Debit Calendar Call Spread Screener

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Use the Filter choices to narrow your search by Expiration Dates, Earnings Date, Ex-dividend Date, etc. View filtered results in the Summary tab which include key statistics on the spread. The Earnings & Dividends as well as Volatility tabs show additional data related to each spread, including Next Dividend Ex-Date, Earnings Date, and both Implied and Historical Volatility. Sort the table by clicking on column headings. Click on the icons in the Symbols column to view more information on the specific stock. Use the Search box to find a particular symbol.

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Spread ParametersUnderlying Stock IdeasHistorical IV Theo

Strategy Parameters Events Theoretical Edge
In Watchlist Near Option Delta Earnings Date Theoretical Edge A positive edge (in green) is when the current market price of the spread is a good deal in relation to the theoretical value calculated from the historical distribution.
Stock Screener Near Option IV Ex-Dividend Theo % Rank The percentile rank of the current spread price, within the collection of historical spread theos (calculated using the historical IV-based model).
Represents the number of historical observations that are below the spread's current market price.
Near Expiration 10 Days to Exp
(8 Trading Days) 		Far Option IV Company Event Show Best Only This filter will show you only the best available entry per symbol If selected, taking into consideration the other filters already applied.
Far Expiration 38 Days to Exp
(28 Trading Days) 		Net Option IV
Bid-Ask Spread
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Note: E indicates Earnings
Stock Details Debit Theoretical Value Calendar Call Spread Details Near-Term Option [Sell] Far-Term Option [Buy] Events Volatility Technical Indicators IV Theo Statistics Potential Payout at Near Exp - At Strike This calculates the potential net gain or loss of the spread at the time of the near-term expiration, under the assumption that the stock price reaches the strike price -- therefore the near-term option expires worthless. You are then left with the value of the far-term option, which you are long, less the initial debit of the spread paid upfront. The choices below show the different potential payout amounts based on the implied volatility of that far-term option at the near-term expiration -- 25th percentile IV, 50th percentile IV, and 75th percentile IV. Potential Payout at Near Exp - Stock Flat This calculates the potential net gain or loss of the spread at the time of the near-term expiration, under the assumption that the stock price is flat from the current price. You are then left with the value of the far-term option, which you are long, less the initial debit of the spread paid upfront and the value of the expiring option (if any). The choices below show the different potential payout amounts based on the implied volatility of that far-term option at the near-term expiration -- 25th percentile IV, 50th percentile IV, and 75th percentile IV.
Symbol Name Stock Price % Chg Market Cap Market
Price The net outlay in option premium by executing this spread trade. Because the option you're buying is a higher cost than the option you're selling, you are paying out the net difference in prices. 		Theo. Value Using historical implied volatilities of similar options with similar days remaining before expiration, we calculate an IV-based theoretical value of the current spread, using the current stock price and interest rate. Theo. Edge A positive edge (in green) is when the current market price of the spread is a good deal in relation to the theoretical value (calculated from the historical IV-based model). % Rank The percentile rank of the current spread price, within the collection of historical spread theos (calculated using the historical IV-based model).
Represents the number of historical observations that are below the spread's current market price. 		Analysis Strike
Price		 Spread
Bid		 Spread
Ask		 Days
Between
Expirations		 Expiration
Date		 Days
to
Exp		 Bid
Price		 Ask
Price		 Delta Expiration
Date		 Days
to
Exp		 Bid
Price		 Ask
Price		 Delta Next Div Ex Date Next Div Amt Next Earnings Near Option
[Sell]
Bid IV		 Near Option
[Sell]
Ask IV		 Far Option
[Buy]
Bid IV		 Far Option
[Buy]
Ask IV		 Underlying
Hist Vol
20-Day		 Underlying
Hist Vol
1-Year		 Net Delta Moving Avg
Indicator		 1-Day
Support/Resistance		 % From 52-Wk Low % From 52-Wk High Option Order Flow (Net Delta) Min
Value		 Max
Value		 Median
Value		 Days
to
Earnings		 # Obs # Obs
Above
Current		 # Obs
Below
Current		 % Obs
Above
Current		 % Obs
Below
Current		 # Obs 25 Pct
Option Value
[Far] 		25th Pct
Potential Gain [$] 		25th Pct
Potential Gain [%] 		50 Pct
Option Value
[Far] 		50th Pct
Potential Gain [$] 		50th Pct
Potential Gain [%] 		75 Pct
Option Value
[Far] 		75th Pct
Potential Gain [$] 		75th Pct
Potential Gain [%] 		# Obs 25 Pct
Option Value
[Far] 		25th Pct
Potential Gain [$] 		25th Pct
Potential Gain [%] 		50 Pct
Option Value
[Far] 		50th Pct
Potential Gain [$] 		50th Pct
Potential Gain [%] 		75 Pct
Option Value
[Far] 		75th Pct
Potential Gain [$] 		75th Pct
Potential Gain [%]

About Historical Distributions

We compile an interval-based historical price return distribution for the underlying stock

If there are 20 days to go until expiration, we go back historically and look at intervals with a 20-day holding period for changes in stock price

If there is an earnings date coming up before expiration, we look at only those historical periods that included an earnings date

Similarly, if there is no earnings date before expiration, we look at only historical periods without earnings

We use those intervals to calculate a theoretical value for the spread based on those historical changes in stock price

Click on the Analysis link for a more detailed breakdown

Theoretical Value:

Theoretical Edge:

Using the historical distribution, we calculate a theoretical value of the current spread based on these past changes in stock price.

To determine the edge, we take that value and compare it to the current market price of the spread.

If the theoretical value is greater than the cost paid to buy the spread (Debit), then the theoretical edge will be positive. If it is lower, it will be negative.

Theoretical Win Rate

Using the historical distribution, win rate represents the percentage of these historical observations where the current spread would have resulted in a positive return (given the observed change in stock price over the specified holding period).

This means that the end value of the spread would have been greater than the initial cost of the spread (Debit).

Dynamic IV Range Modeling

For the historical distribution, we've implemented a new model utilizing dynamic implied volatility ranges to narrow results around the symbol's current volatility environment. The implied volatility (IV30) is recorded at the start of each historical interval. We only select the 50% of historical observations where the IV30 at the time of the observation is the closest to the current IV30 -- 25% above and 25% below.

This way, if the current IV30 is exceptionally high or exceptionally low, we are focusing only on other historical observations that showed similar volatility.

We only utilize this method if we can ensure at least 16 observations. Otherwise, we continue to use all historical observations, as was the case prior to this method being applied.

About Historical Seasonality

We look at seasonal changes in stock price for up to the last 12 years (with a minimum of 8 years)

If today is May 1 and the option expires May 20, we look at the stock's price change for each year from May 1 to May 20

It finds the start and end value of the stock price for those date ranges, and calculates statistics from it

We use those values to calculate the average return and % positive observations for the stock over those results

Click on the Analysis link for a more detailed breakdown

Table Notes

Note: E indicates earnings within expiration

Tip: Click on the Expiration link to go directly to the option chain