Spreads.

With this selection, one can analyze vertical bull or bear spreads (either for debits or credits). A vertical spread is one that uses two calls with the same expiration month but different striking prices. It could also be established with puts, of course. Whether puts or calls are used, the following statements are true:

  1. if a lower strike is purchased and a higher strike is sold, that is a bullish spread

  2. If a higher strike is purchased and a lower strike is sold, that is a bearish spread

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


Select SPREAD Type

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. Select SPREAD Type.
  2. Bull Put Credit Spread – sell the high strike, buy the lower
  3. Bull Call Debit Spread – sell the high strike, buy the lower
  4. Bear Call Credit Spread – buy the high strike, sell the lower
  5. Bear Put Debit Spread – buy the high strike, sell the lower
  6. Set Underlying Price Range.
  7. Select Underlying Type (Stocks or Index are your only 2 choices)
  8. Set Price Range (10 < Stock < 100  Stocks between $10 and $100)
  9. Select Volatility and Time.
  10. 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).
  11. Number of Days to Expiration defines, which expiration months will be used.
  12. Primary Criteria. Choose one of the following five. "Estimated return" is always a safe choice.
  13. Estimated Profit/Loss (Profit/Loss weighted by probability of each Profit/Loss happening.)
  14. Estimated Return (Estimated Profit/Loss as a percent to investment. Investment is the total debit for debit spreads, and for credit spreads the investment is the difference in the strikes less the initial credit received.)
  15. Secondary Criterions.
  16. Probability of Success (Probability that Profit would be greater or equal 0. Set the Probability that you required)
  17. Option Price (Set the price range for the Options)
  18. Customize Your Report.
  19. 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
  20. Sequence: ascending or descending sort.

A sample "Spread Report" is shown below. A Bull Put Credit Spread report was selected for this example. This was run using the default parameters, except for the fact that 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 spreads that is has found.

The Spread Report should be viewed very carefully. In some cases, market makers do not update the bids and offers of options that are deeply in- or out-of-the-money, and thus a spread may look over attractive. In fact, I would say that the first spread in the following report is not realistic. Many of these could be eliminated just by looking at current prices and seeing that the credit cannot be achieved with actual prices. Again, remember that something that looks "too good" is probably not attainable – there is no free lunch on Wall Street.


SPREAD REPORT.

Select SPREAD Type

Bull Put Credit Spread

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 Prob. 1 Day I.V. Stock Price Exp. Month

Sell

Buy

Strike Price Strike Price
1 ARTG ART TECHNOLOGY GROUP INC 269.49 58.42 112.34 81.5 08/19/00 80 P 6.375 77.5 P 4.25
2 SONE S1 CORPORATION 12.48 63.13 135.12 18.125 08/19/00 17.5 P 1.875 15 P 0.8125
3 GO GO.COM 10.91 66.23 112.14 10.6875 09/16/00 10 P 1.25 7.5 P 0.3125
4 ALK ALASKA AIR GROUP INC 7.06 80.58 65.64 27.6875 08/19/00 25 P 0.75 22.5 P 0.25
5 GILD GILEAD SCIENCES INC 6.96 74.41 81.62 86.9375 08/19/00 80 P 3.5 70 P 0.9375
6 XEIK XEIKON N V 6.84 64.62 84.42 15.125 08/19/00 15 P 1.25 12.5 P 0.375
7 CTAS CINTAS CORP 6.65 65.1 62.14 41.5625 09/16/00 40 P 2.75 35 P 0.9375
8 CPN CALPINE CORPORATION 6.5 66.73 70.17 72.875 08/19/00 70 P 3.125 65 P 1.375
9 TRRA TERRA NETWORKS S A 6.35 68.12 90.83 37.1875 09/16/00 35 P 4.875 25 P 1.875
10 PETC PETCO ANIMAL SUPPLIES 6.34 81.76 50.54 19.75 09/16/00 17.5 P 1.0625 12.5 P 0.375
11 SYK STRYKER CORP 5.51 76.06 44.6 44 09/16/00 40 P 1.125 37.5 P 0.5
12 EXTR EXTREME NETWORKS INC 5.4 76.36 99.89 132.75 08/19/00 115 P 4.25 110 P 2.9375
13 CMS C M S ENERGY CORP 5.36 73.94 57.59 26.0625 08/19/00 25 P 1 20 P 0.0625
14 VRIO VERIO INC 5.09 99.06 80.8 52 08/19/00 35 P 1.125 25 P 0.625
15 GENE GENOME THERAPEUTICS CORP 4.96 61.87 119.4 21.5625 09/16/00 20 P 2.5625 17.5 P 1.5625
16 MCHP MICROCHIP TECHNOLOGY INC 4.74 77.79 63.84 65.5 08/19/00 60 P 1.5 55 P 0.4375
17 VRTY VERITY INCORPORATED 4.6 63.44 97.47 35.5 09/16/00 35 P 4.25 25 P 0.8125
18 NGEN NANOGEN INC 4.03 66.89 111.84 27.75 09/16/00 25 P 2.75 20 P 1.125
19 SIRI SIRIUS SATELLITE RADIO 4.03 65.09 83.6 41.25 09/16/00 40 P 4.25 30 P 1.0625
20 DISH ECHOSTAR COMM CORP 3.9 64.59 85.58 41.125 09/16/00 40 P 4.25 30 P 1
21 HOMS HOMESTORE.COM INC 3.9 62.65 92.87 35.0625 09/16/00 35 P 4.375 25 P 0.9375
22 NICE N I C E SYSTEMS LTD 3.82 61.45 64.4 70.875 08/19/00 70 P 3.375 65 P 1.4375
23 OMC OMNICOM GROUP INC 3.73 75.8 48.99 84.9375 08/19/00 80 P 2 75 P 0.875
24 MMGR MEDICAL MANAGER CORP 3.72 61.93 103.82 30.4375 09/16/00 30 P 4 22.5 P 1.25
25 VPHM VIROPHARMA INC 3.71 64.33 100.35 17.5 09/16/00 17.5 P 2.375 10 P 0.25
26 ARQL ARQULE INC 3.66 67.04 134.49 16.625 09/16/00 15 P 2.0625 10 P 0.5625
27 SIPX S I P E X CORP 3.66 62.01 91.32 30.125 09/16/00 30 P 3.5 22.5 P 0.8125
28 CMRC COMMERCE ONE INC 3.64 61.81 107.84 40.6875 09/16/00 40 P 5.25 30 P 1.5625
29 PMS POLICY MGMT SYSTEMS CORP 3.56 84.11 70.72 14.125 08/19/00 12.5 P 0.625 7.5 P 0.25
30 RSYS RADISYS CORP 3.52 59.13 104.5 60.8125 09/16/00 60 P 7.875 50 P 3.75
31 FFIV F5 NETWORKS 3.28 62.08 109.58 46.5 09/16/00 45 P 5.75 35 P 2.0625
32 BTX BIOTIME INC 3.22 69.82 108.21 8.375 09/16/00 7.5 P 0.875 5 P 0.25
33 MCAF MCAFEE.COM CORP 3.21 77.57 109.91 28.8125 09/16/00 22.5 P 1.5625 17.5 P 0.5625
34 BEAS BEA SYSTEMS INC 3.16 63.75 92.57 42.8125 09/16/00 40 P 3.875 35 P 2.0625
35 VISX VISX INC 3.13 60.76 90.75 22.5 09/16/00 22.5 P 2.6875 17.5 P 0.8125
36 TWTC TIME WARNER TELECOM INC 3.03 64.57 78.24 62.75 09/16/00 60 P 5.375 50 P 2
37 AMCC APPLIED MICRO CIRCUITS CP 3.02 90.32 93.95 136.0625 08/19/00 105 P 1.5 97.5 P 0.75
38 SAWS SAWTEK INC 2.92 61.24 92.6 50.75 09/16/00 50 P 5.625 40 P 1.875
39 CSCO CISCO SYSTEMS INC 2.92 87.08 62.88 63.1875 08/19/00 55 P 1.0625 45 P 0.25
40 NSTA ANESTA CORP 2.88 64.41 109.48 20.1875 08/19/00 20 P 1.8125 15 P 0.3125
41 SEBL SIEBEL SYSTEMS INC 2.79 56.51 91.39 139.625 09/16/00 135 P 13.625 130 P 11.375
42 XPDR XPEDIOR 2.63 67.59 95.71 13.1875 09/16/00 12.5 P 1.375 7.5 P 0.1875
43 SCMR SYCAMORE NETWORKS INC 2.61 82.07 87.17 117.3125 09/16/00 90 P 3.375 80 P 1.6875
44 WAT WATERS CORP 2.54 84.71 57.11 134.75 08/19/00 120 P 1.875 110 P 0.625
45 HHH MERRILL LYNCH INTERNET HO 2.48 75.73 61.09 102 09/16/00 90 P 3.75 80 P 1.5625
46 PLXS PLEXUS CORP 2.46 63.5 85.18 101.3125 09/16/00 95 P 8.125 85 P 4.5
47 NVDA NVIDIA CORP 2.45 69.69 103.06 58.8125 08/19/00 55 P 3.5 45 P 0.9375
48 UCOMA UnitedGlobalCom Inc 2.43 66.21 76.45 47.0625 09/16/00 45 P 3.75 35 P 0.8125
49 MU MICRON TECHNOLOGY INC 2.42 80.22 79.05 79.1875 08/19/00 70 P 2.25 60 P 0.75
50 FNSR FINISAR 2.24 67.21 109.78 24.9375 09/16/00 22.5 P 2.4375 17.5 P 0.9375
51 RIMM RESEARCH IN MOTION 2.21 64.79 105.65 53.75 09/16/00 50 P 5.375 40 P 2.0625
52 GNET GO2NET INC 2.19 72.05 103.53 58.75 09/16/00 50 P 4 40 P 1.5
53 ALKS ALKERMES INC 2.06 84.25 91.09 35.875 08/19/00 30 P 0.8125 25 P 0.25
54 NTPA NETOPIA INC 2.03 63.4 86.74 51.75 09/16/00 50 P 4.875 40 P 1.5
55 AMD ADVANCED MICRO DVCS INC 1.99 78.15 81.98 67.0625 08/19/00 60 P 2 50 P 0.4375
56 CACS CARRIER ACCESS CORPORATIO 1.95 80.3 85.82 56.25 09/16/00 45 P 2 35 P 0.5
57 ALA ALCATEL 1.92 82.71 54.9 71.9375 08/19/00 65 P 1.1875 60 P 0.5
58 NVLS NOVELLUS SYSTEMS INC 1.91 76.47 80.79 53 09/16/00 45 P 2.3125 35 P 0.5
59 MACR MACROMEDIA INC 1.89 73.21 96.33 77.0625 08/19/00 70 P 3.125 60 P 0.875
60 PWAV POWERWAVE TECH INC 1.85 60.45 124.26 31.5 09/16/00 30 P 4.375 25 P 2.4375
61 RHAT RED HAT INC 1.76 66.87 118.17 19.25 09/16/00 17.5 P 2.125 12.5 P 0.6875
62 TUTS TUT SYSTEMS INC 1.75 63.91 100.13 82.75 08/19/00 80 P 5.5 70 P 2.125
63 MNMD MINIMED INC 1.73 81.21 62.19 127.8438 08/19/00 115 P 2.4375 105 P 0.9375
64 GLH GALLAHER GROUP P L C 1.73 68.23 48.52 20.9375 09/16/00 20 P 1.0625 17.5 P 0.375
65 SVGI SILICON VALLEY GROUP INC 1.72 66.23 68.53 26.0625 09/16/00 25 P 1.9375 20 P 0.5
66 IDX IDENTIX INC 1.67 67.1 114.3 13.4375 09/16/00 12.5 P 1.5 7.5 P 0.25
67 ALTR ALTERA CORP 1.67 60.43 82.69 93 09/16/00 90 P 8.375 80 P 4.5
68 CCUR CONCURRENT COMPUTER CORP 1.67 96.5 107.21 11.3125 08/19/00 7.5 P 0.125 5 P 0.0625
69 PLT PLANTRONICS INC 1.63 82.61 76.59 132.75 08/19/00 115 P 2.5 105 P 1.0625
70 TWE TD Waterhouse Group Inc 1.61 65.9 54.77 18.125 09/16/00 17.5 P 1.0625 15 P 0.3125
71 LUV SOUTHWEST AIRLINES CO 1.61 72.5 41.57 23.9375 09/16/00 22.5 P 0.75 20 P 0.1875
72 PDX PEDIATRIX MEDICAL GRP INC 1.59 67.97 89.65 16 09/16/00 15 P 1.5 10 P 0.3125
73 TXCC TRANSWITCH CORP 1.55 67.17 96.24 73.625 08/19/00 70 P 4.25 60 P 1.375
74 YHOO YAHOO! INC 1.55 92.54 63.93 127.4375 08/19/00 105 P 1.125 95 P 0.5625
75 CEPH CEPHALON INC 1.53 65.94 106.08 41.0625 08/19/00 40 P 2.875 30 P 0.25
76 CORR C O R THERAPEUTICS INC 1.51 66.89 83.04 88.75 08/19/00 85 P 4.375 75 P 1.4375
77 STRM STARMEDIA NETWORK INC 1.49 61.51 116.17 15 09/16/00 15 P 2.1875 10 P 0.5
78 MMCN M M C NETWORKS INC 1.45 61.82 96.5 47.75 09/16/00 45 P 4.625 40 P 2.75
79 VRTX VERTEX PHARM INC 1.45 73.05 95.88 105.1875 08/19/00 95 P 4.25 85 P 1.875
80 ADCT A D C TELECOM INC 1.44 85.45 83.95 41.8125 08/19/00 35 P 0.75 30 P 0.25
81 TLB TALBOTS INC 1.43 79.79 66.1 49.5625 08/19/00 45 P 1.25 35 P 0.25
82 BRL BARR LABORATORIES INC 1.42 64.54 63.46 56.4375 09/16/00 55 P 4.125 45 P 1.0625
83 HELX HELIX TECHNOLOGY CORP 1.4 72.43 76.58 32 08/19/00 30 P 1.3125 25 P 0.3125
84 TLAB TELLABS INC 1.37 75.14 63.04 61.75 09/16/00 55 P 2.375 45 P 0.5
85 LE LANDS END INC 1.37 75.02 111.59 34.125 08/19/00 30 P 1.5 25 P 0.5
86 ACTL ACTEL CORP 1.37 63.66 84.64 35.5 09/16/00 35 P 3.625 25 P 0.625
87 TMPW T M P WORLDWIDE INC 1.33 81.76 89.86 71.3125 09/16/00 55 P 2.125 45 P 0.6875
88 MFNX METROMEDIA FIBER NETWORK 1.32 82.42 98.57 32.9375 08/19/00 27.5 P 0.8125 23.75 P 0.3125
89 MER MERRILL LYNCH & CO INC 1.31 92.84 43.26 125.625 08/19/00 110 P 0.6875 100 P 0.25
90 NTRO NETRO CORP 1.29 92.96 109.72 52.375 09/16/00 30 P 0.875 22.5 P 0.5
91 WSTL WESTELL TECHNOLOGIES INC 1.27 73.43 118.54 22.375 08/19/00 20 P 1.1875 15 P 0.25
92 ZIXI ZIXIT CORP 1.27 64.16 156.65 41.6875 08/19/00 40 P 4.625 30 P 1.5
93 QLGC QLOGIC CORP 1.27 65.43 103.53 67.6875 08/19/00 65 P 4.5 55 P 1.4375
94 UTI U T I ENERGY CORP 1.26 68.69 78.7 32.75 09/16/00 30 P 2.25 25 P 0.875
95 AMAT APPLIED MATERIALS INC 1.25 80.95 79.14 74.5625 08/19/00 65 P 1.75 60 P 0.9375
96 BOUT ABOUT.COM INC 1.24 59.27 128.54 31.125 09/16/00 30 P 4.625 25 P 2.625
97 QLTI QLT Inc 1.22 69.53 77.11 73.5625 08/19/00 70 P 3.125 60 P 0.6875
98 JKHY HENRY JACK & ASSC INC 1.22 73.77 64.8 44.9375 09/16/00 40 P 1.875 35 P 0.75
99 EQR EQUITY RESIDNTL PROP TR 1.21 74.5 13.43 51 09/16/00 50 P 0.8125 45 P 0.25
100 VERT VERTICALNET INC 1.21 74.56 109.8 44.8125 08/19/00 40 P 2 30 P 0.3125

Intro
How to Start
Strategies
Expected Profit/Loss
Compute the Results
Volatility
Market Alerts
Covered Calls
Straddles
Spreads
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Analysis Using Current Prices