September 2, 2026: 12 defined-risk setups on a bearish-leaning tape
Our automated end-of-session scan surfaced 12 defined-risk setups across 10 names. The average modelled probability of profit was 56%, with implied volatility averaging 34.9% 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 ORCL (64.7%), MU (59.6%), SHOP (44.4%). 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 IWM — roughly a 59% modelled probability of profit over 29 days, about $311 of maximum profit against $79 of defined risk, with break-evens near 296.21.
- Iron Butterfly on DIA — roughly a 63% modelled probability of profit over 29 days, about $500 of maximum profit against $170 of defined risk, with break-evens near 535.3.
- Iron Condor on DIA — roughly a 63% modelled probability of profit over 29 days, about $213 of maximum profit against $88 of defined risk, with break-evens near 535.13.
- Iron Condor on ORCL — roughly a 62% modelled probability of profit over 29 days, about $318 of maximum profit against $133 of defined risk, with break-evens near 151.18.
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.