Debit (Long) Call Spread Screener

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Debit (Long) Call Spreads involve buying call options for an expiration of a particular underlying asset at one particular strike price and selling the same number of call options for that same expiration at a higher strike price. Because you are selling options at a lower premium than you are buying, this strategy requires a net outlay of premium 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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Option Spread ParametersUnderlying Stock IdeasPayoffs at ExpirationHistorical Distribution and Seasonality

Strategy Parameters Events Theoretical Edge
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 14 Days to Exp
(10 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
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Note: E indicates Earnings
Stock Details Debit
(Amount
at Risk)
Theoretical Value Debit 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 outlay in option premium by executing this spread trade. Because the option you're buying is a higher cost than the option you're selling, you are paying out the net difference in prices. This amount also corresponds to the maximum loss you can experience 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 Max Gain % The maximum gain for the spread, as a percentage of the initial debit (net outlay of premium) Spread
Bid
Spread
Ask
Buy
Delta
Buy
Strike
Buy Call Bid Buy Call Ask Sell
Strike
Sell
Delta
Sell Call Bid Sell Call Ask Expiration Max Gain Breakeven
Price
The stock price at which the spread breaks even. If the stock is above this price, the spread will have a positive return. If it is below this price, it will lose money.
Downside
Cushion
If the current stock price is above 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.

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 debit call spread of Buy 105 strike and Sell 110 strike, with 25 days to go before expiration. We know that if the stock finishes below $105 (up +5%), the spread will be worthless ($0 value). If the stock finishes above $105 (up +10%), 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 +5% or below 75% of the time, and +10% or above 25% 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 [25% of returns x $5.00 value = $1.25] to get the result, $1.25.

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 cost paid to buy the spread (Debit), then the theoretical edge will be positive. If it is lower, it will be negative.

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 greater than the initial cost of the spread (Debit).

Dynamic IV Range Modeling

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.

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

Table Notes

Note: E indicates earnings within expiration

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