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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# 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 (9 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% (in-the-money). If the strike price is
$95, this would be -5% (out-of-the-money).
Naked Put Win Rate
The % of observations for the historical backtest where the naked put 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
Naked Put Avg Return
The average % return for the naked put strategy over the course of the historical backtest observations
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?
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
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?
Earnings Date
IV vs 20-Day Vol
Ex-Dividend
IV vs 1-Yr Vol
Company Event
Stock Groups
Statistics
Stock Ideas
In ETF
Market Cap
Stock Price
Avg Stock Volume
Stock IdeasMarket Leaders are the top 25 best-performing S&P 500 holdings, by combining the symbol's
holding % weight and the symbol's stock price % change over the last 6 months
Market Laggers are the the 25 lowest-performing S&P 500 holdings, by combining the symbol's
holding % weight and the symbol's stock price % change over the last 6 months
Momentum Stocks are stocks that have gradually moved away from 6-month lows and towards new 6-month
highs in each of the last 3 months, 2 months, 1 month, and 2 weeks
Stock Type
Sector
% From 52-Wk High
Avg Opt Volume
Sentiment by Option Delta
Industry
% From 52-Wk Low
% Chg From Open
Moving Avg IndicatorUptrendCurrent Price above 20 MA20 MA above 50 MA50 MA above 250 MA DowntrendCurrent Price below 20 MA20 MA below 50 MA50 MA below 250 MA Bullish CrossoverCurrent price above 20 MA20 MA Above 50 MA50 MA Below 250 MA Bearish CrossoverCurrent Price below 20 MA20 MA Below 50 MA50 MA Above 250 MA Fast Bullish CrossoverCurrent Price Above 20 MA and 50 MA20 MA Below 50 MA50 MA Below 250 MA Fast Bearish CrossoverCurrent Price Below 20 MA and 50 MA20 MA Above 50 MA50 MA Above 250 MA Bottom BounceCurrent Price Above 20 MA20 MA Below 50 MA, 250 MA50 MA Below 250 MA Top PullbackCurrent Price Below 20 MA20 MA Above 50 MA, 250 MA50 MA Above 250 MADead Cat BounceCurrent Price Below 20 MA, 50 MA, 250 MA20 MA Above 50 MA20 MA Below 250 MA50 MA Below 250 MA
Holding Period Distribution
Theoretical Edge
# Years in AnalysisThe number of years to use in the historical stock return distribution analysis. The default is 4 years.
Stock Avg Return
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.
Stock % Positive Obs
Stock Median Return
Theoretical 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.
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.
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.
Symbol
Stock Price
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).
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 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
If Flat % Return Against Drawdown
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.
The amount at risk is calculated from a number of historical factors, such as a 20% downside move, or the maximum historical
move for a period of time equal to the number of days until expiration.
% Return 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
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
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 TouchThe 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.
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:Eindicates earnings within expiration
Note:ESTindicates estimated event
Tip:Click on the Expiration link to go directly to the option chain
