July 3, 2026: a range-bound options tape
Our automated end-of-session scan surfaced 4 defined-risk setups across 4 names. The average modelled probability of profit was 56%, with implied volatility averaging 38.9% across the list.
See today’s live scanMarket posture
The session leaned neutral: 100% of the setups our scan kept were market-neutral, premium-selling structures such as iron condors — the profile that pays when a name is expected to stay inside a range rather than trend hard either way. When range-bound trades dominate the scan it usually means implied volatility is high enough to be worth selling, but no clear directional edge is on offer.
Where the volatility is
Implied volatility — the price the market puts on future movement — was richest in SHOP (59.3%), NVDA (40%), XOM (30.2%). Those are the names where option premium is most inflated, so premium-selling is best paid there, but also where a surprise hurts the most. Fat premium ahead of a catalyst is exactly the "buy the rumor, sell the news" setup: the price is high because the market is bracing for a move.
Setups from the scan
The highest-scoring defined-risk setups from the scan (educational examples, not recommendations):
- Iron Condor on SHOP — roughly a 63% modelled probability of profit over 27 days, about $323 of maximum profit against $78 of defined risk, with break-evens near 124.22.
- Iron Condor on NVDA — roughly a 55% modelled probability of profit over 27 days, about $600 of maximum profit against $901 of defined risk, with break-evens near 179 / 211.
- Iron Condor on BAC — roughly a 55% modelled probability of profit over 27 days, about $114 of maximum profit against $187 of defined risk, with break-evens near 55.87 / 62.13.
- Iron Butterfly on XOM — roughly a 52% modelled probability of profit over 27 days, about $798 of maximum profit against $1,203 of defined risk, with break-evens near 127.03 / 142.97.
This note is generated from an automated end-of-session options scan and is educational market commentary — not investment advice or a recommendation to trade. Modelled probabilities and premiums are estimates; real fills and outcomes differ. Options involve substantial risk. Privacy Policy · Terms & Conditions.