July 21, 2026: implied volatility runs elevated, topped by SHOP
Our automated end-of-session scan surfaced 12 defined-risk setups across 11 names. The average modelled probability of profit was 52%, with implied volatility averaging 41.5% across the list.
See today’s live scanMarket posture
The session leaned bearish: more of the setups the scan kept were built to profit if their underlyings weaken — bear call credit spreads and similar. A bearish tilt means the day’s best-scored defined-risk trades were positioned for downside or for a stall, not for a rally.
Where the volatility is
Implied volatility — the price the market puts on future movement — was richest in SHOP (73.5%), SOFI (67.1%), SNOW (62.5%). 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):
- Bear Put Spread on SAN — roughly a 51% modelled probability of profit over 30 days, about $262 of maximum profit against $39 of defined risk, with break-evens near 13.62.
- Bear Call Credit Spread on SPY — roughly a 55% modelled probability of profit over 30 days, about $182 of maximum profit against $119 of defined risk, with break-evens near 751.82.
- Bear Put Spread on QQQ — roughly a 50% modelled probability of profit over 30 days, about $305 of maximum profit against $195 of defined risk, with break-evens near 708.05.
- Bear Call Credit Spread on QQQ — roughly a 54% modelled probability of profit over 30 days, about $171 of maximum profit against $129 of defined risk, with break-evens near 712.72.
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.