      "return_if_flat_pct": -0.9,
      "ev_return_pct": -7.0,
      "p_profit_pct": 49.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.19
     }
    ],
    "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 20 liquid call(s); every single call that fits is out-of-the-money, which inflates if-tgt and EV \u2014 read them beside P(win)",
     "43 structure(s) hidden for returning under 3x the +21.4% 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": "CRWV",
    "sleeve": "momentum",
    "underlying": 106.29,
    "horizon_date": "2026-09-11",
    "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": 21.48,
    "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": 205,
    "n_contracts_affordable": 141,
    "n_spreads_affordable": 2784,
    "min_leverage": 3.0,
    "n_dominated": 2299,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 141 of 205 liquid calls fit, plus 2784 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "CRWV260918C00115000/CRWV260918C00135000",
      "strike": 115.0,
      "short_strike": 135.0,
      "label": "$115/$135C",
      "width": 20.0,
      "max_value_per_contract": 2000.0,
      "max_profit_pct": 340.5,
      "bid": 4.17,
      "ask": 4.54,
      "mid": 4.355,
      "oi": 2514,
      "volume": 232,
      "iv": 0.7708,
      "contract_size": 100.0,
      "delta": 0.2191,
      "cost_per_contract": 454.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 12.47,
      "return_if_target_pct": 160.0,
      "return_if_flat_pct": -66.3,
      "ev_return_pct": -1.5,
      "p_profit_pct": 33.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 7.45
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "CRWV260918C00115000/CRWV260918C00140000",
      "strike": 115.0,
      "short_strike": 140.0,
      "label": "$115/$140C",
      "width": 25.0,
      "max_value_per_contract": 2500.0,
      "max_profit_pct": 390.2,
      "bid": 4.8,
      "ask": 5.1,
      "mid": 4.95,
      "oi": 14146,
      "volume": 1718,
      "iv": 0.7708,
      "contract_size": 100.0,
      "delta": 0.256,
      "cost_per_contract": 510.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 12.99,
      "return_if_target_pct": 157.2,
      "return_if_flat_pct": -69.2,
      "ev_return_pct": -1.4,
      "p_profit_pct": 33.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 7.32
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "CRWV260918C00115000/CRWV260918C00130000",
      "strike": 115.0,
      "short_strike": 130.0,
      "label": "$115/$130C",
      "width": 15.0,
      "max_value_per_contract": 1500.0,
      "max_profit_pct": 284.6,
      "bid": 3.45,
      "ask": 3.9,
      "mid": 3.675,
      "oi": 6336,
      "volume": 962,
      "iv": 0.7708,
      "contract_size": 100.0,
      "delta": 0.1756,
      "cost_per_contract": 390.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 11.86,
      "return_if_target_pct": 154.8,
      "return_if_flat_pct": -62.9,
      "ev_return_pct": -3.8,
      "p_profit_pct": 34.6,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 7.21
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "CRWV260918C00080000/CRWV260918C00120000",
      "strike": 80.0,
      "short_strike": 120.0,
      "label": "$80/$120C",
      "width": 40.0,
      "max_value_per_contract": 4000.0,
      "max_profit_pct": 76.6,
      "bid": 21.35,
      "ask": 22.65,
      "mid": 22.0,
      "oi": 12894,
      "volume": 712,
      "iv": 0.7126,
      "contract_size": 100.0,
      "delta": 0.5416,
      "cost_per_contract": 2265.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -3.42,
      "return_if_target_pct": 67.9,
      "return_if_flat_pct": 12.8,
      "ev_return_pct": 5.6,
      "p_profit_pct": 57.4,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.16
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "CRWV260918C00080000/CRWV260918C00125000",
      "strike": 80.0,
      "short_strike": 125.0,
      "label": "$80/$125C",
      "width": 45.0,
      "max_value_per_contract": 4500.0,
      "max_profit_pct": 88.7,
      "bid": 22.65,
      "ask": 23.85,
      "mid": 23.25,
      "oi": 5254,
      "volume": 664,
      "iv": 0.7126,
      "contract_size": 100.0,
      "delta": 0.6,
      "cost_per_contract": 2385.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -2.3,
      "return_if_target_pct": 73.5,
      "return_if_flat_pct": 9.0,
      "ev_return_pct": 5.6,
      "p_profit_pct": 54.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.42
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "CRWV260918C00080000/CRWV260918C00135000",
      "strike": 80.0,
      "short_strike": 135.0,
      "label": "$80/$135C",
      "width": 55.0,
      "max_value_per_contract": 5500.0,
      "max_profit_pct": 115.8,
      "bid": 24.27,
      "ask": 25.49,
      "mid": 24.88,
      "oi": 2514,
      "volume": 232,
      "iv": 0.7126,
      "contract_size": 100.0,
      "delta": 0.6945,
      "cost_per_contract": 2549.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -0.75,
      "return_if_target_pct": 80.0,
      "return_if_flat_pct": 3.1,
      "ev_return_pct": 5.3,
      "p_profit_pct": 52.5,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.73
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "CRWV260918C00080000/CRWV260918C00120000",
      "strike": 80.0,
      "short_strike": 120.0,
      "label": "$80/$120C",
      "width": 40.0,
      "max_value_per_contract": 4000.0,
      "max_profit_pct": 76.6,
      "bid": 21.35,
      "ask": 22.65,
      "mid": 22.0,
      "oi": 12894,
      "volume": 712,
      "iv": 0.7126,
      "contract_size": 100.0,
      "delta": 0.5416,
      "cost_per_contract": 2265.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -3.42,
      "return_if_target_pct": 67.9,
      "return_if_flat_pct": 12.8,
      "ev_return_pct": 5.6,
      "p_profit_pct": 57.4,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.16
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "CRWV260918C00082500/CRWV260918C00120000",
      "strike": 82.5,
      "short_strike": 120.0,
      "label": "$82.5/$120C",
      "width": 37.5,
      "max_value_per_contract": 3750.0,
      "max_profit_pct": 79.4,
      "bid": 19.15,
      "ask": 20.9,
      "mid": 20.025,
      "oi": 1543,
      "volume": 24,
      "iv": 0.7275,
      "contract_size": 100.0,
      "delta": 0.5203,
      "cost_per_contract": 2090.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -2.72,
      "return_if_target_pct": 70.0,
      "return_if_flat_pct": 10.4,
      "ev_return_pct": 3.9,
      "p_profit_pct": 55.8,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.26
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "CRWV260918C00085000/CRWV260918C00115000",
      "strike": 85.0,
      "short_strike": 115.0,
      "label": "$85/$115C",
      "width": 30.0,
      "max_value_per_contract": 3000.0,
      "max_profit_pct": 72.4,
      "bid": 15.9,
      "ask": 17.4,
      "mid": 16.65,
      "oi": 3037,
      "volume": 205,
      "iv": 0.7566,
      "contract_size": 100.0,
      "delta": 0.4296,
      "cost_per_contract": 1740.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -3.66,
      "return_if_target_pct": 67.1,
      "return_if_flat_pct": 13.9,
      "ev_return_pct": 3.6,
      "p_profit_pct": 55.8,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.12
     }
    ],
    "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 64 liquid call(s)",
     "235 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",
     "2299 structure(s) hidden for returning under 3x the +21.5% 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": "RBRK",
    "sleeve": "momentum",
    "underlying": 105.09,
    "horizon_date": "2026-09-11",
    "sessions": 21,
    "expirations_used": [
     "2026-09-18",
     "2026-10-16",
     "2027-01-15"
    ],
    "target_move_pct": 21.31,
    "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": 56,
    "n_contracts_affordable": 30,
    "n_spreads_affordable": 373,
    "min_leverage": 3.0,
    "n_dominated": 378,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 30 of 56 liquid calls fit, plus 373 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call",
      "symbol": "RBRK260918C00100000",
      "expiry": "2026-09-18",
      "strike": 100.0,
      "label": "$100C",
      "bid": 12.3,
      "ask": 13.0,
      "mid": 12.65,
      "oi": 10471,
      "wide": false,
      "volume": 79,
      "iv": 0.7658,
      "delta": 0.6292,
      "contract_size": 100.0,
      "cost_per_contract": 1300.0,
      "breakeven_move_pct": 7.53,
      "return_if_target_pct": 112.3,
      "return_if_flat_pct": -43.1,
      "ev_return_pct": -1.6,
      "p_profit_pct": 36.2,
      "max_loss": "100% of premium",
      "leverage_on_target": 5.27
     },
     {
      "kind": "call",
      "symbol": "RBRK260918C00110000",
      "expiry": "2026-09-18",
      "strike": 110.0,
      "label": "$110C",
      "bid": 7.0,
      "ask": 9.0,
      "mid": 8.0,
      "oi": 2213,
      "wide": false,
      "volume": 192,
      "iv": 0.7391,
      "delta": 0.4764,
      "contract_size": 100.0,
      "cost_per_contract": 900.0,
      "breakeven_move_pct": 13.24,
      "return_if_target_pct": 99.6,
      "return_if_flat_pct": -73.4,
      "ev_return_pct": -13.6,
      "p_profit_pct": 28.7,
      "max_loss": "100% of premium",
      "leverage_on_target": 4.67
     },
     {
      "kind": "call",
      "symbol": "RBRK260918C00105000",
      "expiry": "2026-09-18",
      "strike": 105.0,
      "label": "$105C",
      "bid": 9.6,
      "ask": 11.4,
      "mid": 10.5,
      "oi": 579,
      "wide": false,
      "volume": 52,
      "iv": 0.7562,
      "delta": 0.5526,
      "contract_size": 100.0,
      "cost_per_contract": 1140.0,
      "breakeven_move_pct": 10.76,
      "return_if_target_pct": 99.2,
      "return_if_flat_pct": -60.8,
      "ev_return_pct": -11.6,
      "p_profit_pct": 31.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 4.66
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call",
      "symbol": "RBRK270115C00105000",
      "expiry": "2027-01-15",
      "strike": 105.0,
      "label": "$105C",
      "bid": 18.7,
      "ask": 19.8,
      "mid": 19.25,
      "oi": 3741,
      "wide": false,
      "volume": 1043,
      "iv": 0.6935,
      "delta": 0.5998,
      "contract_size": 100.0,
      "cost_per_contract": 1980.0,
      "breakeven_move_pct": 18.76,
      "return_if_target_pct": 66.4,
      "return_if_flat_pct": -11.0,
      "ev_return_pct": 3.1,
      "p_profit_pct": 42.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.12
     },
     {
      "kind": "call",
      "symbol": "RBRK270115C00110000",
      "expiry": "2027-01-15",
      "strike": 110.0,
      "label": "$110C",
      "bid": 16.8,
      "ask": 18.0,
      "mid": 17.4,
      "oi": 3010,
      "wide": false,
      "volume": 98,
      "iv": 0.6981,
      "delta": 0.5602,
      "contract_size": 100.0,
      "cost_per_contract": 1800.0,
      "breakeven_move_pct": 21.8,
      "return_if_target_pct": 67.3,
      "return_if_flat_pct": -12.8,
      "ev_return_pct": 2.5,
      "p_profit_pct": 42.6,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.16
     },
     {
      "kind": "call",
      "symbol": "RBRK270115C00115000",
      "expiry": "2027-01-15",
      "strike": 115.0,
      "label": "$115C",
      "bid": 15.0,
      "ask": 16.2,
      "mid": 15.6,
      "oi": 688,
      "wide": false,
      "volume": 9,
      "iv": 0.6976,
      "delta": 0.5214,
      "contract_size": 100.0,
      "cost_per_contract": 1620.0,
      "breakeven_move_pct": 24.85,
      "return_if_target_pct": 68.9,
      "return_if_flat_pct": -14.3,
      "ev_return_pct": 2.2,
      "p_profit_pct": 40.9,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.23
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "RBRK260918C00090000/RBRK260918C00120000",
      "strike": 90.0,
      "short_strike": 120.0,
      "label": "$90/$120C",
      "width": 30.0,
      "max_value_per_contract": 3000.0,
      "max_profit_pct": 93.5,
      "bid": 12.3,
      "ask": 15.5,
      "mid": 13.9,
      "oi": 599,
      "volume": 37,
      "iv": 0.7914,
      "contract_size": 100.0,
      "delta": 0.4317,
      "cost_per_contract": 1550.0,
      "short_leg_wide": true,
      "breakeven_move_pct": 0.39,
      "return_if_target_pct": 77.9,
      "return_if_flat_pct": -4.1,
      "ev_return_pct": -3.4,
      "p_profit_pct": 49.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.66
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "RBRK260918C00085000/RBRK260918C00120000",
      "strike": 85.0,
      "short_strike": 120.0,
      "label": "$85/$120C",
      "width": 35.0,
      "max_value_per_contract": 3500.0,
      "max_profit_pct": 77.7,
      "bid": 15.1,
      "ask": 19.7,
      "mid": 17.4,
      "oi": 599,
      "volume": 3,
      "iv": 0.7718,
      "contract_size": 100.0,
      "delta": 0.4907,
      "cost_per_contract": 1970.0,
      "short_leg_wide": true,
      "breakeven_move_pct": -0.37,
      "return_if_target_pct": 65.3,
      "return_if_flat_pct": -0.6,
      "ev_return_pct": -4.0,
      "p_profit_pct": 49.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.06
     },
     {
      "kind": "call",
      "symbol": "RBRK260918C00080000",
      "expiry": "2026-09-18",
      "strike": 80.0,
      "label": "$80C",
      "bid": 24.8,
      "ask": 27.9,
      "mid": 26.35,
      "oi": 811,
      "wide": false,
      "volume": 71,
      "iv": 1.0182,
      "delta": 0.878,
      "contract_size": 100.0,
      "cost_per_contract": 2790.0,
      "breakeven_move_pct": 2.67,
      "return_if_target_pct": 70.4,
      "return_if_flat_pct": -9.4,
      "ev_return_pct": 0.8,
      "p_profit_pct": 44.2,
      "max_loss": "100% of premium",
      "leverage_on_target": 3.3
     }
    ],
    "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 26 liquid call(s)",
     "71 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",
     "378 structure(s) hidden for returning under 3x the +21.3% 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": "SPCX",
    "sleeve": "momentum",
    "underlying": 141.29,
    "horizon_date": "2026-09-11",
    "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": 19.19,
    "target_source": "implied 1-sigma expected move (ATM IV interpolated $140/$145)",
    "distribution": "lognormal fit: 3y gated-momentum cell (mean +1.8%, p95 +35.8%, n=6410)",
    "n_contracts_liquid": 327,
    "n_contracts_affordable": 277,
    "n_spreads_affordable": 7340,
    "min_leverage": 3.0,
    "n_dominated": 3661,
    "max_ask": 30.0,
    "budget_per_contract": 3000.0,
    "budget_note": "premium <= $30.00/share ($3,000 per contract) \u2014 277 of 327 liquid calls fit, plus 7340 debit spread(s)",
    "top_by_return_if_target": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SPCX260918C00155000/SPCX260918C00170000",
      "strike": 155.0,
      "short_strike": 170.0,
      "label": "$155/$170C",
      "width": 15.0,
      "max_value_per_contract": 1500.0,
      "max_profit_pct": 347.8,
      "bid": 3.0,
      "ask": 3.35,
      "mid": 3.175,
      "oi": 12384,
      "volume": 685,
      "iv": 0.6835,
      "contract_size": 100.0,
      "delta": 0.1439,
      "cost_per_contract": 335.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 12.07,
      "return_if_target_pct": 176.2,
      "return_if_flat_pct": -68.2,
      "ev_return_pct": 9.8,
      "p_profit_pct": 36.2,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 9.18
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SPCX260918C00155000/SPCX260918C00175000",
      "strike": 155.0,
      "short_strike": 175.0,
      "label": "$155/$175C",
      "width": 20.0,
      "max_value_per_contract": 2000.0,
      "max_profit_pct": 393.8,
      "bid": 3.7,
      "ask": 4.05,
      "mid": 3.875,
      "oi": 11350,
      "volume": 685,
      "iv": 0.6835,
      "contract_size": 100.0,
      "delta": 0.1806,
      "cost_per_contract": 405.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 12.57,
      "return_if_target_pct": 174.8,
      "return_if_flat_pct": -71.6,
      "ev_return_pct": 10.9,
      "p_profit_pct": 34.6,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 9.11
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SPCX260918C00150000/SPCX260918C00170000",
      "strike": 150.0,
      "short_strike": 170.0,
      "label": "$150/$170C",
      "width": 20.0,
      "max_value_per_contract": 2000.0,
      "max_profit_pct": 308.2,
      "bid": 4.55,
      "ask": 4.9,
      "mid": 4.725,
      "oi": 20140,
      "volume": 2677,
      "iv": 0.6809,
      "contract_size": 100.0,
      "delta": 0.2016,
      "cost_per_contract": 490.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 9.63,
      "return_if_target_pct": 174.5,
      "return_if_flat_pct": -58.2,
      "ev_return_pct": 10.7,
      "p_profit_pct": 37.7,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 9.09
     }
    ],
    "top_by_empirical_ev": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SPCX260918C00150000/SPCX260918C00200000",
      "strike": 150.0,
      "short_strike": 200.0,
      "label": "$150/$200C",
      "width": 50.0,
      "max_value_per_contract": 5000.0,
      "max_profit_pct": 566.7,
      "bid": 7.25,
      "ask": 7.5,
      "mid": 7.375,
      "oi": 15033,
      "volume": 3779,
      "iv": 0.6809,
      "contract_size": 100.0,
      "delta": 0.3489,
      "cost_per_contract": 750.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 11.47,
      "return_if_target_pct": 152.0,
      "return_if_flat_pct": -70.5,
      "ev_return_pct": 12.7,
      "p_profit_pct": 33.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 7.92
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SPCX260918C00155000/SPCX260918C00200000",
      "strike": 155.0,
      "short_strike": 200.0,
      "label": "$155/$200C",
      "width": 45.0,
      "max_value_per_contract": 4500.0,
      "max_profit_pct": 656.3,
      "bid": 5.7,
      "ask": 5.95,
      "mid": 5.825,
      "oi": 12384,
      "volume": 685,
      "iv": 0.6835,
      "contract_size": 100.0,
      "delta": 0.2912,
      "cost_per_contract": 595.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 13.91,
      "return_if_target_pct": 147.2,
      "return_if_flat_pct": -79.3,
      "ev_return_pct": 12.7,
      "p_profit_pct": 30.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 7.67
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SPCX260918C00160000/SPCX260918C00200000",
      "strike": 160.0,
      "short_strike": 200.0,
      "label": "$160/$200C",
      "width": 40.0,
      "max_value_per_contract": 4000.0,
      "max_profit_pct": 760.2,
      "bid": 4.45,
      "ask": 4.65,
      "mid": 4.55,
      "oi": 15033,
      "volume": 1956,
      "iv": 0.6884,
      "contract_size": 100.0,
      "delta": 0.238,
      "cost_per_contract": 465.0,
      "short_leg_wide": false,
      "breakeven_move_pct": 16.53,
      "return_if_target_pct": 136.8,
      "return_if_flat_pct": -85.9,
      "ev_return_pct": 12.7,
      "p_profit_pct": 28.7,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 7.13
     }
    ],
    "top_by_p_profit": [
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SPCX260918C00115000/SPCX260918C00150000",
      "strike": 115.0,
      "short_strike": 150.0,
      "label": "$115/$150C",
      "width": 35.0,
      "max_value_per_contract": 3500.0,
      "max_profit_pct": 63.2,
      "bid": 19.7,
      "ask": 21.45,
      "mid": 20.575,
      "oi": 16815,
      "volume": 50,
      "iv": 0.7245,
      "contract_size": 100.0,
      "delta": 0.4203,
      "cost_per_contract": 2145.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -3.43,
      "return_if_target_pct": 59.4,
      "return_if_flat_pct": 13.1,
      "ev_return_pct": 0.3,
      "p_profit_pct": 55.8,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.1
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SPCX260918C00115000/SPCX260918C00155000",
      "strike": 115.0,
      "short_strike": 155.0,
      "label": "$115/$155C",
      "width": 40.0,
      "max_value_per_contract": 4000.0,
      "max_profit_pct": 73.9,
      "bid": 21.25,
      "ask": 23.0,
      "mid": 22.125,
      "oi": 12384,
      "volume": 50,
      "iv": 0.7245,
      "contract_size": 100.0,
      "delta": 0.478,
      "cost_per_contract": 2300.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -2.33,
      "return_if_target_pct": 66.9,
      "return_if_flat_pct": 9.7,
      "ev_return_pct": 1.1,
      "p_profit_pct": 54.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.49
     },
     {
      "kind": "call_spread",
      "expiry": "2026-09-18",
      "symbol": "SPCX260918C00120000/SPCX260918C00150000",
      "strike": 120.0,
      "short_strike": 150.0,
      "label": "$120/$150C",
      "width": 30.0,
      "max_value_per_contract": 3000.0,
      "max_profit_pct": 71.4,
      "bid": 15.85,
      "ask": 17.5,
      "mid": 16.675,
      "oi": 6050,
      "volume": 134,
      "iv": 0.7168,
      "contract_size": 100.0,
      "delta": 0.3765,
      "cost_per_contract": 1750.0,
      "short_leg_wide": false,
      "breakeven_move_pct": -2.68,
      "return_if_target_pct": 66.8,
      "return_if_flat_pct": 11.0,
      "ev_return_pct": -0.1,
      "p_profit_pct": 54.1,
      "max_loss": "100% of the net debit",
      "leverage_on_target": 3.48
     }
    ],
    "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 50 liquid call(s)",
     "66 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",
     "3661 structure(s) hidden for returning under 3x the +19.2% 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"
    ]
   }
  ]
 }
}