At-the-Money Option Straddle Screener

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Report Date: 19-Aug-2019

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.

Click here to learn more about Straddles.

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Underlying Expiration Theoretical Value Risk Events
In Watchlist Expiration 31 Days to Exp
(22 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

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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)
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.

Table Notes

Note: E indicates earnings within expiration

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