Credit (Short) Call Spread Screener

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Outlook:Bearish Market

Report Date: 7-Dec-2018

Bear (Short) Call Spreads involve selling call options for an expiration of a particular underlying asset at a particular strike price and buying the same number of call options for the same expiration at a higher strike price. Because you are selling options at a higher premium than you are buying, this strategy nets a premium for the investor at the time of the trade.

Use the Filter choices to narrow your search by Expiration Date, Spread Between Strikes, Moneyness range, Earnings Date, Ex-dividend Date, etc. View filtered results in the Summary tab which include key statistics on the spread. The Earnings & Dividends as well as Volatility tabs show additional data related to each spread, including Next Dividend Ex-Date, Earnings Date, and both Implied and Historical Volatility. Sort the table by clicking on column headings. Click on the icons in the Symbols column to view more information on the specific stock. Use the Search box to find a particular symbol.

Click here to learn more about Bear Spreads.

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Option Spread ParametersUnderlying Stock IdeasPayoffs at ExpirationHistorical Distribution and Seasonality

Strategy Parameters Events Theoretical Edge
Expiration 11 Days to Exp
(9 Trading Days)
Moneyness Earnings Date Theoretical Edge A positive edge (in green) is when the current market price of the spread is a good deal in relation to the theoretical value calculated from the historical distribution.
Spread Between Strikes Return if Stock Flat Ex-Dividend Theo 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 for this analysis.
Delta Cushion To Breakeven

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Note: E indicates Earnings
Stock Details Credit Theoretical Value Credit Call Spread Details Option Risk Profile Events Volatility Technical Indicators Stock Price Return Distribution for Historical Holding Period
Over Selected Timeframe
Stock Price Return Distribution for Historical Seasonality
Over Selected Timeframe
Strategy Payoff Scenarios
Symbol Name Stock Price % Chg Market Cap Market
Price
The net option premium received by executing this spread trade. Because the option you're selling is a higher cost than the option you're buying, you collect a net premium from the spread.
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 spread based on historical price changes available in this analysis. Theo. Edge A positive edge (in green) is when the current market price of the spread 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. Sharpe Ratio Analysis Theo. Value Theo. Edge % Win Rate Sharpe Ratio Analysis Credit/Spread Ratio The net option premium received as credit for this spread divided by the difference in dollar amount of the strikes involved. If the spread includes the $10 strike and the $15 strike, this is considered a $5 spread. Spread
Bid
Spread
Ask
Sell
Delta
Sell
Strike
Sell Call Bid Sell Call Ask Buy
Strike
Buy
Delta
Buy Call Bid Buy Call Ask Expiration Max Loss Breakeven
Price
The stock price at which the spread breaks even. If the stock is below this price, the spread will have a positive return. If it is above this price, it will lose money.
Upside
Cushion
If the current stock price is below the breakeven price, this is the % change in stock price that exists as a cushion until the stock price reaches the breakeven price
% Return
if Stock
Flat
The % return for the option spread if the options expire with the same underlying price as the current underlying price, as a percentage of the total amount at risk
Next Div Ex Date Next Div Amt Next Earnings Implied Vol Long Implied Vol Short HV 20 Day HV 252 Day Net Delta As Of Time Moving Avg
Indicator
1-Day
Support/Resistance
% From 52-Wk Low % From 52-Wk High Option Order Flow Holding
Period
Days
The historical price return distribution uses intervals of this # of holding days
# Obs % Positive
Obs
The % of historical price return observations in which the stock had a positive change in price
% Negative
Obs
The % of historical price return observations in which the stock had a negative change in price
Avg Move The average % move in the stock price for this historical price return distribution Median
Move
The median % move in the stock price for this historical price return distribution
Avg Up
Move
The average % move in the stock price for this historical price return distribution, for only positive price movements
Avg Down
Move
The average % move in the stock price for this historical price return distribution, for only negative price movements
Period The seasonal period over which we're conducting this seasonality analysis. For example, if the period is May 1 to May 20, we look at the change in stock price from the start date to the end date of the last 12 years (minimum 8 years if available). # Obs % Positive
Obs
The % of historical seasonal observations in which the stock had a positive change in price
% Positive
Obs
The % of historical seasonal observations in which the stock had a negative change in price
Avg Move The average % move in the stock price for this historical seasonality analysis Median
Move
The median % move in the stock price for this historical seasonality analysis
Avg Up
Move
The average % move in the stock price for this historical seasonality analysis, for only positive price movements
Avg Down
Move
The average % move in the stock price for this historical seasonality analyis, for only negative price movements
If Stock
-1 StdDev
at Exp
The % return for the option spread if the options expire and the underlying price has declined one standard deviation from the current price. The standard deviation is calculated from the at-the-money straddle's implied move.
If Avg
Seasonal
Down
Move
The % return for the option spread if the stock price at expiration is equivalent to the current stock price plus the average negative % move of the historical seasonality analysis
If Avg
Down
Move
The % return for the option spread if the stock price at expiration is equivalent to the current stock price plus the average negative % move of the historical price return distribution
% Return
if Stock
Flat
The % return for the option spread if the options expire with the same underlying price as the current underlying price, as a percentage of the total amount at risk
If Avg
Move
The % return for the option spread if the stock price at expiration is equivalent to the current stock price plus the average % move of the historical price return distribution
If Avg
Seasonal
Move
The % return for the option spread if the stock price at expiration is equivalent to the current stock price plus the average % move of the historical seasonality analysis
If Avg
Up
Move
The % return for the option spread if the stock price at expiration is equivalent to the current stock price plus the average positive % move of the historical price return distribution
If Avg
Seasonal
Up
Move
The % return for the option spread if the stock price at expiration is equivalent to the current stock price plus the average positive % move of the historical seasonality analysis
If Stock
+1 StdDev
at Exp
The % return for the option spread if the options expire and the underlying price has gained one standard deviation from the current price. The standard deviation is calculated from the at-the-money straddle's implied move.

About Historical Distributions

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 spread based on those historical changes in stock price

Click on the Analysis link for a more detailed breakdown

Theoretical Value:

Example: The stock price is $100, and we have a credit call spread of Buy 95 strike and Sell 90 strike, with 25 days to go before expiration. We know that if the stock finishes below $90 (down -10%), the spread will be worthless ($0 value). If the stock finishes above $95 (down -5%), the spread will be worth $5.00.

Our historical return distribution could tell us, for example, that for 25-day holding periods in the past, the stock has finished -10% or below 25% of the time, and -5% or above 75% of the time.

To calculate the theoretical value then, we would add the value of the first part [25% of returns x $0 value = $0.00] to the value of the second part [75% of returns x $5.00 value = $3.75] to get the result, $3.75.

Theoretical Edge:

Using the historical distribution, we calculate a theoretical value of the current spread 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 spread.

If the theoretical value is greater than the amount received to sell the spread (Credit), then the theoretical edge will be negative. If it is lower, it will be positive.

Theoretical Win Rate

Using the historical distribution, win rate represents the percentage of these historical observations where the current spread would have resulted in a positive return (given the observed change in stock price over the specified holding period).

This means that the end value of the spread would have been less than the amount received from the initial sale (Credit).

About Historical Seasonality

We look at seasonal changes in stock price for up to the last 12 years (with a minimum of 8 years)

If today is May 1 and the option expires May 20, we look at the stock's price change for each year from May 1 to May 20

It finds the start and end value of the stock price for those date ranges, and calculates statistics from it

We use those values to calculate the average return and % positive observations for the stock over those results

Click on the Analysis link for a more detailed breakdown

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