Methodology
Scenario estimates vs expected return
Why Voleron reports scenario estimates rather than a single expected-return number, and how to read them.
The problem with a single expected-return number
A single 'expected return' figure for an options structure compresses a probability distribution into one number. That compression hides the shape of the distribution, the location of the breakeven, and the magnitude of the worst-case outcome. Two structures with identical expected returns can have very different distributions — one tightly clustered around the expected value, the other heavily tailed. Reporting only the expected return treats them as equivalent.
Scenario estimates instead
Voleron reports scenario estimates: the position's outcome under specific underlying-price scenarios at expiration. The scanner output includes max profit, max loss, breakeven, and the position's behavior at the short strike or wing boundary. Together these convey the structure's payoff shape rather than collapsing it into one number.
How to read the scenarios
Read the scenarios in three steps. First, locate the breakeven — at what underlying price does the position transition from profit to loss? Second, locate the max-profit and max-loss boundaries — how far from current spot are they, and how is the payoff shaped between them? Third, compare the breakeven distance to the underlying's implied volatility — does the breakeven sit one standard deviation away, or one-quarter of one? The composite rank already incorporates this, but the scenario detail lets the user verify the rank against their own intuition.
Why scenarios are not predictions
Scenario estimates describe what would happen at expiration if the underlying ended at each scenario price. They do not predict where the underlying will end, do not assign probabilities to specific outcomes beyond what implied volatility implies, and do not constitute a recommendation to enter the structure. They are descriptive, not prescriptive.
What this looks like in scanner output
Every Voleron scanner row shows max profit, max loss, breakeven, and downside buffer. Defined-risk strategies (iron condors, credit spreads) also report the position's profile at the wing boundaries. The dashboard view extends this with per-structure scenario detail. Together the scenario fields let the user see the structure's payoff shape at a glance, which is more useful than any single expected-return number could be.