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option spreads Help

Option spreads consist of two option legs. Both legs are calls or both legs are puts, and one leg is long while the other is short.

Screens for Bull Calls, Bear Puts, Bull Puts, Bear Calls, Calendar, and Diagonal spreads are available.

Each report offers the following selection criteria:

  • Expiration - the expiration date for vertical spreads
  • Minimum Price - the minimum price of the underlying stock
  • Sort Order
    • NetIVol - the net difference between the volatility of the two legs weighted by the maximum profit.
    • Net Debit/Credit - the maximum profit, without regard to the volatility.
  • Minimum Open Interest - the minimum aggregate open interest for all contracts for the underlying stock
  • Moneyness - see Moneyness
  • Number of Results - the number of results to display

Each report displays the following fields:

  • Stock - the underlying stock symbol
  • Stock Price - the underlying stock price
  • Fields for both the Short and Long Leg:
    • Option Symbol
    • Short Expiration Date
    • Long Expiration Date
    • Strike
    • Option Price
    • Put vs. Call
  • Credit or Debit - the net cost or net proceeds from the trade of the spread, i.e. the price of the short leg minus the price of the long leg
  • Spread - the difference between the strike prices
  • Net IVol - Net implied volatility; the difference in implied volatility of the two option contracts

Excluded Contracts

Contracts that have any one of the following conditions are excluded:

  • no bid
  • no volume
  • no open interest
  • no contracts in the cycle. See Option Cycles.
  • have expired or will expire today.

Data is updated nightly.

Data Provided by HistoricalOptionData.com
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