September 1, 2026: implied volatility runs moderate, topped by SNOW
Our automated end-of-session scan surfaced 12 defined-risk setups across 11 names. The average modelled probability of profit was 55%, with implied volatility averaging 36.4% 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 SNOW (66.8%), ORCL (65.1%), MU (60.2%). 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 Butterfly on ASML — roughly a 64% modelled probability of profit over 30 days, about $2,150 of maximum profit against $350 of defined risk, with break-evens near 1721.5.
- Iron Butterfly on DIA — roughly a 63% modelled probability of profit over 30 days, about $552 of maximum profit against $240 of defined risk, with break-evens near 533.6.
- Bull Put Credit Spread on ASML — roughly a 51% modelled probability of profit over 30 days, about $1,010 of maximum profit against $490 of defined risk, with break-evens near 1644.9.
- Bear Call Credit Spread on QQQ — roughly a 54% modelled probability of profit over 30 days, about $183 of maximum profit against $117 of defined risk, with break-evens near 710.83.
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.