Long Call Option Screener

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Report Date: 3-Jan-2025

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
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 13 Days to Exp
(8 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
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Note: E = Earnings, D = Dividend
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
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.

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 strategy based on those historical changes in stock price

Click on the Analysis link for a more detailed breakdown

Theoretical Edge:

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.

Theoretical Win Rate

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).

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