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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 27.90 27.00 19 Jul '19 52 C
P
0.251
0.268
122
207
1.55
0.70
2.25 16 Aug '19 80 C
P
0.250
0.256
196
428
1.81
0.91
2.72 (0.47) 1.01 0.47 2.15 0.012
2 BAC 27.90 29.00 19 Jul '19 52 C
P
0.231
0.249
340
155
0.53
1.69
2.22 16 Aug '19 80 C
P
0.231
0.239
290
151
0.77
1.88
2.65 (0.43) 1.05 0.43 2.44 0.011
3 BAC 27.90 28.00 19 Jul '19 52 C
P
0.240
0.256
311
571
0.96
1.11
2.07 16 Aug '19 80 C
P
0.239
0.247
1,426
293
1.22
1.33
2.55 (0.48) 1.00 0.48 2.08 0.009
4 BAC 27.90 27.00 16 Aug '19 80 C
P
0.250
0.256
196
428
1.79
0.89
2.68 20 Sep '19 115 C
P
0.240
0.259
226
84
2.02
1.16
3.18 (0.50) 1.14 0.50 2.28 0.008
5 BAC 27.90 28.00 16 Aug '19 80 C
P
0.239
0.247
1,426
293
1.21
1.31
2.52 20 Sep '19 115 C
P
0.231
0.252
780
522
1.44
1.60
3.04 (0.52) 1.13 0.52 2.17 0.003
6 BAC 27.90 29.00 16 Aug '19 80 C
P
0.231
0.239
290
151
0.76
1.86
2.62 20 Sep '19 115 C
P
0.224
0.245
784
163
0.97
2.14
3.11 (0.49) 1.17 0.49 2.39 0.000
7 BAC 27.90 27.00 5 Jul '19 38 C
P
0.238
0.261
11
21
1.33
0.53
1.86 16 Aug '19 80 C
P
0.250
0.256
196
428
1.81
0.91
2.72 (0.86) 0.97 0.86 1.13 -0.007
8 BAC 27.90 28.00 5 Jul '19 38 C
P
0.221
0.245
207
36
0.74
0.92
1.66 16 Aug '19 80 C
P
0.239
0.247
1,426
293
1.22
1.33
2.55 (0.89) 0.93 0.89 1.04 -0.019
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