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Calendar Straddle Screener For CAT 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 CAT 335.63 330.00 17 May '24 72 C
P
0.293
0.264
63
58
20.10
12.45
32.55 21 Jun '24 107 C
P
0.282
0.254
12
47
24.25
15.00
39.25 (6.70) 14.83 6.70 2.21 0.021
2 CAT 335.63 340.00 17 May '24 72 C
P
0.281
0.254
38
49
14.85
17.05
31.90 21 Jun '24 107 C
P
0.275
0.249
14
18
18.80
19.65
38.45 (6.55) 15.14 6.55 2.31 0.011
3 CAT 335.63 340.00 19 Apr '24 44 C
P
0.263
0.231
71
63
10.00
12.85
22.85 17 May '24 72 C
P
0.281
0.254
38
49
15.20
17.45
32.65 (9.80) 9.93 9.80 1.01 -0.040
4 CAT 335.63 330.00 12 Apr '24 37 C
P
0.275
0.240
10
1
14.40
6.35
20.75 17 May '24 72 C
P
0.293
0.264
63
58
20.60
12.70
33.30 (12.55) 9.82 12.55 0.78 -0.042
5 CAT 335.63 330.00 5 Apr '24 30 C
P
0.270
0.243
2
8
12.85
6.15
19.00 17 May '24 72 C
P
0.293
0.264
63
58
20.60
12.70
33.30 (14.30) 10.27 14.30 0.72 -0.044
6 CAT 335.63 330.00 19 Apr '24 44 C
P
0.269
0.241
140
144
15.45
8.25
23.70 17 May '24 72 C
P
0.293
0.264
63
58
20.60
12.70
33.30 (9.60) 10.34 9.60 1.08 -0.047
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