Outlook:Sideways Market
Evaluate investment opportunities to sell call options to gain additional premiums against an existing long stock position.
The covered call strategy is often used by traders who hold long stock positions to generate income, by selling call options to collect premium. This approach is considered slightly Bullish because it is often used by investors who wish to own a stock for long term appreciation, but are willing to harvest short term option premiums on it. Upside returns on the strategy may be limited, as gains on the stock price would be negated by having the options exercised and stock called away at the strike.
Use the Filter choices to narrow your search by Expiration Date, Time Premium, Moneyness range, Earnings Date, Ex-dividend Date, etc. View filtered results in tables which include key parameters and a full set of Option Greeks. Sort the tables 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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Strategy ParametersUnderlying Stock Parameters
Covered Call Criteria | Covered Call Backtest | Covered Call vs. Stock Results | |||||
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In Watchlist | Time Premium % | # Observations The # of observations available in the historical backtest, which matches the current option's delta and the number of days until expiration to options for the same underlying symbol over the last 4 years | Stock Win Rate The % of observations for the historical backtest where the stock price has gone up | ||||
Expiration |
14 Days to Exp (10 Trading Days) |
Moneyness (Dist. from Stock) The difference between the strike price and the stock price, as a percentage of the stock price. For example, if the strike price is $110 and the stock price is $100, this would be +10% (out-of-the-money). If the strike price is $95, this would be -5% (in-the-money). |
Covered Call Win Rate The % of observations for the historical backtest where the covered call strategy has gone up | Stock Avg Return The average % return for the stock price only over the course of the historical backtest observations | |||
Option Price | Delta | Covered Call Avg Return The average % return for the covered call strategy over the course of the historical backtest observations |
Covered Call vs. Stock Win Rate Using the historical backtest results, this compares the stock-only win rate against the option strategy win rate. Is the stock higher, the strategy higher, or are they equal? |
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Open Interest | IV % Rank The percent rank of the option's current implied volatility, when compared against a set of historical options for the same underlying that: 1.) Had the same number of days to go until expiration as the current option has 2.) Were for a strike price the same % distance away from the spot price as the current option is |
Covered Call vs. Stock Avg Return Using the historical backtest results, this compares the stock-only average % return against the option strategy average % return. Is the stock higher, the strategy higher, or are they equal? |
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Earnings Date | IV vs 20-Day Vol | ||||||
Ex-Dividend | IV vs 1-Yr Vol | ||||||
Company Event |
Option Details | Statistics | Stock Events | Greeks | Volatility | Backtest Results | Theoretical Value | 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. By selling a put, the maximum potential loss is fixed at the point which the stock price goes to zero. Here, you see a breakdown of the potential amount at risk for each strategy below. The factors are based on potentially catastrophic historical moves. | ||||||||||||||||||||||||||||||||||||||||||||
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Symbol | Stock Price | Market Cap | Expiration |
Days to Exp Business days left until the option expires. |
Strike | Call Bid | Call Ask | Delta |
Moneyness (Distance from Stock) The difference between the strike price and the stock price, as a percentage of the stock price. For example, if the strike price is $110 and the stock price is $100, this would be +10% (out-of-the-money). If the strike price is $95, this would be -5% (in-the-money). |
Option IV Rank The historical % rank of the option's current implied volatility |
Breakeven Price The stock price at which the strategy breaks even. If the stock is above this price, the strategy will have a positive return. If it is below this price, it will lose money. Example: Say the stock price is $100 and you sell a call on the 105 strike for $1.00, while purchasing the stock at $100. If the stock loses $1.00, you will break even, offsetting the $1.00 you received from the sale of the option. So your breakeven price is $99. If the stock is above $99, you will make a positive return, if it is below $99 you will begin to lose money. |
Downside Cushion to Breakeven If the current stock price is above the breakeven price, this is the % change in stock price cushion until the stock price reaches the breakeven price. See breakeven price details for more info. Example: say the current stock price is $100 and your breakeven price is $97. The stock could lose 3% ($3.00) of its value before you reach your breakeven price. Therefore your downside cushion is 3%. |
$ Time Premium The Time Premium is equivalent to the cost (bid price) of the option, minus the current intrinsic value of the option |
% Time Premium The $ Time Premium divided by the current underlying stock price |
% Return If Flat If the option expires with the underlying stock price at the same level as the current price (unchanged or flat), this would be the % return of the strategy, as a percentage of the total amount at risk. Example: Say the stock is currently $100 and you sell a call on the 100 strike for $2, while purchasing the stock for $100. Your amount at risk is $98 ($100 on stock - $2 received for option). If the stock price remains $100 at expiration, your return will be $2, and the percentage return on your risk is +2.04% (+$2.00 / $98.00). |
% Return Assigned For the covered call strategy, if the stock price moves above the strike price, the call will be in-the-money and the call option will be assigned. This will be the % return of the strategy if that happens. Example: Say the stock is currently $100 and you sell a call on the 110 strike for $0.25. If the stock moves above $110, the call that you sell will be assigned. |
Next Earnings | Next Div Ex Date |
Next Div Amt | Delta | Gamma | Theta | Vega | Rho | Option IV | Underlying Hist Vol 20-Day |
IV vs 20-Day Vol |
Underlying Hist Vol 1-Year |
IV vs 1-Yr Vol |
# Obs |
Covered Call Win Rate The % of observations for this backtest where the covered call strategy (selling the call and buying the stock, combined) had a positive return |
Covered Call Avg Return The average % return for the covered call strategy (selling the call and buying the stock) over the course of these backtest observations |
Stock Only Win Rate The % of observations for this backtest where the stock price has gone up |
Stock Only Avg Return The average % return for the stock price only over the course of these backtest observations |
Analysis | 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. |
Probability of Touch The probability, in % terms, that the underlying stock price would cross the point at which this option becomes profitable against its current market value. Calculated using historical observations. Click View Details to see more. |
Analysis |
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 |
Risk Amount The maximum amount at risk from the three options displayed, unless none of the options are greater than $1.00. In that case, we use a minimum of $1.00. |
20% Move The amount at risk for the strategy if the stock price experiences a 20% move in either direction over the course of the strategy'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. |
Backtest runs through the last 4 years of data
It searches for options historically that have a similar delta and the same number of days to expiration, for the same underlying symbol
It finds the start and end value of the strategy, as well as the start and end value of the underlying stock price
We use those values to calculate the return for both stock and strategy, and the win rate, which is the % of time the strategy resulted in a positive return
Click on the Analysis link for a more detailed breakdown
Note: E indicates earnings within expiration
Note: EST indicates estimated event
Tip: Click on the Expiration link to go directly to the option chain