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Calendar Straddle Screener For F 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 F 9.20 10.00 1 Nov '19 37 C
P
0.259
0.434
34
1
0.06
0.96
1.02 20 Dec '19 86 C
P
0.231
0.309
536
12
0.15
1.09
1.24 (0.22) 0.56 0.22 2.55 0.154
2 F 9.20 8.00 1 Nov '19 37 C
P
0.318
0.383
665
1
1.19
0.05
1.24 20 Dec '19 86 C
P
0.269
0.328
25
4,573
1.33
0.15
1.48 (0.24) 0.45 0.24 1.88 0.104
3 F 9.20 9.00 1 Nov '19 37 C
P
0.258
0.336
3
7
0.37
0.28
0.65 20 Dec '19 86 C
P
0.227
0.298
152
816
0.53
0.43
0.96 (0.31) 0.37 0.31 1.19 0.068
4 F 9.20 10.00 15 Nov '19 51 C
P
0.237
0.362
410
1
0.07
0.98
1.05 20 Dec '19 86 C
P
0.231
0.309
536
12
0.15
1.09
1.24 (0.19) 0.47 0.19 2.47 0.060
5 F 9.20 9.00 15 Nov '19 51 C
P
0.257
0.320
210
1,448
0.41
0.33
0.74 20 Dec '19 86 C
P
0.227
0.298
152
816
0.53
0.43
0.96 (0.22) 0.36 0.22 1.64 0.052
6 F 9.20 8.00 20 Dec '19 86 C
P
0.269
0.328
25
4,573
1.11
0.13
1.24 17 Jan '20 114 C
P
0.246
0.316
2
116
1.36
0.19
1.55 (0.31) 0.18 0.31 0.58 0.035
7 F 9.20 10.00 20 Dec '19 86 C
P
0.231
0.309
536
12
0.14
1.03
1.17 17 Jan '20 114 C
P
0.229
0.304
15,884
20
0.20
1.14
1.34 (0.17) 0.41 0.17 2.41 0.007
8 F 9.20 9.00 20 Dec '19 86 C
P
0.227
0.298
152
816
0.50
0.42
0.92 17 Jan '20 114 C
P
0.230
0.291
1,029
83
0.61
0.49
1.10 (0.18) 0.33 0.18 1.83 0.004
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