Credit Spread Screeners
The Bear Call Spreads and Bull Put Spreads screeners list credit spreads on the stocks we track: the credit at current bid and ask prices, the max loss, breakeven and cushion, and a theoretical value, edge and win rate from the stock's past moves over the same holding period. Premium and Premium Options members get the full lists and the filters; everyone else sees the first 10 rows.
What are credit spread screeners?
A credit spread sells one option and buys a cheaper one on the same stock and expiration, so you collect a net premium up front. A bear call spread sells a call and buys a call at a higher strike: it keeps the most if the stock stays below the lower strike. A bull put spread sells a put and buys a put at a lower strike: it keeps the most if the stock stays above the higher strike. The bought option caps the loss. Our two credit spread screeners list these spreads on the stocks we track, one row per spread, with the credit, the risk and how the trade would have done in the stock's past moves.
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. Expirations go out about 18 months.
- Credit. The Market Price is a credit you could get now: the bid of the option you sell minus the ask of the option you buy. Credit/Spread Ratio divides the credit by the distance between the strikes.
- Risk. Max Loss is the distance between the strikes minus the credit. The breakeven is the stock price at expiration where the spread neither makes nor loses money, and the cushion is how far, in percent, the stock can move toward it from today's price.
- Theoretical value and edge. We look at how the stock moved over past periods as long as the time left to expiration, 4 years of history by default (2 or 6 to choose), matched for earnings: if a report falls before expiration, only past periods with one. Theo. Value is what the spread was worth on average at the end of those periods. For a seller, Theo. Edge is the credit minus that value, as a percentage of the max loss, so it is positive when the credit is above the average payout. These columns are filled in for expirations up to about 8 months out.
- Win rate. % Win Rate is the share of those past periods in which the spread, at today's credit, would have made money by expiration.
- A second, IV-based value. The IV-Based Theoretical Value columns price the spread with the implied volatility the stock's options had in the past at a similar time to expiration, and % Rank shows where today's price falls among those past values.
- Scenarios. The Strategy Payoffs tab shows the return if the stock is flat at expiration, after its average up or down move over the same holding period, after its average seasonal move for the same dates over the past 12 years (shown when there are at least 8), and after a move up or down the size of the at-the-money straddle's price (the ±1 standard deviation columns).
- 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 screeners show the last trading day.
A credit spread can win most of the time and still have negative edge, because its losses are larger than its gains. Win rate says how often, edge says how much.
What you can find out
Which credit spreads collect more than they have paid out in the past?
Sort by Theo. Edge, or set the Theoretical Edge filter to a minimum. Positive edge means the credit is above the spread's average past payout. Show Best Only can keep the best spread for each stock. How theoretical edge is worked out
How often would this credit spread have made money?
% Win Rate shows the share of past periods of the same length in which it would have. Set Theo Win Rate to a minimum to keep the spreads that won most often, and check the edge next to it. Open the Bull Put Spreads screener
How far can the stock move before the spread loses money?
Downside Cushion on the bull put screener and Upside Cushion on the bear call screener show the percentage move from today's price to the breakeven. The Cushion To Breakeven filter sets a minimum. Open the Bear Call Spreads screener
How do I find out-of-the-money credit spreads?
Set Moneyness to Spread is Out-of-the-Money, or filter on the delta of the sold strike. Spread Between Strikes picks the width, from $0.50 to $20, and starts at a maximum of $5.00. What delta means
Is there an earnings report or ex-dividend date before expiration?
The Earnings Date, Ex-Dividend and Company Event filters keep or drop spreads with an event before expiration, and the Events tab shows the next earnings and ex-dividend dates. How earnings affect option prices
Where to find it
Menu: Screeners › For Premium Users › Vertical Spreads › Bull Put Spreads [Credit] or Bear Call Spreads [Credit], or go straight to /Screeners/BullPutSpreads and /Screeners/BearCallSpreads. The table opens on the Summary tab, largest companies first, for the next monthly expiration and strikes up to $5 apart.
Premium and Premium Options members see the full lists, 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
| Column | What it shows |
|---|---|
| Symbol, Stock Price, % Chg, Market Cap | The stock, its price and change today, and the company's market value |
| Credit: Market Price | The net premium collected: bid of the option sold minus ask of the option bought |
| Theo. Value, Theo. Edge, % Win Rate | From the stock's past moves over the same holding period: average payout, edge as a percent of max loss, and how often it won |
| IV-Based Theo. Value, Theo. Edge, % Rank | The same comparison using the stock's past implied volatility |
| Analysis | The breakdown behind each theoretical value |
| Credit/Spread Ratio, Spread Bid, Spread Ask | Credit divided by the strike width, and the spread's bid and ask |
| Sell / Buy Strike, Delta, Bid, Ask | Each leg of the spread |
| Expiration | The expiration date of both options |
| Max Loss | Strike width minus the credit |
| Breakeven Price, Upside / Downside Cushion | The stock price where the spread breaks even at expiration, and the % move to reach it |
| % Return if Stock Flat | The return if the stock ends where it is now, as a percent of the amount at risk |
| Other tabs | Events, market data, volume analysis with today's multi-leg trades, technicals, the stock's past return distribution and seasonality, IV theo statistics and payoff scenarios |
FAQ
- What is a credit spread?
- Selling one option and buying a cheaper one on the same stock and expiration, for a net premium. A bear call spread sells the lower-strike call; a bull put spread sells the higher-strike put. The bought option caps the loss at the strike width minus the credit.
- How is theoretical edge worked out for a credit spread?
- The credit minus the spread's theoretical value, its average payout over past periods of the same length, divided by the max loss. It is positive only when the credit is above that average payout.
- Why can a spread with a high win rate have negative edge?
- Win rate counts how often the spread made money, not how much. A credit spread can keep its small credit most of the time and still lose more on average when the stock moves through the strikes.
- Why are only spreads up to $5 wide shown at first?
- Spread Between Strikes starts at Max $5.00. Premium and Premium Options members can pick a single width from $0.50 to $20.00 instead.
- Who can use the credit 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 high-edge credit spread a recommendation?
- No. Edge and win rate come from the stock's past moves, which may not repeat, and a credit spread can lose up to its max loss.
Related
Theoretical Edge Debit Call Spread (bull call spread) Debit Put Spread (bear put spread) Finding credit put spreads to sellTerms on this page
Credit spread Breakeven Win rate DeltaMarket Chameleon provides data, not investment advice.