Report Date: 1-Mar-2024
This screener analyzes a wide range of potential call options in the market, collecting data to determine the best theoretical outcomes.
Use the Filter choices to narrow your search by Expiration Date, Bid-Ask Spread, Moneyness, Dividends and Earnings, and Theoretical Value.
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Strategy ParametersUnderlying Stock IdeasPayoffs at ExpirationHistorical Distribution and SeasonalityVolume & Open Interest
Strategy Parameters | Events | Theoretical Edge | |||||
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In Watchlist | Option Price | 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 |
12 Days to Exp (9 Trading Days) |
Option IV % Chg | 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. | |||
Moneyness | Option Delta | 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. | ||||
Bid-Ask Spread |
Stock Details |
Debit (Amount at Risk) |
Theoretical Value | Long Call 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 | Volume | Open Interest | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Symbol | Name | Stock Price | % Chg | Market Cap |
Market Price The net outlay in option premium by executing this strategy. This amount also corresponds to the maximum loss you can experience from the strategy. |
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 strategy based on historical price changes available in this analysis. | Theo. Edge A positive edge (in green) is when the current market price of the strategy 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 strategy would have resulted in positive returns by expiration, based on the historical price changes available in this analysis. | Sharpe Ratio |
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 | Expiration |
Days to Exp Business days left until the option expires. |
Strike | Market Bid |
Market 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). |
Breakeven Price The stock price at which the strategy breaks even. If the stock is below this price, the strategy will have a positive return. If it is above this price, it will lose money. |
% Return if Stock Flat The % return for the strategy 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 | Option IV | Option IV % Chg |
Option IV Rank | Underlying Hist Vol 20-Day |
Underlying Hist Vol 1-Year |
Theo Using 20-Day HV The theoretical value of the option using the 20-day historical volatility as the in place of the current implied volatility. |
Theo Using 1-Year HV The theoretical value of the option using the 1-year historical volatility as the in place of the current implied volatility. |
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 strategy 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 strategy 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 strategy 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 strategy 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 strategy 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 strategy 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 strategy 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 strategy 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 strategy 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. |
Option Trade Count The total number of individual trades for the option during the current trading day. |
Option Volume The total number of contracts traded for the option during the current trading day. |
Avg Trade Size The average trade size for the specified option for the current trading day. |
Volume as % of Underlying Avg Volume The option's current volume, expressed as a percentage of the underlying symbol's average daily option volume. |
Open Interest The option's current open interest. |
OI as % of Underlying Total OI The option's current open interest, expressed as a percentage of the underlying symbol's total open interest. |
OI as % of Underlying Avg Volume The option's current open interest, expressed as a percentage of the underlying symbol's average daily option volume. |
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 strategy based on those historical changes in stock price
Click on the Analysis link for a more detailed breakdown
Using the historical distribution, we calculate a theoretical value of the current strategy 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 strategy.
Using the historical distribution, win rate represents the percentage of these historical observations where the current strategy would have resulted in a positive return (given the observed change in stock price over the specified holding period).
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