[Update: We have added the ability to control the leg-delta in all multi-legs strategies. Please note that the logic for those filters might be different from that of other filters. Read more below] 

Due to popular demand, we've added the ability to control the individual legs in multi-leg strategies, such as the iron condor, straddle, and more. The filters are easy to understand but have several modes and a unique concepts, so it's worth diving in.


There are four filters, allowing us to control each leg's delta: The short call and short put delta filters control the delta of the SOLD options. The long call and long put filters control the delta of the BOUGHT options. 

The Closest is a unique logic that only scans options with the closest delta to the one specified. Notice that it will filter out all but one option in each expiration, so this filter is very restrictive. It is handy when you know what you are looking for and want to see it in different stocks—for example, Selling an Iron condor with Delta 30, Buying 5 data protection, etc. 

Notably, 'the closest' mode differs from our usual logic. Usually, we look for range and search for the optimal option. But this logic finds ONE option closest to the target and uses only that in the scan.

The Range mode is similar to our regular filter logic. It looks for options with a delta in the range you specify. This is commonly used as a proxy for probability and to find options with a certain probability of profit in the strategy. For example, You want to sell strangles with less than 10% probability of expiring in the money on each side.

Sell delta 30 options, and pick optimal protective legs.
Predefined link: [coming soon]
In this scan, we force the strategy to sell a 30 delta call, and a 30 delta put. We then sort by Expected Value (read more here) to pick the best protective options.
The benefit is that we use a measurement of the statistical edge to pick the best protective legs. However, please note that the edge itself can be negative.

Sell delta 30 options, buy delta 15 options, and sort by profit ratio.
In this case, you can set the legs for the IC you want - Sell 30 delta options and buy 15 delta options as protection. Because this filter is pretty limiting and we are creating the same IC on all stocks - we can increase our expiration date or scan a specific list of stocks we are interested in and compare the same iron condor across different stocks.

Iron Condor main article in the knowledgebase
Expected Value article in the knowledgebase