Options Screener Metrics Glossary: Edge %, Return/Day, Theta Efficiency, and Win Rate
An options screener hands you a table of numbers. Before you sell a put, a covered call, or a spread from that table, you need to know what each column measures, what it leaves out, and how the columns work together. This glossary explains the metrics in Tiblio's HV Options Screener in plain language: Edge %, Return %, Return/Day, Theta and theta efficiency, Win Rate, and the volatility and scoring columns behind them.
Short answer: Edge % compares the screener's theoretical (Black-Scholes) value with the market midpoint, as a percentage of premium. Return % is premium divided by the collateral or max risk. Return/Day divides Return % by days to expiration so different expirations can be compared. Theta is the dollar value an option loses each day from time decay, and theta efficiency describes how much of that decay you earn for the capital you tie up. Win Rate is the historical share of days in a lookback window when the contract would have expired out of the money. It is one input to expected value, not a forecast.
Formulas below come from Tiblio's Screener Metrics reference (the source of truth for column definitions). This page explains how to read them together.
Where these numbers come from: the nightly HV pipeline
Every night after the market closes, Tiblio computes historical volatility for every symbol in its universe (the S&P 500 by default, plus any valid symbol you add to your watchlist). It then builds screener snapshots across seven screen types: Short Puts, Short Calls, Vertical Spreads, Vol Crush, Earnings Calendar, Dividends Calendar, and Low Beta. Each contract is ranked by Edge %, Return %, Return/Day, and Win Rate.
Two things follow from that:
- Without a broker connected, the numbers are end-of-day. They use theoretical prices from the nightly run. They work for planning, but they do not reflect intraday moves.
- With a broker connected and Live Mode on, bid and ask come from your broker's real-time quotes, the Greeks (delta, theta, IV) update, and Edge % recalculates on live pricing. This matters most during market hours (9:30 AM to 4:00 PM ET).
So read a morning screen as "what last night's data said," and use Live Mode before you place an order.
Edge %
What is Edge % in an options screener? Edge % measures the gap between an option's theoretical (Black-Scholes) price and its market midpoint, expressed as a percentage of the premium.
Tiblio's published formula:
Edge % = (Theoretical Price − Market Midpoint) ÷ Premium × 100
The theoretical price is what a pricing model says the contract is worth given its inputs. The midpoint is halfway between the current bid and ask. Edge % shows how far apart those two values are, scaled to the size of the premium, so a gap on a $0.40 option and a gap on a $4.00 option can be compared.
The reference describes positive edge as the side favorable to sellers and calls it a kind of "margin of safety." In practice:
- Use it to rank, not to decide. Edge % depends on the model's inputs. If volatility is about to change (earnings, news), the model can be off.
- Check it in Live Mode. An end-of-day edge can shrink or flip once real bid/ask quotes replace theoretical values.
- Wide markets distort it. If the bid/ask spread is wide, the midpoint is a soft number, and so is the edge.
Return %
What is Return % for a sold option? Return % is the maximum profit on the trade as a percentage of the collateral or margin it requires.
Tiblio's formulas:
- Puts: Premium received ÷ (Strike × 100 × Quantity) × 100
- Spreads: Premium received ÷ Max risk × 100
Illustrative example (not a live quote): you sell one $50 put for $1.00, so you receive $100. The collateral is $50 × 100 = $5,000. Return % = $100 ÷ $5,000 × 100 = 2.0%.
Return % is the maximum, the result if the option expires worthless and you keep the full premium. It is not what you should expect on every trade. The denominator also matters: a defined-risk vertical divides by max risk rather than the full strike, so it can show a higher Return % on less capital. The structure is different, not better.
Return/Day
What is return per day in an options screener? Return/Day is Return % divided by days to expiration (DTE). It puts trades with different expirations on the same time scale, so you can compare a 15-day trade with a 45-day trade.
Return/Day = Return % ÷ DTE
Illustrative example: the 2.0% put above has 35 DTE, so Return/Day ≈ 2.0 ÷ 35 ≈ 0.057% per day. A different put that offers 0.6% with 7 DTE comes to about 0.086% per day. The shorter trade scores higher per day, even though it collects much less premium.
How to read it:
- It is for comparing, not projecting. A higher Return/Day means more maximum return per day of collateral tied up. It does not mean you can repeat that rate back to back. Each new trade carries its own risk, and capital sometimes sits idle.
- Short DTE inflates it. Very short expirations often top the Return/Day column. They also give you less time to manage a trade that moves against you. Many income sellers pick a DTE band first (Tiblio's screener defaults to 7–55 DTE, and its docs describe 20–45 as a common range) and compare Return/Day only inside that band.
- Pair it with the ownership test. For cash-secured puts, the best Return/Day on a stock you would not want to own is still the wrong trade.
Theta
What is theta? Theta is the dollar amount an option's value falls each day from time decay, all else equal. When you sell an option, theta works in your favor.
Example from the reference: a theta of −$0.05 means the option loses about $5 per contract per day, all else equal.
Theta is not constant. It tends to speed up as expiration gets closer, which is one reason income sellers often work inside about 45 DTE. For a fuller definition, see the theta glossary entry.
Theta efficiency
What is theta efficiency? Theta efficiency describes how much daily time decay a position earns for the capital it ties up. Across the options-education category, it is usually expressed as daily theta divided by the margin or collateral required.
How this maps to Tiblio: Tiblio's homepage and FAQ list theta efficiency as one of the inputs it uses to score contracts (with edge, return, and win rate), and the homepage labels the Return/Day column "decay efficiency." Tiblio's public metrics reference does not publish a separate theta-efficiency formula. The closest published column is Return/Day, which measures maximum return per day of collateral. Read the two ideas together: both ask how much you are paid per day for the capital you commit.
What theta efficiency does not capture:
- Directional risk. A position can decay nicely and still lose money if the stock moves through your strike.
- Gamma near expiration. The same fast decay that boosts theta late in a contract's life also makes the position more sensitive to price moves.
- Volatility changes. If implied volatility rises, the option can gain value even while time passes.
Win Rate
What is Win Rate in an options screener? In Tiblio's screener, Win Rate is the historical percentage of trading days in the lookback period on which this specific contract would have expired out of the money, meaning worthless for the buyer and kept by the seller.
Example from the reference: a Win Rate of 78% means that on 78% of the days in the lookback period, the contract would have ended in the seller's favor.
Win Rate is backward-looking. It is a statistical baseline from past price behavior, not a promise about the next expiration.
Win Rate is an input to expected value, not the answer
Win Rate counts how often a seller would have come out ahead. It says nothing about how much was gained or lost. Short options pair a capped gain (the premium) with a loss that can be several times larger. That is why Win Rate belongs inside an expected value calculation rather than standing alone:
Expected value ≈ (Win Rate × average gain) − ((1 − Win Rate) × average loss)
Illustrative example: two setups with the same 80% Win Rate can have opposite expected values. One keeps a $100 premium and loses $300 when it goes wrong. The other keeps $100 and loses $600:
- (0.80 × $100) − (0.20 × $300) = +$20 per trade
- (0.80 × $100) − (0.20 × $600) = −$40 per trade
The Win Rate is the same, the results are opposite, and the difference is loss size. This is where Return %, defined-risk structures, and your own exit rules come in: they shape the "average loss" term that Win Rate alone hides.
HV 30d, HV Rank, and IV: the volatility context
The screener is built on historical volatility (HV), so three volatility columns frame every other metric:
- HV 30d: how much the stock has moved over the past 30 trading days, annualized. The reference example: an HV 30d of 35% is roughly 2.2% per day (35% ÷ √252).
- HV Rank: where today's HV sits within the past year's range, from 0 to 100. A reading of 80 means current volatility is higher than 80% of the past year's readings. The reference says higher HV Rank usually means richer premiums and points to readings above 50 for selling.
- IV (implied volatility): the market's forecast of future volatility, implied by option prices. When IV is above HV, options may be pricing in more movement than the stock has recently shown.
Vol Expanding is a flag that marks when a stock's recent volatility is trending up, so premiums may keep rising. See the historical volatility glossary entry for the underlying definition.
Setup Score: the underlying, not the contract
Setup Score is a weighted composite that ranks the setup around a contract. According to Tiblio's options screener docs, it combines:
| Factor | Weight | What it measures |
|---|---|---|
| HV Rank | 35 pts | How elevated volatility is within its yearly range |
| EMA Signal | 20 pts | Trend alignment from moving averages |
| Earnings Safety | 20 pts | Distance to the next earnings event |
| 52-Week Range | 15 pts | Where the stock sits in its yearly price range |
| Insider Signal | 10 pts | Recent Form 4 insider buying or selling |
Setup Score is about the underlying's situation. Edge, return, and theta are contract-level columns shown separately. A sensible reading order is to start with names that have a supportive Setup Score, then compare contracts on those names by Return/Day, Edge %, and Win Rate.
Open the full Screener Metrics reference →
Reading the columns together: a calm checklist
No single column picks a trade. A repeatable way to read a row:
- Ownership or structure first. For puts, would you own 100 shares at the strike? If not, consider a defined-risk vertical or skip the name.
- DTE band. Compare only within the expiration window you have written down.
- Volatility context. Check HV Rank and IV against HV, so you are not selling thin premium in a quiet period.
- Return/Day inside the band. Use it to choose between strikes and expirations that already pass steps 1 to 3.
- Edge %, checked live. Confirm the edge holds on real bid/ask before you trade.
- Win Rate with loss size. Ask what a loss would cost, not only how often the contract finished in the seller's favor.
- Events. Earnings and known announcements belong on the checklist. The screener steers toward spreads when earnings fall within 21 days.
Write those answers down once, and the screener becomes a filter for a plan instead of a menu of tempting numbers.
From reading metrics to running rules
The same columns that help you read a screen can become rules: a DTE band, a delta range, a minimum HV Rank, a profit target, a size limit per name. That is the step from manual covered calls and the wheel to automation. Tiblio Autopilot runs income rules you define on a broker you connect through OAuth, so the plan is applied the same way every time. If your account is at Schwab, tastytrade, or TradeStation, the broker-specific automation guide walks through setup.
See how Autopilot turns screener rules into a repeatable plan →
Common mistakes when reading screener metrics
- Sorting by one column. The top Return/Day row is often the shortest expiration or the riskiest name.
- Treating Win Rate as a forecast. It describes the lookback period. Volatility regimes change.
- Ignoring loss size. A high Win Rate with large losses can still have negative expected value.
- Trusting end-of-day edge at the open. Re-check Edge % in Live Mode on real quotes.
- Mixing denominators. Return % on a spread (max risk) and on a cash-secured put (full strike) measure different capital bases.
- Skipping the calendar. Earnings can make every historical number on the row less relevant.
FAQ
What does Edge % mean on an options screener?
It is the gap between the option's theoretical (Black-Scholes) price and the market midpoint, as a percentage of premium: (Theoretical Price − Market Midpoint) ÷ Premium × 100. Use it to rank candidates, and re-check it on live quotes before trading.
How is Return/Day calculated?
Return/Day = Return % ÷ days to expiration. Return % is premium ÷ collateral for puts (strike × 100 × quantity) or premium ÷ max risk for spreads. It lets you compare trades with different expirations on equal footing.
What is theta efficiency in options?
It describes how much daily time decay a position earns relative to the capital it ties up, usually daily theta ÷ margin or collateral. Tiblio lists theta efficiency as a scoring input. The closest published column, Return/Day, measures maximum return per day of collateral.
Is a higher Win Rate always better?
No. Win Rate counts how often a contract historically finished in the seller's favor, not how large the losses were. Use it inside expected value: (Win Rate × average gain) − ((1 − Win Rate) × average loss).
How often are Tiblio's screener metrics updated?
Every night after the market closes, the pipeline recomputes historical volatility and rebuilds the screener. With a broker connected, Live Mode overlays real-time bid/ask and Greeks and recalculates Edge % during market hours.
Do I need to connect a broker to see these metrics?
No. The screener works with theoretical prices from the nightly pipeline. Connecting a broker adds intraday data and is needed only for Live Mode or automation.
Where are the official definitions?
The Screener Metrics reference is the source of truth for each column. This page explains how to read them together.
A practical next step
Open one screen you actually trade, such as Short Puts for the wheel, and write down your thresholds for each column above: DTE band, minimum HV Rank, how you will use Return/Day, the edge you want to see on live quotes, and the largest loss you will accept for a given Win Rate. Those thresholds are your plan. When they feel routine, they are ready to automate.
Tiblio is built for options-income traders: see how Tiblio works. Screen with the metrics above, learn the covered-call and wheel path, and automate a written plan through a connected broker when you are ready.