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Skillsscanner-pmcc

scanner-pmcc

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Updated 10-16 01:26

About this skill

PMCC Scanner

Finds optimal Poor Man's Covered Call setups by scoring symbols on option chain quality.

What is PMCC?

Buy deep ITM LEAPS call (delta ~0.80) + Sell short-term OTM call (delta ~0.20) against it. Cheaper alternative to covered calls.

Instructions

Note: If uv is not installed or pyproject.toml is not found, replace uv run python with python in all commands below.

uv run python scripts/scan.py SYMBOLS [options]

Arguments

  • SYMBOLS - Comma-separated tickers or path to JSON file from bullish scanner
  • --min-leaps-days - Minimum LEAPS expiration in days (default: 270 = 9 months)
  • --leaps-delta - Target LEAPS delta (default: 0.80)
  • --short-delta - Target short call delta (default: 0.20)
  • --output - Save results to JSON file (use this; Claude generates the report from the JSON)
  • --report - Save auto-generated markdown to file (programmatic fallback only — prefer Claude-generated reports)

Scoring System (max possible: 14, range: -8 to 14)

Category Condition Points
Delta Accuracy LEAPS within ±0.05 +2
LEAPS within ±0.10 +1
Short within ±0.05 +1
Short within ±0.10 +0.5
Liquidity LEAPS vol+OI > 100 +1
LEAPS vol+OI > 20 +0.5
Short vol+OI > 500 +1
Short vol+OI > 100 +0.5
Spread LEAPS spread < 5% +1
LEAPS spread < 10% +0.5
Short spread < 10% +1
Short spread < 20% +0.5
IV Level 25-50% (ideal) +2
20-60% +1
Yield Annual > 50% +2
Annual > 30% +1
Annual > 15% +0.5
Trend Price > SMA50 +1 / -1
RSI > 50 +0.5 / -0.5
MACD > signal +0.5 / -0.5
Earnings Next earnings > 45 days +1.0
Earnings within 45 days -1.0
Earnings within short expiry -2.0
Weekly Options No weekly options listed -1
Strike Density < 3 strikes spot→short -2
< 5 strikes spot→short -1
Short Premium Short mid < $0.10 -1
Short mid < $0.50 -0.5

Weekly-options, strike-density, and short-premium are penalty-only (0 at best), so max_possible_score stays 14 while the theoretical minimum is -8 (base 0, trend -2, earnings -2, weekly -1, strike -2, short premium -1).

Output

Returns JSON with:

  • criteria - Scan parameters used
  • results - Array sorted by score:
    • symbol, price, iv_pct, pmcc_score, max_possible_score (always 14)
    • industry - GICS industry (falls back to sector), or null
    • description - one-sentence company description, or null
    • has_weeklies - whether the symbol lists weekly options (bool)
    • short_window - short-expiry window actually used: "7-21" or "5-30 (fallback)"
    • dividend_yield - continuous dividend yield (fraction) used in the BS/IV math
    • leaps - expiry, strike, delta, iv (calculated from bid/ask), last_price, bid/ask, spread%, volume, OI
    • short - expiry, strike, delta, iv (calculated from bid/ask), last_price, bid/ask, spread%, volume, OI
    • earnings_date - next earnings date (YYYY-MM-DD) or null
    • metrics - net_debit, short_yield% (period yield over the short window), annual_yield%, capital_required
    • score_breakdown - every scoring component as a <name>_delta (float) + <name> (explanation string) pair:
      • Base: leaps_delta, short_delta, leaps_liquidity, short_liquidity, leaps_spread, short_spread, iv, yield
      • Trend: trend_delta, trend (per-indicator dict)
      • Earnings: earnings_delta, earnings
      • Weekly options: weekly_options_delta, weekly_options
      • Strike density: strike_density_delta, strike_density
      • Short premium: short_premium_delta, short_premium
      • All _delta values sum to pmcc_score
  • errors - Symbols that failed (no options, insufficient data)

Report Generation

When the user asks for a report, a written analysis, or a saved document:

  1. Run the scanner with --output to capture JSON data:

    uv run python scripts/scan.py SYMBOLS --output sandbox/PMCC_Scan_YYYY-MM-DD_HHmm.json

  2. Read the JSON output.

  3. Generate the markdown report yourself using the template defined in templates/markdown-template.md. Do not use the --report flag — that produces mechanical string output. Claude-generated reports include real analysis, contextual warnings, and trader-relevant narrative.

  4. Save the generated markdown to sandbox/PMCC_Scan_YYYY-MM-DD_HHmm.md (match the JSON timestamp).

  5. Display the full report to the user.

Examples

# Scan specific symbols
uv run python scripts/scan.py AAPL,MSFT,GOOGL,NVDA

# Scan and save JSON for report generation
uv run python scripts/scan.py AAPL,MSFT,GOOGL --output sandbox/PMCC_Scan_2026-01-15_1430.json

# Use output from bullish scanner
uv run python scripts/scan.py bullish_results.json

# Custom delta targets
uv run python scripts/scan.py AAPL,MSFT --leaps-delta 0.70 --short-delta 0.15

# Longer LEAPS (1 year minimum)
uv run python scripts/scan.py AAPL,MSFT --min-leaps-days 365

IV Calculation

IV is always computed from market price data via Black-Scholes, never taken from Yahoo Finance's impliedVolatility column:

  • During trading hours: IV derived from bid/ask mid price
  • Off-hours (bid=ask=0): IV derived from last price, using the option's last trade timestamp as the pricing moment (not current wall-clock time)

This applies to both compute_atm_iv (used for scanner baseline IV) and per-option delta calculations.

Dividends: the Black-Scholes inversion uses the underlying's continuous dividend yield (Merton model). Ignoring it biases recovered IV downward for calls on dividend payers — badly for high yielders (e.g. a 7%-yield name would read ~12% IV instead of ~24%). The yield is normalized from yfinance's inconsistent fields (dividendRate/price, then trailingAnnualDividendYield, then dividendYield) and reported as dividend_yield (a fraction) in each result. The same yield feeds the strike-selection deltas and the max-profit repricing.

Key Constraints

  • Short strike must be above LEAPS strike
  • Options with bid = 0 and no last price are skipped
  • Moderate IV (25-50%) scores highest

Interpretation

  • Score > 12: Excellent candidate (strong structure + bullish trend + clear earnings runway)
  • Score 10-12: Good candidate
  • Score 6-10: Acceptable with caveats
  • Score < 6: Poor structure, bearish trend, or earnings risk
  • max_possible_score is always 14 — use pmcc_score / max_possible_score to gauge how close a candidate is to perfect
  • Off-hours scores are not comparable to market-hours scores. When bid/ask aren't both > 0 (outside trading hours), spread_pct is forced to 100%, which zeroes out both spread scores (−2 vs a live scan). A candidate can look up to 2 points worse simply because it was scanned off-hours. Compare candidates only within the same scan.

Dependencies

  • numpy
  • pandas
  • scipy
  • yfinance

Timezone

All timestamps and time-based calculations must use the America/New_York timezone. All JSON output must include generated_at (NY time string) and data_delay fields.