Report Date: 9-Sep-2024
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 | |||||
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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. |
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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 |
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. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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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 [%] |
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
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.
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).
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.
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
Note: E indicates earnings within expiration
Tip: Click on the Expiration link to go directly to the option chain