Debit Put Butterfly Spread Screener (Short ATM Strike, Long Outer Strikes)

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Report Date: 29-Nov-2024

Debit Put Butterfly Spreads involve buying an out-of-the-money put, buying an in-the-money put, and selling 2 at-the-money puts for the same expiration of a particular underlying asset. The strategy requires a net outlay of premium at the time of the trade.

The goal for this strategy would be for the stock price to remain close to the current spot price. The maximum gain is achieved when the stock price at expiration is right at the strike price of the 2 short at-the-money puts.

Use the Filter choices to narrow your search by Expiration Date, Market Cap, Theoretical Edge, Earnings Date, Ex-dividend Date, and several others. You can sort the table by clicking on column headings, or you can search for a particular symbol by entering it into the search box above the table. Click on the icons in the Symbols column to view more information on the specific stock.

Click here to learn more about Butterfly Spreads.

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Outlook:Stock Price Stays
Near Current Price

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Option ParametersUnderlying Stock IdeasHistorical Distribution & Payoffs

Strategy Parameters Events Theoretical Edge
In Watchlist 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 19 Days to Exp
(14 Trading Days) 		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.
Bid-Ask Spread 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.
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Note: E indicates Earnings
Stock Details Debit
(Amount
at Risk) 		Theoretical Value Debit Butterfly Details Option Risk Profile Events Volatility Technical Indicators Stock Price Return Distribution for Historical Holding Period
Over Selected Timeframe		 Strategy Payoff Scenarios
Symbol Name Stock Price % Chg Market Cap Market
Price The net outlay in option premium by executing this spread trade. Because the options you're buying are a higher cost than the options you're selling, you are paying out the net difference in prices. This amount also corresponds to the maximum loss you can experience from the spread. 		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		 Analysis Buy
Low
Strike		 Buy
Low
Bid		 Buy
Low
Ask		 Sell 2×
ATM
Strike		 Sell 2×
ATM
Bid		 Sell 2×
ATM
Ask		 Buy
High
Strike		 Buy
High
Bid		 Buy
High
Ask		 Expiration Max Gain The maximium gain possible for the selected strategy, given the current market price. % Max
Gain Tha maximum gain possible for the selected strategy, expressed as a percentage of the max loss (amount at risk) 		Max Loss The maximium loss possible for the selected strategy, given the current market price. Breakeven
Price
Low The stock price at which the strategy breaks even, to the low side of the at-the-money strike. 		Breakeven
Price
High The stock price at which the strategy breaks even, to the high side of the at-the-money strike. 		Next Div Ex Date Next Div Amt Next Earnings Underlying
Hist Vol
20-Day		 Underlying
Hist Vol
1-Year		 As Of Time 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 		If Stock
-1 StdDev
at Exp The % return for the option spread 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
Down
Move The % return for the option spread 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 option spread 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 option spread 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
Up
Move The % return for the option spread 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 Stock
+1 StdDev
at Exp The % return for the option spread 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.

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 spread based on those historical changes in stock price

Click on the Analysis link for a more detailed breakdown

Theoretical Value & Edge

Using the historical distribution, we calculate a theoretical value of the current spread 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 spread.

Theoretical Win Rate

Using the historical distribution, win rate represents the percentage of these historical observations where the current spread would have resulted in a positive return (given the observed change in stock price over the specified holding period).

This means that the end value of the spread would have been greater than the initial cost of the spread (Debit).

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.

Table Notes

Note: E indicates earnings within expiration

Tip: Click on the Expiration link to go directly to the option chain