When you sell a put, you win if the stock stays above your strike. The Expected Move tells you how far the options market thinks the stock can fall or rise by expiration. If you pick a strike below that range, the market itself says the stock is not likely to get there. You collect the premium with a wider safety cushion.
This scan finds those puts for you. You do not need to calculate the Expected Move or compare strikes by hand.
Note: the Expected Move is an estimate, not a guarantee. A stock can still fall through your strike. Use this scan to find candidates, then check each one before you trade.
How to build the scan:
Pick the strategy. Open the Screener and choose the Naked PUT strategy from the strategy dropdown.
Add the two Expected Move filters. Click "Add Filters", search for "Expected Move", and click Distance Breakeven vs Expected Move and Distance Strike vs Expected Move. A filter turns green when it is added.
Set the strike filter. Open Distance Strike vs Expected Move and set the preset to "Strikes outside EM". This keeps only puts whose strike is below the lower edge of the Expected Move range.
Set the breakeven filter. Open Distance Breakeven vs Expected Move and set the preset to "Breakevens outside EM". The breakeven is your strike minus the premium you collect, so it sits a little lower than the strike. This filter makes sure that point is outside the range too.
Both filters now show "Lower: below 0". Below 0 means below the lower edge of the Expected Move.
Keep the other filters simple. In this example we kept the default settings for the rest: Moneyness from -15% to 15%, an expiration date range of about one month, Bid Ask Spread below 50 cents, Return above 1% and Return (Annualized) above 5%. Change them to match your own plan.
Run the scan. Click "Run Scan". The results show only puts that sit outside the Expected Move.
How to read the results
Scroll the table to the right to see the new columns. The two Distance columns each have an Upper line and a Lower line.
Expected Move: the expected move of the stock, in percent and as a price range.
Distance Strike vs Expected Move: how far the strike is from each edge of the range, as a percentage of the stock price. A negative number means the strike is below that edge.
Distance Breakeven vs Expected Move: the same measure, using the breakeven instead of the strike.
Notes about analyzing the results
Check the premium. A strike far outside the Expected Move is safer but pays less. Use the Return columns to see whether the premium is worth it.
Look at the Distance numbers. The more negative the Lower value, the bigger the cushion. In the NVDA trade above, the strike is only 1.04% below the edge, so the cushion is thin. Pick trades with a more negative Lower value if you want a bigger cushion.
Click a symbol in the results to open the details page and look at the trade in full before you decide.
Remember that the Expected Move changes with each expiration date. A longer expiration has a wider range, so the strike has to be lower to stay outside it.
Save the scan
When you are happy with the setup, click "Save" at the top, give the scan a name such as "Puts outside Expected Move", and run it again whenever you want new candidates.
Summary and bringing it all together
We used the Naked PUT strategy and two Expected Move filters, Distance Strike and Distance Breakeven, both set to outside the Expected Move. The scan returns puts where the market itself says the stock is unlikely to reach your strike by expiration. Sort and filter the list by premium and return, then check the details of each trade before you place it.
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