Straddles

In PowerAnalyzer service we provide you with the unique capability to customize your search for the best Straddle. Below is a fully functional search form, which is based on real, but old data.


Set Underlying Price Range

<

Price

<

Select Volatility and Time

AND Number of Days to Expiration

Primary Criteria

Secondary Criterions

Probability of Success

<

Option Prices

<

Customize Your Report

Sort By

Sequence

Parameters.

  1. Set Underlying Price Range.
  2. Select Underlying Type (Stocks or Index are your only 2 choices)
  3. Set Price Range (10 < Stock < 100  Stocks between $10 and $100)
  4. Select Volatility and Time.
  5. Select Volatility to be used in calculations (default is 1 Day Implied Volatility, but you can change it to 5 Days, 20 Days or 100 Days Statistical Volatility).
  6. Number of Days to Expiration defines, which expiration months will be used.
  7. Primary Criteria. Choose one of the following five. "Estimated return" is always a safe choice.
  8. Estimated Profit/Loss (Profit/Loss weighted by probability of each Profit/Loss happening.)
  9. Estimated Return (Estimated Profit/Loss as a percent to investment. Investment is the total price of the put and the call combined.)
  10. Secondary Criterions.
  11. Probability of Success (Probability that Profit would be greater or equal 0. Set the Probability that you required)
  12. Option Price (Set the price range for the Options)
  13. Customize Your Report.
  14. Sort By (Defines the field that final Report will be Sort by.) "Prime criteria" is usually your best choice, since that is what you selected for your Primary Criteria
  15. Sequence: ascending or descending sort.

The output below is that of a "Straddle report" generated using the default criteria, except the "Primary Criteria" was set to "Estimated Return." The "Probability of Success" was set to 50% (the default). Note that the output includes a printout of all of your selection criteria before giving you the individual straddles that is has found.

Users of this report must be cautioned that the computer analyses do not know if a stock has already agreed to a takeover offer. For example, line 13 of the report shows Nabisco. But those options are cheap because the company has agreed to an all-cash takeover bid. So, users must do further "homework" after seeing the items on this list to ensure that 1) the indicated option prices are accurate at the current time, and 2) that there is not some fundamental reason, such as a takeover, why these options appear to be inordinately cheap. Again remember that something that looks "too good" is probably not real – there is no free lunch on Wall Street.

Finally, any individual straddle shown below can be analyzed with the instructions shown in the first pages of this user guide.


STRADDLE REPORT.

Set Underlying Price Range

0 < Stock Price < 1000

Select Volatility and Time

1 Day Implied Vol. AND Number of Days to Expiration < 75

Primary Criteria

Estimated Return > 0

Secondary Criterions

Probability of Success > 50

0 < Option Prices < 1000


All data is as of closing on Tuesday, 08/01/00 .

Copyright © 1996 - 2000 ... EzTrade.com ...All Rights Reserved
Nbr. Symbol Description Est. Return Stock Price Exp. Month Strike Call Price Put Price Prob. 1 Day Impl V.
1 TSK COMPUTER TASK GROUP INC 77.54 4.5625 09/16/00 5 0.4375 0.875 64.13 163.3
2 IDXC I D X SYSTEMS CORP 71.17 15 08/19/00 15 0.375 1.25 63.74 106.76
3 BRCD BROCADE COMMUNICATIONS SY 57.82 174.4375 09/16/00 175 21 20.375 58.8 126.42
4 CHRX CHIREX INC 55.02 30.8125 09/16/00 30 1.3125 0.25 60.02 27.12
5 AHR Anthracite Capital Inc 52.47 7.125 09/16/00 7.5 0.3125 0.75 60.87 78.34
6 BFO BESTFOODS 52.45 69.9375 08/19/00 70 0.4375 0.5625 60.37 12.73
7 LGE L G & E ENERGY CORP 49.34 24.1875 09/16/00 25 0.125 0.875 60.7 19.92
8 PDQ PRIME HOSPITALITY CORP 48.3 9.875 08/19/00 10 0.375 0.5 59.33 75.96
9 GDYS GOODYS FAMILY CLOTHING 40.18 4.9375 09/16/00 5 0.5625 0.5625 55.21 109.4
10 PCL PLUM CREEK TIMBER CO 34.14 26.3125 09/16/00 25 1.5 0.8125 53.75 39.57
11 WXS WESTPOINT STEVENS INC 33.56 12.0625 09/16/00 10.5 1.875 0.375 50.55 78.65
12 ED CONSOLIDATED EDISON INC 30.98 30.875 09/16/00 30 1.5 0.8125 53.47 34.17
13 NA NABISCO HOLDINGS CL A 30.9 53.375 09/16/00 55 0.25 2.125 55.49 18.96
14 INMT INTERMET CORP 30.9 7.2188 09/16/00 7.5 0.625 0.875 53.98 93.89
15 TE TECO ENERGY INC 30.59 22.5625 09/16/00 22.5 0.5 0.75 54.19 25.9
16 APB ASIA PACIFIC FUND INC 28.28 9.75 09/16/00 10 0.5625 0.6875 53.86 57.92
17 CONV CONVERGENT COMMUNICATIONS 28.22 4.125 09/16/00 5 0.25 1 56.92 118.62
18 GLT PH GLATFELTER CO 26.37 10.1875 08/19/00 10 0.625 0.25 52.15 62.51
19 SVRN SOVEREIGN BANCORP INC 26.09 7.1563 09/16/00 7.5 0.375 0.8125 53.41 72.38
20 NATR NATURES SUNSHINE PROD INC 25.98 7.5625 09/16/00 7.5 0.625 0.4375 51.83 62.58
21 GIS GENERAL MILLS INCORPORATE 24.32 34.625 09/16/00 35 1.1875 1.375 52.52 32.77
22 MMG METROMEDIA INTL GROUP INC 24.21 4.0625 09/16/00 5 0.375 1.1875 54.52 145.18
23 KM Kmart Corp 22.33 7.0625 09/16/00 7.5 0.5 0.8125 52.36 77.83
24 LRW LABOR READY INC 22.04 4.8125 09/16/00 5 0.5625 0.6875 50.22 108.22
25 UAM UNITED ASSET MANAGEMENT 21.38 24 09/16/00 25 0.25 1.125 52.77 21.8
26 APLX APPLIX INC 21.18 4 09/16/00 5 0.375 1.25 53.72 147.73
27 WAC WARNACO GROUP INC-CL A 20.29 4.4375 09/16/00 5 0.5 1.125 50.35 142.19
28 ADM ARCHER DANIELS MIDLAND CO 20.23 9.8125 09/16/00 10 0.6875 0.9375 50.52 69.95
29 HUM HUMANA INC 20.23 7.25 09/16/00 7.5 0.6875 0.8125 50.43 86.33
30 IKN IKON OFFICE SOLUTIONS INC 20.07 3.875 09/16/00 5 0.3125 1.3125 54.41 146.9
31 BS BETHLEHEM STEEL CORP 19.95 4.5 09/16/00 5 0.375 0.9375 51.31 115.31
32 DLM DEL MONTE FOODS COMPANY 18.49 7.125 09/16/00 7.5 0.625 0.9375 50.23 89.24
33 LPX LOUISIANA PACIFIC CORP 16.94 9.625 08/19/00 10 0.25 0.6875 50.7 63.63
34 WDC WESTERN DIGITAL CORP 16.51 4.0625 09/16/00 5 0.375 1.3125 51.36 147.09
35 CBSH COMMERCE BANCSHARES INC 13.99 33 08/19/00 35 0.4375 2.5 50.45 51.74
36 ENN EQUITY INNS INC 13.59 6.625 09/16/00 7.5 0.25 1.125 51.26 74.11
37 SATH SHOP AT HOME INC 13.56 3.6875 09/16/00 5 0.1875 1.5625 53.07 149.68
38 MWL MAIL WELL INC 13.24 6.75 09/16/00 7.5 0.4375 1.125 50.09 86.1
39 COOL CYBERIAN OUTPOST INC 11.8 3.5313 09/16/00 5 0.25 1.75 52.1 171.13
40 STRX STAR TELECOMM INC 11.27 2.5 09/16/00 5 0.25 2.5625 54.39 256.1
41 KERA KERAVISION INC 10.66 2.4375 09/16/00 5 0.25 2.8125 51.94 279.62
42 CMDL COMDIAL CORP 10.66 2.4375 09/16/00 5 0.25 2.8125 51.94 279.62
43 NS NATIONAL STEEL CORP CL B 8.76 4 08/19/00 5 0.1875 1.125 51.03 165.12
44 NCI NAVIGANT CONSULTING 8.61 3.125 09/16/00 5 0.25 2.0625 52.16 195.77
45 PETM PETSMART INC 8.11 3.5625 09/16/00 5 0.25 1.5625 51.72 145.8
46 CQB CHIQUITA BRANDS INTL INC 7.25 3.6875 09/16/00 5 0.25 1.5625 50.31 145.79
47 ADBL AUDIBLE INC 5.29 2.3125 09/16/00 5 0.25 2.9375 50.1 279.25
48 SYX SYSTEMAX INC 4.93 3.5625 09/16/00 5 0.1875 1.625 50.42 140.06

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