Wheel screen says wait: tightest Cboe quote is still 18.98%

The setup in 30 seconds

This morning’s wheel screen found no complete setup. Eddie’s live watchlist held 21 names. The first ticker attached to each of the latest ten Tips produced nine distinct exclusions, leaving 12 eligible names. At the 9:51 a.m. ET snapshot, none of their 30–45 DTE puts cleared every liquidity, delta, return, cushion and cross-feed gate. HOOD, GOOGL and MRVL produced the nearest readable lines, but every candidate was far wider than the 8% bid/ask ceiling. Their midpoint return math can look rich while the market itself remains expensive to cross. The morning live-entry window ends at 10:30 a.m. ET. The data are delayed, and this edition presents no trade ticket or expected fill.

What the screen found

The screen required 30–45 DTE, delta from 0.15 to 0.30, at least 500 contracts of open interest, and a spread no wider than 8% of midpoint on both feeds. It also required at least 12% annualized return-on-collateral comparison math, roughly 8% breakeven cushion, the same expiry and strike at Nasdaq and Cboe, and two reasonably consistent underlying marks. A failure at any one gate stopped the candidate.

Why we’re waiting

HOOD had the narrowest Cboe percentage among the near-misses, but it was still not close. The August 28 $80 put had 30 DTE, delta 0.2268 and 618 contracts of open interest. Cboe showed $3.10 bid / $3.75 ask, an 18.98% spread; Nasdaq showed $2.90 / $3.75, or 25.56%. Cboe-midpoint math reached 52.09% annualized with a 17.23% cushion. In plain terms: return and cushion passed, execution quality did not.

GOOGL cleared the return and cushion tests at the $310 strike, but not liquidity. Its August 28 put had 30 DTE, delta 0.1939 and 657 open contracts. Cboe showed $3.20 / $4.05, a 23.45% spread, while Nasdaq showed $3.30 / $4.05, or 20.41%. Cboe-midpoint math was 14.23% annualized with an 8.33% cushion. In plain terms: it only just cleared the economic gates and missed the market-quality limit by a wide margin.

MRVL carried the largest cushion, but its quote was equally wide on both feeds. The August 28 $140 put had 30 DTE, delta 0.1804 and 1,847 contracts of open interest. Nasdaq and Cboe both showed $5.75 / $7.30, a 23.75% spread. Midpoint math reached 56.71% annualized with a 24.43% cushion. In plain terms: high implied volatility lifted the displayed credit, but it did not create a tight market.

The re-screen plan

• Liquidity first: require at least 500 open contracts and a spread at or below 8% on both feeds.
• No midpoint rescue: reject attractive annualized math when the executable market remains wide.
• Two-feed agreement: match expiry, strike, open interest and the current market before printing a ticket.
• Fresh numbers only: rebuild the screen for the next slot; never carry this 9:51 a.m. snapshot forward.

What could go wrong by forcing it

1. Execution drag: crossing an 18.98%–25.56% spread can reduce the starting credit before the stock moves.
2. False precision: midpoint-based annualized figures are comparisons, not available prices or forecasts.
3. Thin exit: a contract that is costly to enter may also be expensive to buy back or roll later.