Report Date: 12-Jul-2024
Credit Call Butterfly Spreads involve selling an out-of-the-money call, selling an in-the-money call, and buying 2 at-the-money calls for the same expiration of a particular underlying asset. The strategy results in a net credit at the time of the trade.
The goal for this strategy would be for the stock price to have a big swing away from the current spot price (in either direction). The maximum loss is experienced when the stock price at expiration is right at the strike price of the 2 short at-the-money calls.
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.▲ Close
Outlook:Large Stock Move Away
from Current Price
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 |
5 Days to Exp (4 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. |
Stock Details | Credit | Theoretical Value | Credit Butterfly Details | Option Risk Profile | Events | Volatility | Technical Indicators | Stock Price Return Distribution for Historical Holding Period Over Selected Timeframe |
Strategy Payoff Scenarios | |||||||||||||||||||||||||||||||||||||||||||
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Symbol | Name | Stock Price | % Chg | Market Cap |
Market Price The net option premium received by executing this butterfly spread trade. Because the options you're selling are a higher cost than the options you're buying, you collect a net premium 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 | Sell Low Strike |
Sell Low Bid |
Sell Low Ask |
Buy 2× ATM Strike |
Buy 2× ATM Bid |
Buy 2× ATM Ask |
Sell High Strike |
Sell High Bid |
Sell 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. |
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
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.
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 less than the amount received from the initial sale (Credit).
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.
Note: E indicates earnings within expiration
Tip: Click on the Expiration link to go directly to the option chain