Methodology
Why liquidity matters in options ranking
Bid-ask spreads, open interest, and unfillable rankings — why illiquid contracts are excluded before scoring.
An unfillable ranking is worse than no ranking
The cheapest mistake an options screener can make is to rank a candidate the user cannot actually trade. Wide bid-ask spreads, low open interest, and stale quotes all produce contracts that look attractive on paper but cannot be filled at the displayed mid. A ranking that includes such candidates wastes the user's attention and erodes trust in the entire output.
What 'liquid' means here
Voleron applies three liquidity gates before scoring any candidate: bid-ask spread tight relative to the contract's mid; open interest above a minimum floor sufficient for the size a typical user would consider; and a tradable underlying with normal regular-hours volume. Each gate has a defensible threshold; candidates that fail any gate are removed entirely rather than displayed with a warning.
Multi-leg structures multiply the requirement
Liquidity for single-leg structures is the easy case. For multi-leg structures — calendars, diagonals, condors, credit spreads — every leg must be liquid because the structure must be entered and exited as a unit. A four-leg iron condor with three liquid legs and one illiquid leg is, in practice, untradable as a structure. Voleron's iron-condor and credit-spread scanners enforce per-leg liquidity gates before admission.
Why the universe is dynamic
The set of underlyings that pass liquidity gates is not fixed. A name that was liquid last quarter may not be liquid this quarter, and vice versa. The universe is re-evaluated each scan run, which is why the scanner output on any given day reflects the underlyings that are currently tradable rather than a static watchlist.
What this looks like in practice
If a structure does not appear in a Voleron scanner output, one of two things is happening: either it did not score highly enough on the composite rank, or it was filtered out by a liquidity gate before scoring. Both outcomes are intentional. The scanner's job is to surface candidates the user could realistically trade — not to enumerate every theoretical structure on every option chain.