The underlying of an option contract is the stock, ETF, commodity or index that the options trade against. The price movement and volatility of the underlying affects the pricing of the option throughout its lifespan.
Setups are a specific combination of options contracts that matches a strategic objective. Setups are sometimes referred to as spreads or "strategies" (not to be confused with a Brutus Options Ranking strategy).
Implied Volatility (IV) Percentile is a measure used to compare the underlying's current IV (as an average of all available options contract pricing) to historic values, which range defaults to the past year.
Market Capitalization, also called 'Market Cap' for short, is the total value of outstanding shares for the Underlying. Market Cap describes the value of the company or the size of an ETF's assets under management.