Naked Put Screener

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Outlook:Sideways Market

Evaluate investment opportunities to sell put options and gain premiums for an stock you may wish to own, at a lower price.

Selling puts provides an investment opportunity to receive premiums as immediate income on a stock that you may wish to own, at a lower price. If the option expires with the stock price above the strike price, then the seller retains the full premium credit. If the stock price is below the strike, the seller is obligated to buy shares at the designated strike price, which could result in losing money on the trade. Naked Puts are also called Cash Secured Puts, because the value of the contract if exercised at the strike price is often held aside in a margin account, or cash is required to cover the trade in a non-margin account.

Use the Filter choices to narrow your search by Expiration Date, Time Premium, Moneyness range, Stock Type, Market Cap, 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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Report Date: 14-Dec-2018

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Strategy ParametersUnderlying Stock Parameters

Naked Put Criteria Events Naked Put Backtest Naked Put vs. Stock Results
In Watchlist Earnings Date # 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 Naked Put 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?
Expiration 5 Days to Exp
(4 Trading Days)
Ex-Dividend Naked Put Win Rate The % of observations for the historical backtest where the naked put strategy has gone up Naked Put 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?
Time Premium % Naked Put Avg Return The average % return for the naked put strategy over the course of the historical backtest observations
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% (in-the-money). If the strike price is $95, this would be -5% (out-of-the-money). Stock Win Rate The % of observations for the historical backtest where the stock price has gone up
Delta Stock Avg Return The average % return for the stock price only over the course of the historical backtest observations
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* See Notes Below Table

Option Details Statistics Stock Events Greeks Volatility Backtest Results
Symbol Market Cap Expiration Days
to Exp
Business days left until the option expires.
Strike Put Bid Put 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% (in-the-money). If the strike price is $95, this would be -5% (out-of-the-money).
Stock Price 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 is currently $100 and you sell a put on the 95 strike for $1.00. The stock price would have to drop to $94 for that put to be worth $1.00, meaning your breakeven price is $94. If the stock is above $94, you will make a positive return, but if it is below $94 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 put on the 100 strike for $2. Your amount at risk is $98 ($100 strike - $2 received for selling the 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
Next Earnings Next Div
Ex Date
Next Div Amt Delta Gamma Theta Vega Rho IV Hist Vol
20-Day
Hist Vol
1-Year
# Obs Naked Put
Win Rate
The % of observations for this backtest where the naked put strategy (selling an out-of-the-money put) had a positive return
Naked Put
Avg Return
The average % return for the naked put strategy (selling an out-of-the-money put) 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

About Strategy Backtests

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

Table Notes

Note: E indicates earnings within expiration

Note: E indicates estimated event

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