Report Date: 23-Feb-2024
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.
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Outlook:Bearish Market
Option Spread ParametersUnderlying Stock IdeasPayoffs at ExpirationHistorical Distribution and Seasonality
Strategy Parameters | Events | Theoretical Edge | |||||
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In Watchlist | Stock Screener | 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. | ||||
Expiration |
20 Days to Exp (14 Trading Days) |
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. | |||
Spread Between Strikes | Cushion To Breakeven | Company Event | Show Best Only This filter will show you only the best available entry per symbol if selected, taking into consideration the other filters already applied. | ||||
Moneyness | Buy Strike Delta | ||||||
Bid-Ask Spread | Sell Strike Delta |
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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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 |
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 | Buy IV | Buy IV Rank | Sell IV | Sell IV Rank | Underlying Hist Vol 20-Day |
Underlying Hist Vol 1-Year |
Net Delta | As Of Time | Moving Avg Indicator |
1-Day Support/Resistance |
% From 52-Wk Low | % From 52-Wk High | Option Order Flow (Net Delta) |
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 |
% Negative 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. |
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
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.
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.
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).
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.
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
Note: E indicates earnings within expiration
Tip: Click on the Expiration link to go directly to the option chain