Options roll scanner
Enter your open covered call or cash-secured put position and see the top-ranked roll candidates. Composite score combines net credit, delta reset, days added, and extrinsic capture — the four objectives income sellers optimize for when deciding whether to roll or let expire.
All fields required. Data is 15-min delayed during market hours. Rolls are compared to the closest actual expirations to your 7 / 14 / 21 / 30 / 45 / 60 DTE targets.
What is rolling?
Rolling an options position means simultaneously closing your existing short and opening a new short at a different strike, expiration, or both. Mechanically it is two trades, but income sellers treat it as one unified operation with a single objective: net credit received = new premium collected − buyback cost of the current position.
A profitable roll is one where net credit > 0. That is, you buy back the current short for less than you sell the new short. Net credit is the compounding lever that turns a single premium sale into a multi-month income stream.
How the scoring works
Each candidate is scored on a 0-100 composite of four objectives, weighted as follows:
- Credit score (40% weight): Net credit as a percentage of strike. Higher is better. Rewards rolls that collect more premium per dollar of capital at risk.
- Delta score (25% weight): How close the new short's delta is to your target. Peaks at target delta (default 0.25). Rewards rolls that reset your assignment risk to your preferred zone.
- Days score (20% weight): Days added to the position. Peaks at 21-45 DTE window. Short rolls (<14 days) rack up transaction costs; long rolls (>45 days) trap capital.
- Extrinsic score (15% weight): Portion of new premium that is time value vs intrinsic. Higher is better because time value is what decays back to zero (your P&L on the roll leg).
The composite score answers a nuanced question: "which candidate is best when I weight all four objectives simultaneously?" A single-objective view (e.g., "highest credit") often surfaces suboptimal choices — the highest-credit roll might have delta too high (assignment risk), too many days added (capital trapped), or all-intrinsic value (no time-value decay).
When to roll (and when not to)
Roll for credit — the classic setup
The underlying has moved against you (up on a CC, down on a CSP) and your current short has grown more expensive to buy back. You can roll to a later expiration at the same or better strike and still collect net credit. This is the most common roll.
Roll for time — capital efficiency
Your position is nearing expiration and you want to keep collecting premium without waiting to open a new position. Roll to a farther expiration at the same strike for a small credit. Not the highest yield, but keeps the wheel spinning.
Roll up/down for delta reset — risk management
The stock has moved and your original short is now much closer to ITM than you're comfortable with. Roll up (CC) or down (CSP) to reset delta closer to your target (typically 0.20-0.30). Often for a debit — you're paying to reduce risk.
When NOT to roll
- Debit rolls with no strategic reason. If you're paying to roll and you're not resetting delta or moving to a materially different setup, just close and re-enter.
- Rolls to sub-1-week DTE. Rack up trading costs, negligible credit.
- Rolls into earnings. IV expansion pre-earnings inflates buyback costs and premium on the new short; the net credit looks good but you're taking on binary event risk.
- Rolls that violate your original thesis. If you sold a $500 SPY CSP because you'd own SPY at $500, don't roll down to $480 just to save the trade. Take the assignment.
Frequently asked questions
What target delta should I use?
Retail convention is 0.20-0.30 for typical income-selling. 0.20-0.25 is more conservative (less premium, less assignment risk). 0.30-0.35 is more aggressive (more premium, higher assignment risk). The scanner defaults to 0.25 which is a common industry middle.
Why does the scanner only show OTM candidates?
Because rolling ITM shorts is usually not a roll — it's assignment. If you want to roll an ITM position, you're typically better off closing (accepting assignment or taking the loss) rather than rolling further ITM.
What is "extrinsic capture" and why does it matter?
Extrinsic (time value) is the portion of an option's price that decays to zero at expiration. When you sell an option, extrinsic is your maximum profit. High-extrinsic candidates give you more room for theta decay to work in your favor before expiration.
Are tax implications reflected in the score?
No. Rolling has real tax implications — each closed short generates a short-term capital gain or loss depending on holding period and whether you were the writer. Consult a tax professional. This scanner is a strategy-selection tool, not a tax planner.
Can I roll a CC to a different strike AND further out?
Yes — that's a "diagonal roll." The scanner considers all combinations of expiration (7 targets) and strike (all OTM within ±12% of spot) so diagonals are naturally in the candidate set. Look at candidates where "days added" and "strike moved" are both non-zero.
How does this handle assignment risk?
The delta score explicitly rewards resetting to your target delta. If your current short has delta 0.55 (deep ITM), rolls that reset to 0.25 will score much higher than rolls that stay at 0.55. This is the primary risk-management use case for the scanner.
Related tools
- Covered Call Calculator — standalone CC calculator with strike selection and yield analysis.
- Cash-Secured Put Calculator — same for CSPs.
- Portfolio CC Optimizer — scan CCs across your entire portfolio.
- IV Rank Leaderboard — check IV posture before rolling.
- Expected Move — anchor strike selection to market-implied ±1σ envelope.
- Rolling options glossary — canonical definition with worked example.
Data source: Polygon.io options chains (delayed ~15 min). Methodology on the methodology page. Educational only — not investment advice.