Choose Underlying Choose Quote Date (i.e. from which point in time are you running the analysis) Choose Strike For each front-month-back-month combination: Lookup the cost to open the position At the front month's expiration, the back-month will have a certain DTE. Determine what IV the back-month will need in order to offset this cost, for all possible underlying prices. Determine the 30-day lo-hi range for IV, normalized for distance-from-the-money and time-to-expiry. In other words, a naive 30-day-lo-hi isn't informative, because maybe it was low due to long time-to-expiry, or high due to distance-from-the-money Normalize the IV that was determined to yield a profit, and see if it's higher than the bottom of the lo-hi range. If it is, it's safe; the only way to lose is for it to end-off having a lower IV than the 30-day record.