Methodology

How Vantis scores a setup.

We publish methodology, not promises. This page describes what the workflow does, what it does not do, and the thresholds that gate every decision.

§ 01 — The screen

The gates.

Before a name can be scored, it has to pass the screen. The gates are conservative on purpose — most of the S&P 500 doesn’t pass on any given day, and that’s the point.

Gate	Threshold	Why
Return on equity	> 12%	Capital efficiency. A coarse proxy for ROIC; we tighten it where data quality allows.
Free cash flow	> 0	Cash the business actually generates, not accounting earnings.
Debt-to-equity	< 1.5×	Manageable leverage. Highly indebted balance sheets break first under stress.
Gross margin	> 40%	Pricing power. Durable economics over commodity-like ones.
Valuation	Below 5-yr average	A valuation anchor. A name trading above its own historical band carries more gap risk on a short put.
Forward P/E	< 25	We're not selling premium on speculative valuations.
Options volume	> 1,000 contracts in 21–45 DTE	Enough liquidity to enter and exit without slippage.
No earnings ≤ 35 days	—	Earnings and other binary events compress IV in a way that breaks the strategy.

§ 02 — The signals

Inputs to the score.

Each candidate that passes the screen is scored across a set of measurable signals. The composite weighting is internal and may evolve as we learn — we add signals, tune weights, and document changes in the in-product release notes. Every score shows its breakdown so the why is visible alongside the number.

The signal weightings are calibrated to historical market conditions. Periods of market stress can produce relationships among these inputs that the calibration does not capture; you should not assume the methodology accounts for tail-risk events that materially differ from historical observations.

Volatility risk premium (VRP): The gap between implied volatility (what option buyers are paying) and realized volatility (what the market actually delivers). The setup we're looking for. Larger gaps, scored higher.
IV percentile (IVP): Where the current implied volatility sits in its trailing distribution. Higher IVP means the premium is priced richly relative to its own history.
Skew: The volatility imbalance between a 25-delta put and a 25-delta call — a risk reversal, the standard option-market measure of skew. It tells us whether the market is paying up for downside protection, and whether the puts we'd sell are richly priced relative to calls.
Realized volatility trend (RVT): Whether the underlying's recent realized volatility is compressing or expanding — its 10-day move measured against its 20-day. Realized vol cooling off while implied stays rich is the premium seller's friend; vol that's expanding scores lower.
Mean reversion (MR): How far the underlying has moved relative to its 20-day mean. Names that have over-extended tend to revert; a stock that has pulled back below its mean scores higher, a stretched one lower.
Valuation floor (Val): A valuation composite built from PEG and forward/trailing P/E. Reasonable valuations score higher; a stretched multiple scores lower, because a short put on an over-valued name carries more gap risk if it breaks.
Options flow (Flow): The premium-weighted put/call ratio measured against the ticker's own history. Heavier put-premium demand lifts what we collect for selling those puts.

§ 03 — The sizing

Fractional Kelly, twice capped.

For each scored candidate, Vantis derives a full-Kelly fraction from the win probability (estimated from the option’s delta) and the payoff ratio (credit collected versus capital at risk). Full Kelly is famously aggressive; we use 60% of full Kelly as the starting point.

The fractional-Kelly result is then capped twice: at 5% of book per position, and at 35% of book in total short-premium exposure. Two layers of conservatism, both deliberate. You can tune the fraction and the caps within your account; you can’t turn off the visibility.

One note: “exposure” is notional commitment, not capital at risk. On a put credit spread, capital at risk is the spread width minus the credit collected — usually a small fraction of the exposure number. The 35% cap is set with that asymmetry in mind.

§ 04 — The defaults

Iron Rules.

Vantis ships with seven default exit and sizing rules — observed guardrails drawn from conservative-pro orthodoxy. They’re visible on every page in the product, tunable to your taste, and we track your actuals against them so you can see where you drifted. The full list and rationale live on the homepage in the Iron Rules section. The summary:

Close at 50% profit. Take the easy half; the next half pays in fewer dollars per unit of risk.
Exit at 2× loss. Capping the loss preserves the strategy; trying to repair losing positions is where wheels go off.
Exit at 21 DTE. Gamma risk accelerates into expiration; we step aside before it does.
Close short premium if VIX spikes more than 20% in a day. Regime-shift protection.
No earnings or binary events. The strategy depends on premium decaying smoothly; binary events break that.
Cap each position at 5% of book.
Cap total short-premium exposure at 35% of book.

§ 05 — What we don't do

The disarmament list.

We don’t pick stocks for you. The screen narrows the universe; the conviction is yours.
We don’t execute trades. Every order is reviewed and placed by you, in your own brokerage.
We’re not a robo-advisor. Your money never touches our infrastructure.
We don’t promise returns. Some scored trades will lose. Discipline applied consistently is the operating premise of the strategy.
We don’t backtest as marketing. If we publish performance data, it’ll be on this page with the methodology that produced it — not in the hero.

§ 06 — A note on time

Time estimates.

Time estimates reflect how the Vantis team uses the workflow. Your routine will vary with your familiarity and your own pace of review.

§ 07 — How this page changes

Versioned, not frozen.

We update this page when the screen, signals, sizing, or defaults change. Material changes are summarized in the methodology changelog. In-product release notes carry the day-to-day operating detail; the changelog is the durable, public record of what changed and when.