BPS Screener Explained: How It Reads the Market and Surfaces Trade Candidates

Every trading day, the BPS Screener runs a multi-step pipeline: it reads the VIX, classifies the market regime, selects the right spread parameters, scans hundreds of options chains, and delivers a ranked list of candidates — with probability data baked in.

This article walks through a real screener report and explains what every number means.

Step 1: Market Regime Detection

The screener starts by reading VIX — the market's implied volatility gauge.

In the report above, VIX was 27.10 → HIGH regime → param set D4_W2_SB2 was selected automatically. No manual adjustment needed.

The logic is simple: when volatility spikes, options premiums are richer, so you can afford to go further out-of-the-money and still collect meaningful credit. The parameter set adapts accordingly.

Step 2: Parameter Selection

Under HIGH regime, the screener uses:

• DTE ~35: 35 days to expiration
• Width $5: $5-wide spreads
• 7 contracts: position sizing per candidate
• Delta range: short put delta range, tuned per regime

These aren't arbitrary numbers — they're tuned against historical data to balance win rate against average credit collected.

Reading the Screener Report

The report surfaces 9 candidates across 6 eligible symbols.

The Columns Explained

Symbol / Price / Spread The underlying, its current price, and the specific strikes. $623/$618 means sell the $623 Put, buy the $618 Put.

OTM% How far out-of-the-money the short put is. 7.5% means the short strike is 7.5% below the current price. Higher OTM% = more buffer before the trade goes wrong.

Delta The short put's delta — a proxy for probability of going in-the-money. -0.178 means roughly 17.8% chance the short strike is breached at expiration.

Credit / Credit $ Premium collected. $0.55 per share = $385 for 7 contracts of a $5-wide spread. This is your maximum profit.

ROC% Return on Capital. Credit ÷ (Width − Credit) × 100. An 11% ROC% means you earn 11% on the capital at risk for this trade.

Liq Liquidity score (0–100). Values near 99% indicate very tight bid-ask spreads — fills close to mid are realistic.

IVR IV Rank — where current implied volatility sits relative to the past 365 days. Higher = richer premiums. The 1 low IVR note in the header flags candidates below the preferred threshold.

TP50% Probability of reaching 50% profit target before expiration (Monte Carlo simulation). 84.7% means 8-in-10 chance the trade hits your profit target early.

Asgn% Early assignment probability for the short put. Values under 5% indicate low risk of being assigned before expiration.

Brch% Breach probability — probability that the short strike is tested at any point before expiration (not just at expiry). More conservative than delta alone. 15.8% means roughly 1-in-6 chance of a scare, even if the trade ultimately expires worthless.

Inv Inventory — existing position size. 22% / 45c means you already hold 22% of your max allocation in QQQ. This prevents over-concentration.

Picking a Trade from the Candidates

Candidates are already ranked by ROC%. Before entering, verify:

1. IVR ≥ 30 — avoid low-IVR candidates (flagged in the header)
2. Brch% ≤ 20% — keeps breach risk manageable in HIGH regime
3. Inv is blank or low — don't over-concentrate in one symbol
4. Liq ≥ 90% — ensures clean fills

In the report above, the top SPY and QQQ entries check all boxes. GLD at IVR 75 is particularly attractive — high IV, very low Brch%, minimal assignment risk.

Why Automate This?

Manually scanning options chains for 70+ symbols, computing Greeks, running Monte Carlo, and cross-checking against existing inventory takes 30–60 minutes per day. The screener compresses this into ~27 seconds and delivers the output to your inbox before market open.

The human decision is still yours. The screener just makes sure you're not missing the best setup of the day.