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Calendar Straddle Screener For BAC Report Date:

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# Stock Stock
Price
Strike Short Leg Long Leg Credit
(Debit)
Max
Profit
Max
Loss
Profit
Loss
Net
IVol
Expiry Days P/C IVol Volume Price Leg Price Expiry Days P/C IVol Volume Price Leg Price
1 BAC 29.31 28.00 17 May '19 77 C
P
0.252
0.223
617
97
2.08
0.60
2.68 21 Jun '19 112 C
P
0.236
0.224
165
1,018
2.30
0.85
3.15 (0.47) 1.10 0.47 2.34 0.015
2 BAC 29.31 28.00 18 Apr '19 48 C
P
0.256
0.226
246
108
1.84
0.40
2.24 17 May '19 77 C
P
0.252
0.223
617
97
2.12
0.64
2.76 (0.52) 0.95 0.52 1.83 0.007
3 BAC 29.31 29.00 17 May '19 77 C
P
0.233
0.212
1,851
377
1.41
0.94
2.35 21 Jun '19 112 C
P
0.224
0.214
341
266
1.66
1.22
2.88 (0.53) 1.02 0.53 1.92 0.007
4 BAC 29.31 30.00 18 Apr '19 48 C
P
0.224
0.200
2,071
216
0.64
1.21
1.85 17 May '19 77 C
P
0.221
0.197
896
209
0.92
1.45
2.37 (0.52) 0.87 0.52 1.67 0.006
5 BAC 29.31 29.00 18 Apr '19 48 C
P
0.237
0.214
901
430
1.16
0.73
1.89 17 May '19 77 C
P
0.233
0.212
1,851
377
1.46
0.98
2.44 (0.55) 0.88 0.55 1.60 0.006
6 BAC 29.31 30.00 17 May '19 77 C
P
0.221
0.197
896
209
0.89
1.41
2.30 21 Jun '19 112 C
P
0.215
0.204
1,183
1,194
1.13
1.69
2.82 (0.52) 1.01 0.52 1.94 -0.002
7 BAC 29.31 29.00 12 Apr '19 42 C
P
0.218
0.192
19
28
0.99
0.60
1.59 17 May '19 77 C
P
0.233
0.212
1,851
377
1.46
0.98
2.44 (0.85) 0.72 0.85 0.85 -0.034
8 BAC 29.31 29.00 5 Apr '19 35 C
P
0.211
0.195
31
17
0.91
0.54
1.45 17 May '19 77 C
P
0.233
0.212
1,851
377
1.46
0.98
2.44 (0.99) 0.74 0.99 0.75 -0.039
9 BAC 29.31 30.00 5 Apr '19 35 C
P
0.197
0.180
88
2
0.42
1.03
1.45 17 May '19 77 C
P
0.221
0.197
896
209
0.92
1.45
2.37 (0.92) 0.76 0.92 0.83 -0.042
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