OptionBench — options scanner suite

[Kim]

 

A comment regarding M:

As of 10PM Eastern on Macy's Investor's URL, the Earnings date is not confirmed.

https://www.macysinc.com/investors/events-presentations-and-investor-updates/events/default.aspx

 

[Romuald]

On 8/15/2026 at 11:00 PM, Canuck_Dave said:

@Romuald .really like the changes to the entry readings the scales help show now vs historical ..... are there plans to introduce a short strategy to the mix - would be interesting to see how say a put credit spread has fared over the last number of cycles ... thanks for all your work to keep tweaking (improving) the tool 

 

Glad the scales read better: that was the intent, and you're the first to say so.

On short strategies: yes, and closer than you'd think. Credit put and call spreads already exist in the platform as ETF screeners, but they're general screeners — not anchored to an event. What you're describing is different: selling premium into an earnings or macro event to collect the IV crush afterwards. That's been in my backlog since July under exactly that framing.

The reason it hasn't shipped is that it's the mirror image of everything currently in there. Every strategy in the pre-earnings and pre-events scanners exits before the announcement: they buy the ramp in implied vol and never touch the move itself. A credit spread held through the print is the opposite trade: defined risk, but the event is now in your result rather than out of it. Different entry window, different exit rule, different backtest.

Worth doing though, and the machinery for the backtest already exists in my code. If you have a view on where the short strike should sit — 15 delta, 20 delta — I'd take it, because that's the parameter I'd otherwise pick arbitrarily.