Report Date: 19-Apr-2024
Use this screener to evaluate current at-the-money straddle values against historical theo values. We compare the current market price of the straddle (bid and offer) to a theoretical value created by analyzing results of a historical price return distribution.
The risk of selling options is not limited to the initial cost of the straddle. The risk tab shows the amount at risk for the straddle given multiple high-risk scenarios for the stock price.
Use the Filter choices to narrow your search by Expiration Date, Stock Type, Market Cap, Average Volume, and several others.
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Underlying | Expiration | Theoretical Value | Risk | Events | |||||
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In Watchlist | Expiration |
25 Days to Exp (19 Trading Days) |
Buy/Sell Action | Ratio 10% Move The risk to premium ratio for the straddle if the stock price experiences a 10% move in either direction over the course of the straddle's holding period | Earnings Date | ||||
In ETF | Exp Opt Volume The current options volume for the expiration | # Years in Analysis The number of years to use in the historical stock return distribution analysis. The default is 4 years. | Ratio 3 Std Dev Move The risk to premium ratio for a 3-standard-deviation move, in either direction, based on the distribution of price returns for holding periods equivalent to the # of days to expiration. | Ex-Dividend | |||||
Market Cap | ATM Bid-Ask Spread | Theoretical Edge A positive edge (in green) is when the current market price of the straddle is a good deal in relation to the theoretical value calculated from the historical distribution. | Ratio Hist Max Move The risk to premium ratio for the historical maximium move, in either direction, based on the distribution of price returns for holding periods equivalent to the # of days to expiration. | Company Event | |||||
Stock Type | IV vs 20-Day Vol | Theo Win Rate The frequency with which the current market price of the straddle would have resulted in positive returns by expiration, based on the historical price changes available for this analysis. | |||||||
Avg Opt Volume The average daily option volume for the underlying symbol. | IV vs 1-Yr Vol | ||||||||
Stock Price |
Underlying | Straddle Price | Theoretical Value | Straddle Details | Current Market | Straddle Risk | 20-Day Historical Volatility | 1-Year Historical Volatility | Events | Stock Price Return Distribution for Historical Holding Period Over Selected Timeframe |
Amount At Risk Selling certain option strategies produces greater risk than simply the cost of the option. If you sell a call, for instance, the potential loss is infinite -- the price could just keep going up. Here, you see a breakdown of the potential amount at risk for each straddle below. When buying straddles, the risk is fixed -- just the amount you paid for the straddle. When selling, the potential risk is greater, so we use three metrics to compare risk. | Risk to Premium Ratio When selling straddles, this is the ratio of the amount at risk divided by the amount received (the initial market price of the straddle) | ||||||||||||||||||||||||||||||||
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Symbol | Stock Price |
Chg | % Chg | Market Cap | Market Price The current market price for either the straddle bid (on Short side) or straddle ask (on Long side) | Theo Value Using a historical price return distribution for holding periods matching the # of days to expiration, we calculate a theoretical value of the current straddle based on historical price changes available in this analysis. | Theo Edge A positive edge (in green) is when the current market price of the straddle is a good deal in relation to the theoretical value calculated from the historical distribution. | % Win Rate The frequency with which the current market price of the spread would have resulted in positive returns by expiration, based on the historical price changes available in this analysis. | Analysis | Action Whether you're Buying (Long) or Selling (Short) the specified straddle | Exp. Date |
ATM Strike The current at-the-money strike for the expiration. The straddle values are based on buying or selling the options on this strike |
Exp. Options Volume Total options trading volume for the designated expiration for the current trading day |
ATM IV |
Straddle Bid Price The current market Call Bid plus Put Bid for the at-the-money strike for the designated expiration |
Straddle Ask Price The current market Call Ask plus Put Ask for the at-the-money strike for the designated expiration |
Straddle Implied Move The market straddle's implied % move, which is equal to the straddle price divided by the current at-the-money spot price |
Downside Break Even The price, to the downside, at which the straddle would become more valuable than the initial cost |
Upside Break Even The price, to the upside, at which the straddle would become more valuable than the initial cost |
20-Day Vol |
IV vs 20-Day Vol The current at-the-money implied volatility versus the 20-day historical volatility, expressed as a percentage, above or below |
Straddle Implied Move for 20-Day Vol The implied % move for this expiration using the 20-Day Historical Volatility |
1-Yr Vol |
IV vs 1-Yr Vol The current at-the-money implied volatility versus the 1-year historical volatility, expressed as a percentage, above or below |
Straddle Implied Move for 1-Yr Vol The implied % move using the 1-Year Historical Volatility |
Potential Catalysts Any events occurring within the expiration that might be a catalyst for options activity E indicates earnings D indicates dividends C indicates company events M indicates market economic events |
Next Div Ex-Date | Next Div Amt | Next Earnings |
Holding Period Days The historical price return distribution uses intervals of this # of holding days |
# Obs |
Abs Avg Move The absolute average % move in the stock price for this historical price return distribution -- for moves in either direction, up or down |
Abs Median Move The absolute median % move in the stock price for this historical price return distribution -- for moves in either direction, up or down |
Abs Max Move The largest absolute % move in the historical price return distribution, in either direction, up or down |
Abs Min Move The smallest absolute % move in the historical price return distribution, in either direction, up or down |
Risk Amount The maximum amount at risk from the three options displayed, unless none of the options are greater than the initial value of the strategy. In that case, we use the initial value of the strategy. |
10% Move The amount at risk for the straddle if the stock price experiences a 10% move in either direction over the course of the straddle's holding period |
3 Std Dev Move Using the historical price return distribution for a holding period equivalent to the # of days to expiration, this is the amount at risk if the stock experiences a 3-standard-deviation move, in either direction. |
Hist. Max Move Using the historical price return distribution for a holding period equivalent to the # of days to expiration, this is the amount at risk if the stock experiences a change in price equal to the greatest observed price change, in either direction. |
Ratio 10% Move The risk to premium ratio for the straddle if the stock price experiences a 10% move in either direction over the course of the straddle's holding period |
Ratio 3 Std Dev Move The risk to premium ratio for a 3-standard-deviation move, in either direction, based on the distribution of price returns for holding periods equivalent to the # of days to expiration. |
Ratio Hist. Max Move The risk to premium ratio for the historical maximium move, in either direction, based on the distribution of price returns for holding periods equivalent to the # of days to expiration. |
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 strategy 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 straddle 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 straddle.
Using the historical distribution, win rate represents the percentage of these historical observations where the current straddle would have resulted in a positive return (given the observed change in stock price over the specified holding period).
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.
Note: E indicates earnings within expiration
Tip: Click on the Expiration link to go directly to the option chain