Structuring and ranking trades · Demo

Delta-neutral strangles for one expiration, ranked

Recorded in cvforge on June 18, 2026 by ConvexValue · Published July 25, 2026

Pick an expiration and see every delta-neutral strangle available on it, ranked by risk-reward and probability of profit.

Exact prompt

Build a scanner that allows me to select an expiration and it displays all the delta neutral strangles ranked by risk/reward and probability of profit

Data cadence

Live U.S. option snapshots, refreshed through the session. Open interest is an end-of-previous-day figure and updates once daily.

Plan requirements

Runs on the free cvforge app and the free data tier (20 requests/hour). No card needed.

What the agent built

  • scan from watchlist?
  • payoff diagram?
  • filter by target POP?

Fields used

fair_market_value, strike_price, expiration_date, contract_type, delta, implied_volatility, open_interest, day_volume

How to read it

Delta-neutral is the constraint that makes the list coherent: it strips out directional bias so what remains is a comparison of volatility positions, not a mix of bullish and bearish trades pretending to be comparable.

Neutral at construction is not neutral for long. Delta drifts as soon as the underlying moves, and a strangle that starts balanced becomes directional quickly — the ranking describes the trade at entry only. Also note what “probability of profit” means here: it is derived from the same implied volatility that set the prices, so a high number partly reflects what you are being paid, not an independent edge.

Change it

The prompt is the interface. Ask for a different ticker, a different expiration window, or an extra column in the same sentence style and the agent edits the app in place — you do not start over, and you do not wait for anyone to build it.

Limitations

  • Snapshot data, not a transaction tape: the build reads the chain as it stands, so it cannot attribute a trade to a buyer or a seller.
  • Open interest updates once a day, so an intraday volume/OI comparison is always this session’s volume against yesterday’s open interest.
  • Contract coverage is U.S. listed equities, ETFs and indices. Indices use the I: prefix, for example I:SPX.
  • Current per-contract valuation is Massive fair market value (FMV), a proprietary estimate. cvforge does not provide option bids, asks, midpoint, quote sizes, NBBO or last trades, and FMV is not an executable quote.
  • Rankings are arithmetic on Massive fair market value estimates, not advice. FMV is not an executable price, and nothing here accounts for your account, margin, assignment risk or taxes.
  • Multi-leg structures are valued leg by leg using FMV estimates. cvforge has no option quote or last-trade data with which to model fills or transaction costs.

Related demos

Search focus: delta neutral strangle scanner. Related: strangle screener by expiration, rank strangles risk reward. Originally posted on X.