About Long Put Calendar Spreads
A Long Put Calendar Spread involves buying and selling put options for the same underlying security at the same strike price, but at different expiration dates. Maximum profit is realized if the underlying is equal to the strike at expiration of the short put (Leg1). Maximum risk is limited to the price paid for the spread (net debit).
This strategy benefits from a lack of underlying movement like that of a short straddle and short strangle. At the same time, this spread benefits from an increase in implied volatility as longer dated options typically have a higher Vega than shorter dated options. Theta is another consideration in that short-term options decay at a more rapid pace that longer terms options. Maximum profit is realized if the underlying is equal to the strike at expiration.
Maximum risk is limited to the price paid for the spread (net debit).
The screener results are initially sorted by descending "Net Vega."
Options information is delayed a minimum of 15 minutes, and is updated at least once every 15-minutes through-out the day. The screener displays probability calculations based on the delayed stock price at the time the strategy is updated. The new day's options data will start populating the screener at approximately 8:55a CT. Strikes that have not traded today are excluded from the results.
Main features of the Screener include:
- Ability to add various filters, with hundreds of different combinations.
- Save a Screener: When you've defined filters that you want to use again, save the screener.
- Load a Saved Screener: Select a previously saved set of screener filters to view today's results.
- View the Results using Flipcharts: Page through charts of the underlying symbols on the results page.
- Download the Results: Download up to 1000 results to a .csv file. The download will also pull all of the data fields present on the View you use.
- Automatic Screener Emails: This option is available for Barchart Premier Members. When you save a screener, you can opt to receive the top 10, 25, or 50 results via email along with an optional .csv file of the top 1000 results. Emails can be sent at Market Open (9:00am CT), Mid-Day (12:00pm CT), End-of-Day (4:45pm CT), and Overnight (3:00am CT) Monday through Friday.
Note: When selecting the Filter View for your Screener email, a filter must identify a specific search value in order for it to be included in the email.
Filters
Barchart Premier subscribers can add or modify different filters on the screener to find calls on the most favorable stock options.
Reordering Filters
Once filters are added, you may drag and drop them in the SET FILTERS tab to reorder the way they appear on the RESULTS tab (when using the Filters View). Each filter you add has the "Order" icon which is used to reposition it.
Deleting Filters
To remove a filter from your screener, click the checkbox to the left of the filter name, then click the red "Delete" button at the top of the column. You may also select all filters for deletion by clicking the checkbox at the top of the column, which selects ALL filters for deletion. You will be asked to confirm your decision to delete.
So you can focus on the best options, the screener starts by applying these default filters. Filter settings should be adjusted to match your trading requirements.
- Days to Expiration Leg 1 and Leg 2 (monthly expirations only) is between 0 and 60 days.
- Security Type is only Stocks.
- Options Volume Leg 1, Leg 2: for US market, must be greater than or equal to 100. For Canadian market, must be greater than or equal to 1.
- Open Interest Leg 1, Leg 2: for US market, must be greater than or equal to 500. For Canadian market, must be greater than or equal to 5.
- Bid Price Leg 1 is greater than 0.05.
- Ask Price Leg 2 is greater than 0.05.
- Moneyness Leg 1 ATM: between -5% to 5%.
In addition, the option must not be a "restricted" option (the option cannot be based on a split stock).
Note: Non-standard or "restricted" options (options quotes marked with an asterisk * after the strike price, and found on an individual symbol's options page) are automatically removed from the screener. A "restricted option" is typically created after spin-offs or mergers, and is not tradeable.
Views
The Results page contains three standard views. You may switch the view using the links at the top of the screener results table. The Main View shows fields important to understanding the spread, while the Dividend & Earnings View can be used to highlight strategies with upcoming dividends and earnings. The Filter View shows you the data contained in the field(s) you've added to the screener.
A checkbox is provided on all Views to "Show Strategy Description" in the view. The Strategy Description can be helpful in breaking down how the options strategy was built. Example of a Long Put Condor description:
CS_02/16/24_435.00
where:
- CS = strategy
- 02/16/24 = expiration date
- 455.00 = Leg 1 strike
Main View
- Stock Symbol - the underlying equity. Clicking on the symbol will take you to the current quote page.
- Stock Last Price - the last price of the underlying symbol
- Exp Date Leg1 - the expiration date of the Leg 1 (short) option
- Strike Price - the strike price of both options
- Bid Price Leg1 - the bid price for the Leg 1 option
- Exp Date Leg2 - the expiration date of the Leg 2 (long) option
- Ask Price Leg2 - the ask price for the Leg 2 option
- Net Debit - (Leg2 Ask – Leg1 Bid)
- Leg1 IV - the implied volatility of Leg1 (short) option
- Leg2 IV - the implied volatility of Leg2 (long) option
- 30D His Vol - the 30-day historical volatility, or the average deviation from the average price over the last 30 days
- Net $Vega - the net vega (Theoretical Edge) of the strategy
Net $Vega = {(30 day HV - Leg2 IV) * Leg2 Vega} - {(30 day HV - Leg1 IV) * Leg1 Vega}
- Leg 1 Theta - the time decay of the Leg 1 (short) option
- Leg 2 Theta - the time decay of the Leg 2 (long) option
- Net $Theta - the time decay
Net $Theta =
Step 1: Calculate theta loss per leg:
a. Leg2 theta loss = {Leg 2 theta * Leg 1 DTE}
b. Leg1 theta loss = {Leg 1 theta * Leg 1 DTE}
c. (If Leg1 theta loss > Leg1 Bid, then Leg1 theta loss = 0)
Step 2: Calculate decay legs by theta loss
a. Leg2 decay = Leg 2 Ask - Leg2 theta loss
b, Leg1 decay = Leg 1 Bid - Leg 1 theta less
Step 3: Calculate the spread using the new bid and ask values
a. Theta spread = Leg2 decay - Leg1 decay
Net $Theta = Theta spread - Net Debit (Leg2 Ask - Leg1 Bid)
Dividend & Earnings View
- Dividend - the dividend the equity pays on the Ex-Dividend Date. On the morning of the Dividend Ex-Date, the stock's price is lowered by the amount of the dividend that was just paid.
- Dividend Ex-Date - the first day on which the stock trades without the dividend. If you wish to receive the dividend, you must own the stock by the close of market on the day before the Dividend Ex-Date. Many times, a covered call is exercised early so the buyer can own the stock and collect the dividend. This typically happens to ITM options the day before the Dividend Ex-Date.
- Earnings Date - The date on which a company is expected to release their next earnings report. The prices are more volatile, which tends to inflate the prices of the near-the-money strikes. During a contract period when there is an earnings report due, the earnings announcement can dramatically shift the range in which the stock has been trading.
