The Straddle Screener will generate a list of straddles which can be filtered by selecting values using the drop down menus and clicking GO.
- Expiration - only stocks expiring in the selected month will be reported.
- Minimum Price - only stocks trading above this price will be reported.
- Maximum Price - only stocks trading below this price will be reported.
- Minimum Open Interest - stocks with accumulative open interest higher than the sum of open interest for all contracts for the corresponding expiration date will be reported
- Number of Results - the number of straddles to include in the report.
The Straddle Screener displays the following fields:
- # - the row number
- Symbol - the underlying stock symbol
- Call - the call symbol
- Call Price - the price of the call leg
- Put - the put symbol
- Put Price - the price of the put leg
- Straddle Price - the put price + the call price
- Time Value - the straddle price less the intrinsic value
- Straddle Open Int - the open interest of the ccall + the open interest of the put
- Stock Open Int - the sum of open interest for all contracts for the stock with the same expiration as the straddle.
- Under Price - the price of the underlying security
- % Premium - the percentage of premium relative to the underlying stock price
- Moneyness - see Moneyness