Spreadsheet Ideas: Next Project

As I learn more about options, I am fascinated by the number of spreads with near guaranteed profits. For instance, I can sell deep OTM puts for AAPL at strike 135 and make nice and steady income on a monthly basis. For example, I sold 5 135 strike puts on AAPL for 1.49 each, for a total credit of 1.49*100*5= 745. AAPL closed today at 166.30. What are the odds that this option expires in the money by September - very low. I am willing to bet that I have that I have that that 745 in my pocket.

The question, however, is how does one find trades like this efficiently? The ThinkOrSwim SpreadHacker does a neat job of finding decent profit-yielding spreads that have minimum risk and a good enough return. But, there MUST be a better way to find these arbitrage trades.

So, over the next few months I am going to (hopefully) develop an excel sheet that can filter through various option spreads and find ones that have maximum profit potential with minimal risk.

To get myself started, I will be working on filtering for the following things:

1. If you do not know, the implied volatilities of various strikes for a given month make a pattern called the volatility smile. The problem is that most stocks do NOT follow this pattern symmetrically. Rather, most equities have high implied volatility for lower strikes and low volatility for higher strikes. So if I can make a sheet that scans for IV's that show the Volatility Smile, I can buy highly profitable Call Diagonals (Buy deep ITM call with long expiry, sell OTM call with short expiry. At the end of short call's expiry, sell the long call).
Alternately, if near the money puts have higher implied volatility than OTM puts, and there is a bullish bias, I could sell the NTM put and buy OTM puts for a nice vertical trade set up.

2. Rapidly rising or falling implied and historical volatilities. There are hundreds of applications to this scan and I will cover 2 of them.
If the implied volatilities are falling very fast, while the historical volatility has not fallen, it may be a good time to go long the options because in theory, the options are cheap (of course there are various other factors, but this sort of analysis would be a good starting point).
If the historical volatility is falling while implied is constant/rising, it may be a good set up for a straddle or ratio spread. This could also be a good scan for flag patterns or consolidation/trend reversals.

Mike had suggested a point system to me before. He was developing a sheet which would give equities points based on various factors such as support/resistance levels, fibonaccis, pivot points, etc. I will try to apply that idea in my sheet as well where the stronger the scan, the more points that spread/equity gets.

It is an ambitious project and I do not know if I can download IV's into an excel spreadsheet. Worse comes to worst, I will have to download historical option prices and run Black Scholes or Ross Cox and calculate the IV's. It will probably take me a long time to make this sort of a sheet, but once complete I hope I will be able to identify near-arbitrage opportunities with the highest payoffs.