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 theoretical straddle values for the same strike using historical close-to-close volatility for the past 20 days and the past year.
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.
|In Watchlist||Stock Type||Expiration||
3 Days to Exp
(3 Trading Days)
|Theo Straddle vs Market Compares the Theo Straddle Price to the Straddle Bid and Straddle Ask||Earnings Date|
|In ETF||Avg Opt Volume The average daily option volume for the underlying symbol.||Current Volume||Ex-Dividend|
|Market Cap||ATM Bid-Ask Spread|
|Underlying||Expiration||Option Straddle Market Price vs. Theo||20-Day Historical Volatility||1-Year Historical Volatility|
|Symbol||Market Cap||Price||Date||ATM Strike||Current Volume Total trading volume for the designated expiration for the current trading day||ATM IV||Bid Price The current market Call Bid plus Put Bid for the at-the-money strike for the designated expiration||Theo Price Theo is made up of 50% Straddle Price from 20-Day Volatility plus 50% Straddle Price from 1-Year Volatility. If the Theo is below the Straddle Bid, it will light up red. If it is above the Straddle Ask, it will light up green.||Ask Price The current market Call Ask plus Put Ask for the at-the-money strike for the designated expiration||Implied Move The market straddle's implied % move, which is equal to the straddle price divided by the current at-the-money spot price||20-Day Vol||
for 20-Day Vol Theoretical straddle price using the 20-Day Historical Volatility to calculate the option prices.
Straddle Implied Move
for 20-Day Vol The implied % move using the 20-Day Theoretical Straddle Price, which is equal to the straddle price divided by the current at-the-money spot price
for 1-Yr Vol Theoretical straddle price using the 1-Year Historical Volatility to calculate the option prices.
Straddle Implied Move
for 1-Yr Vol The implied % move using the 1-Year Theoretical Straddle Price, which is equal to the straddle price divided by the current at-the-money spot price
We take the 20-day and 1-year historical volatility and calculate a theoretical straddle price using that volatility (as opposed to the current market price)
The column for Theo Price is equal to 50% of the Price for 20-Day Vol plus 50% of the Price for 1-Year Vol
If the Theo Price is above the market ask, it will light up green. If it is below the market bid it will light up red.
This theo is considered a starting point for research purposes
Note: E indicates earnings within expiration
Limited Time Offer:
Claim your free copy of income expert Bryan Perry's new report:
My Top Monthly Dividend Payer (8% Dividend Yield)
You'll also receive Bryan Perry's weekly e-letter, Dividend Investing Weekly, at no cost, along with other associated financial content and special offers.