Calendar Spread Screener

What is a debit calendar spread screener?

A debit calendar spread sells an option that expires soon and buys an option on the same stock, at the same strike, that expires later. The later option costs more, so the trade is opened for a net payment, a debit. It tends to do best when the stock is near the strike as the near-term option expires and the later option still holds its value. The Debit Calendar Call and Debit Calendar Put screeners list these spreads on the stocks we track, one row per spread, with an estimate of what each one is worth.

How the spreads are priced and compared

• Which stocks. Stocks with active options: at least 1,000 option contracts traded today, or an average of 800 a day over the last 90 days, and enough past implied volatility data to compare with.
• The legs. Each row sells the near-term option and buys the far-term option at the same strike: calls on the Debit Calendar Call screener, puts on the Debit Calendar Put screener. Far expirations go out about 9 months.
• Market Price. The net debit at current quotes. Spread Bid and Spread Ask show the spread's own bid and ask, and each leg's bid, ask and delta are in the table too.
• Theoretical value from implied volatility. We take the implied volatility that the stock's options had in the past at a similar number of days to expiration and a similar distance from the stock price, and price the spread with it at today's stock price and interest rate. We use the past 2 years with earnings periods left out, or, when a confirmed earnings report falls before the far expiration, 4 years of past dates with the same number of days to earnings.
• Theo. Edge and % Rank. Edge compares the market price with that theoretical value; a positive edge, in green, means the spread costs less than its theoretical value. % Rank places today's price among the past values: the share of them below the current price.
• Potential payout. What the spread could be worth when the near-term option expires, if the stock is at the strike or unchanged, with the far option valued at the 25th, 50th and 75th percentile of its past implied volatility.
• Updates. We rebuild the rows every few minutes during the trading day, starting about 20 minutes after the 9:30 AM ET open. Before the open, and on weekends and holidays, the page shows the last trading day, with its date above the table.

Theoretical values come from past implied volatility, not a forecast. Implied volatility and the stock can move in ways the past didn't show.

What you can find out

Where to find it

Menu: Screeners › For Premium Users › Calendar Spreads › Debit Calendar Call or Debit Calendar Put, or go straight to /CalendarSpreadScreener/DebitCalendarCallSpread and /CalendarSpreadScreener/DebitCalendarPutSpread. The table opens on the Summary tab, largest companies first, with the near and far expiration filters set to the next two monthly expirations at least a few days out.

Premium and Premium Options members see the full list, 25 rows to a page, and can use the filters, search, sorting and the download. Everyone else sees the first 10 rows, without filters or search.

What the columns mean

FAQ

What is a debit calendar spread?

Selling an option that expires soon and buying one at the same strike that expires later, for a net debit. It tends to do best when the stock is near the strike as the near-term option expires, and loses value when the stock moves far from the strike either way.

How is the theoretical value worked out?

From the implied volatility the stock's options had in the past at a similar number of days to expiration and a similar distance from the stock price, applied to today's stock price and interest rate. We use 2 years of history without earnings periods, or 4 years at the same days to earnings when a confirmed report falls before the far expiration.

What does % Rank mean?

Where today's price sits among the spread's past theoretical values: the share of them below the current price. A lower rank means the spread is cheaper against its own history.

What is the difference between the call and put screeners?

Both sell the near-term option and buy the later one at the same strike, one with calls and one with puts. Both are worth the most when the stock is at the strike as the near-term option expires.

Who can use the calendar spread screeners?

Premium and Premium Options members, with all the filters, search, sorting and the download. Everyone else sees the first 10 rows, without filters or search.

Is a calendar spread with positive edge a recommendation?

No. Edge compares today's price with values from past implied volatility; implied volatility and the stock can move differently this time.