% Band Width (20)
This is a measure of the Bollinger Band® Width (distance between the upper and lower band) relative to the moving average, expressed as a %. The number in parenthesis shows the number of days used to create the BB and the moving average. Narrow bands occur during periods of low volatility and these bands widen during high volatility.
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% BB (20)
The price of the stock relative to where it is in the Bollinger Band® (BB) range, zero means the stock price is at the bottom band and 100 means it is at the top band. Values greater than 100 mean the stock price went higher than the top band. Therefore, 110 means the stock price exceeds the top of the band by 10%. This percent BB uses a 20 day period for the stock with bands set at 2 standard deviations out from the 20 day moving average of the stock price.
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% Dividend or % Yield
A companies yearly dividend amount shown as a percentage of its stock price.
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% Held by Institution
The number of shares owned by organizations that primarily invest their own assets or on behalf of others. Some examples of institutional investors are employee pension funds, insurance companies, banks and university endowments.
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% If Assigned (Annual)
The Simple or PowerOptions if assigned yield multiplied by 365 divided by the number of days left to expiration.
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% If Assigned (Calendar Spreads)
This is the percent return for the position if the short term option is ITM at expiration. This return is based on the value of the long option at the short term expiration date, determined by using the Black-Scholes pricing model to calculate the remaining time value on the long option. The percentage return is calculated by:
(Theoretical Long Call Value at Short Term Expiration - Net Debit / Net Debit)
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% If Assigned (Simple)
The potential return from selling (shorting) an option if the stock price is in the exercisable range. In the case of a covered call, this return would include the premium from the sold option and any profit/loss on the covering stock position and assumes the stock price is higher than the strike price. This calculation does not include margin and is not annualized.% if Assigned = (option premium + profit/loss on stock) ÷ (stock price)
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% If Not Assigned (Annual)
The Simple or PowerOptions if not assigned yield multiplied by 365 divided by the number of days left to expiration.
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% If Not Assigned (Simple)
This percent assumes the stock is not assigned. It represents the down side protection based on the sold option premium alone. This percent considers the premium a seller would receive from the sale of an option to be profit, but does not consider profit or loss on the stock. This calculation does not include margin and is not annualized.% if Not Assigned = option premium ÷ stock price
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% If Unchanged
The covered call return assuming that the price of the stock is the same at expiration as it is now. It assumes there is no price appreciation or loss due to stock price movement. This value will be the same as % If Assigned for ITM options and the same as % Downside Protection for OTM options. The calculation is:% Unchanged = Option premium / (Stock price - Option premium)
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% If Unchanged (Annual)
The Simple or PowerOptions if Unchanged yield multiplied by 365 divided by the number of days left to expiration.
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% In-the-Money
This is where the underlying stock price falls relative to the option strike price. For covered and naked call options, it is when the stock price is above the strike price of the option.% In the Money = (Stock last - Strike price) ÷ Stock Price
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% Maximum Risk
The highest per share/per contract amount that a trade can lose, shown as a percentage of the investment amount.
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% Naked Yield
The % return if the option is sold and the stock is not owned or shorted. % Naked Yield = Time Premium ÷ Strike Price.
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% Naked Yield (Annual)
The Simple or PowerOptions Naked Yield multiplied by 365 divided by the number of days left to expiration.
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% Net Debit
The net debit to enter the trade divided by the stock/index price, shown as a percent. This is especially useful for Long Straddle positions so you know how much the stock has to move, in either direction, for your Long Straddle to break-even.
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% Option Volume, Current
Todays change in the total option volume on a stock compared to its 30 day average volume. This percentage is adjusted for the time of day.If the option volume is equal to the 30 day average option volume at close of business, the number would be 100%. If the option volume today is equal to the 30 day average half-way through the trading day, we would see a value of 200% - projecting that if the trend continued for the rest of the day the volume today would potentially be twice as high as the 30 day average.
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% Option Volume, Previous
A measure of yesterdays option volume against a 30 day average for the option contract volume. This can be used to measure unusual activity in an option. Values greater than 100 indicate that the number of contracts traded are greater than the average. Values under 100 show lower than average option activity.
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% OTM Range (Condor Spreads)
The range that the stock price is currently trading in relation to the sold (short) put and the sold (short) call. A % Out-of-Money Range of 50 shows that the stock is currently trading halfway between the sold put strike and the sold call strike. An OTM range closer to 0 means that the stock is trading closer to the sold put strike; where an OTM range closer to 100 means that the stock is trading closer to the sold call strike.
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% Range
The percent value of where the current stock price falls relative to the stocks 12 month high and low (not including the present day). Therefore, 80% range would mean that the current price for the stock is in the top 80% of its price range for the last year. High relative strength stocks will generally have values greater than 70% range.
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% Return
The return for the position calculated by dividing the potential profit by the risk or margin for the trade.
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% Return Difference
The difference between the % If Not Assigned return and the % If Assigned return. When searching, the smaller the % return difference, the search results will reveal more equity and option combinations that are near-the-money. Lower values in the less than column will create selections where the stock price is closer to the option strike price.
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% Stock Change Today
The percentage of change in todays stock price from yesterdays close.
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% To Double
The % change needed in the underlying stock price to cause the option price to double.
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% Volume
The % change of todays stock volume compared to the 90 day average volume on the stock. It is a measure of any increase or decrease in volume over the last months average. Many investors believe that volume changes precede stock price changes or give an indication of the strength behind a stock price movement. 150% volume would mean that a stock is trading with 50% more volume than it has over the past 90 days.
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1 Year Range
The high to low trading range of the underlying security over the last 52-week period.
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American-Style Option
This kind of option contract may be exercised or assigned at any time between the date of purchase and the expiration date. Most exchange-traded options are American-style.
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Annual Dividend
The monetary value (per share) of the expected annual dividend for the stock or ETF. If you are long stock this is the amount per share you would receive over 12 months. If you are short the stock position, this is the amount per share you would have to pay over 12 months.
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Annualized Return
The process of taking a return and multiplying it by a factor to simulate the return on an yearly basis. The return is multiplied by 365 ÷ number of days to expiration. This factor is more than one for options with an expiration date of less than one year and is less than one for LEAPs.
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Ask (Price)
The price that sellers are trying to get for an equity or option on the open market.
The ask will usually be higher than the last trade, since most people are trying to sell at the highest price the market will support.
Although you can usually get better pricing using a limit order, most market orders to buy options or equities will go through at the ask price.
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At-the-Money
An option whose strike price is equal to the price of its underlying stock. When the stock price is very close to the strike price but not equal it is said to be near-the-money. Near-money and at-the-money options tend to have the most time premium.
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Average Broker Recommendation
Zacks Investment Research provides weekly data regarding how brokers rate a company as a buy, sell or hold opportunity. The brokers rate using 1 as a strong buy, 3 is a hold and 5 is a strong sell recommendation.
The average broker recommendation is the sum of all the broker recommendations divided by the number of brokers that have an opinion.
The (#) that is shown next to the average broker recommendation is how many total brokers are making recommendations.
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Average Recommendation Change
The amount of increase or decrease in broker recommendation rating from last week to this week.
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Average Stock Volume
The daily volume of shares traded for any stock averaged over the last 90 days.
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Bear-Call Credit Spread Strategy
A bearish combination investment strategy where the investor realizes a profit by making cash from a net credit formed by the difference between the premium earned on a sold call and the premium paid for a bought call. While the stock goes down, the investor keeps the net difference in premiums. For more information refer to Bear-Call Credit Spread Help.
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Bear-Put Debit Spread Strategy
A bearish combination investment strategy where the investor realizes a profit when the value of a long put increases as the stock price drops, the sold put helps to offset the cost of the long put and also provides a finite maximum risk level. For more information refer to Bear-Put Debit Spread Help.
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Beta
A measure of the security price sensitivity to changes in the market. Any stock with a higher-than-market Beta is more volatile than the market, while any stock with a lower Beta can be expected to rise and fall more slowly than the market. The beta of the S&P 500 is 1, a stock with a beta of 1 could be expected to move with the same volatility as the S&P 500 average.
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Bid (Price)
The price that buyers are trying to get for an equity or option on the open market.
This price will usually be lower than the last trade since buyers would like to pay the lowest amount possible for an equity or option.
Although you can usually get better pricing using a limit order, most market orders to sell options or equities will go through at the bid price.
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Bid/Ask Spread
The difference between the ask price of the option and the bid price of the option. Many investors will try to look for positions with a low bid/ask spread to reduce potential loss if the position needs to be closed. For example, if an investor sells an option at a bid price for $1.00, but the ask price is $1.50, the investor would have to pay 50% of the initial premium received to close the option. The same concept applies to option buyers if they were attempting to sell to close the option for a significant loss due to a large bid/ask spread.
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Black-Scholes
The Black-Scholes Model is a theoretical pricing model for options developed by Fischer Black and Myron Scholes It is based on 5 things:
(1) the option strike price;
(2) time to expiration;
(3) underlying stock price;
(4) current interest rates;
(5) the underlying stock volatility.
PowerOptions calculates the 5 different Black-Scholes values. We use the Historical 20-day Volatility, 50-day Volatility, 100-day volatility, 250-day Volatility and SIV (Stocks Implied Volatility Index) in the equation.
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Black-Scholes Ratio
By comparing an options Black-Scholes Value to its market price, one can assess whether the option might be overvalued or undervalued.The B-S Ratio is the bid price of an option divided by the Black-Scholes value for that option. Therefore, a B-S Ratio of 1.2 tells us that the option is overvalued by 20%. A B-S Ratio of 0.8 tells us that the option is undervalued by 20%. The Black-Scholes value is calculated using either the historical 50-day volatility or the SIV (Stocks' Implied Volatility).
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Black-Scholes Ratio (Sell/Buy)
For spread strategies, this ratio shows the BS value of the short option divided by the BS ratio of the long option.On PowerOptions, the sell option BS ratio is calculated using the option bid price divided by its theoretical value. The buy option BS ratio uses the option ask price divided by its theoretical value. The SIV (Stocks Implied Volatility Index) is used to calculate the theoretical value of both options. In theory, one would like to sell options that are overvalued (BS > 1) and buy options that are undervalued (BS < 1). A Sell/Buy BS Ratio of greater than 1 might help maximize returns.
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Break Even
The stock/index price(s) at which any option strategy or combination stock and option strategy has a zero loss and zero gain.
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Break Even, %
The percentage change needed in the underlying stock price for the position to reach Break Even. For Naked positions, this equates to the positions Downside Protection.
For Naked Calls, the % to Break Even is calculated as: [(Option Premium + Call Strike) - Stock Price] / Stock Price.
For Naked Puts, the % to Break Even is calculated as: [Stock Price - (Strike Price - Premium)] / Stock Price.
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Break Even, Annualized %
The Annualized % to Break Even. For Naked positions, this equates to the % Downside Protection Annualized. It is calculated by:
(% Break Even * 365) / Days to Expiration.
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Bull-Call Debit Spread Strategy
A bullish combination investment strategy where the investor realizes a profit the value of a long call increases as the stock price rises, the sold call helps to offset the cost of the long call and also provide a finite maximum risk level. For more information refer to Bull-Call Debit Spread Help.
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Bull-Put Credit Spread Strategy
A bullish combination investment strategy where the investor realizes a profit by making cash from a net credit formed by the difference between the premium earned on a sold put and the premium paid for a bought put. While the stock goes up, the investor keeps the net difference in premiums. For more information refer to Bull-Put Credit Spread Help.
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Calendar Spread
Any options position where the two (or more) options in a spread have a different expiration date. In general there are 3 types of Calendar Spreads:
- Horizontals: Same strike for the near-term option and far-term option.
- Diagonals: Different strikes for the near-term option and far-term option. On PowerOptions we show the standard Diagonal where the long option is further ITM than the short option - what some might call the "Poor Man's Covered Call". We currently do not show positions where the long option is further OTM than the short.
- Reversal Calendar: Horizontal or Diagonal, in this position you sell a far out in time option and buy a near term option. This gives a different P/L graph. Although a credit is achieved, it increases the annualized cost as you will need to purchase multiple near-term options against the short option as time moves forward.
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Call Option
A contract that offers the owner the right but, not obligation to purchase stock at the strike price before the expiration date. One option contract gives the right to control 100 shares of underlying stock, until expiration, unless the contract otherwise specifies.
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Call Symbol
Since 2010 when the Options Clearing Corporation's (OCC) Options Symbology Initiative (OSI) mandated an industry-wide change to a new option symbol structure, PowerOptions has adopted a 24 character symbol that represents each option contract. An example would be XYZAB__2010061900023000C. Representing the underlying stock symbol, the yyymmdd date of expiration, the strike price and call or put letter.
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Closing Purchase or Buy to Close
A transaction in which the buyers intention is to reduce or eliminate a short position.
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Closing Sale or Sell to Close
A transaction in which the sellers intention is to reduce or eliminate a long position.
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Collar Credit Spread Strategy
A bullish combination investment strategy where a put option is bought for downside stock protection on a covered call position. For more information refer to Collars Help.
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Company Name
The listed name of the company.
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Covered Call Strategy
A bullish combination investment strategy where a call option is sold against stock that you own to generate a monthly cash income. For more information refer to Covered Call Help or Covered Call Example.
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Covered Put Strategy
A bearish combination investment strategy, where the stock is shorted and a put option is sold to generate a monthly cash income. For more information refer to Covered Put Help.
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Current Assets
The companys available assets (including cash, inventory and other assets) that can be converted to cash in order to fund its day-to-day operations in a year.
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Current Liabilities
The total debt amount the company owes over the next year.
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Debit / Strike Difference Ratio (Calendar Spreads)
The total Net Debit divided by the Difference in Strike prices expressed as a ratio. Calendar Spreads with a Net Debit less than the Difference in Strike prices will have a ratio less than 1. Calendar Spreads with a Net Debit greater than the Difference in Strike Prices will have a ratio greater than 1. Calendar Spreads that have the same strike prices for both options will have a default ratio of 4.
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Debt / Equity Ratio
A companys long-term debt divided by the shareholders equity. A measure of financial leverage for the company.
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Delta (Hedge Ratio)
Delta is a measure of the sensitivity the option value has to changes in the underlying equity price. For every dollar of movement in stock price, the price of the option can be expected to move by delta points.If the delta is 0.5 then a one point change in the stock price will change the option price by $0.50. A call option that is deep out of the money (OTM) will have a delta, which approximates zero. A call option that is deep in the money (ITM) will have a delta, which approximates 1.00. Delta for an at the money (ATM) option is 0.5.
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Delta Ratio
With regard to spreads and calendar leaps, its the delta of the long option divided by the delta of the short option. Many calendar spread investors look for a delta ratio of greater than 2.
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Dividend
The amount of money per share a company will pay to its shareholders as a way of distributing profits. Dividends are usually paid quarterly. Dividends are more likely paid by larger companies. About half of the optionable stocks pay dividends.
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Downside Protection (% If Not Assigned-PowerOptions)
This percent assumes the stock is not assigned. It represents the down side protection based on the sold option premium alone. This percent considers the premium a seller would receive from the sale of an option to be profit, but does not consider profit or loss on the stock. This calculation does not include margin and is not annualized.% if Not Assigned = option premium ÷ stock price
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Earnings Date
The next scheduled earnings announcement date.
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Earnings per Share Growth or % EPSG
Earnings per share growth is a companys change in earnings from last year to the estimate for the next year divided by the earnings from last year, expressed as a percent. It is the expected earnings growth from year to year.
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EBIT (Earnings Before Interest and Tax)
The total income of the company before the amount is taxed.
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European-Style Option
This kind of option contract may be exercised only during a specified period of time just prior to its expiration date.
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Ex-Dividend Date
The date that an investor must be on record as a shareholder of a security in order to receive an upcoming dividend payment.
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Expiration Date
The date on which an option and the right to exercise it or have it assigned, cease to exist.
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Gamma (Curvature)
The rate at which an options delta changes as the price of the underlying security changes. Gamma is usually expressed in deltas gained or lost per a one-point change in the underlying security. As an example, if gamma is .05, it means that if the underlying stock/index changes by one point the delta would change by .05.
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Implied Volatility
The stock volatility that is implied by the actual trading price of an option. The Black-Scholes model is used to back calculate what volatility must be to create the present price of the option. Implied Volatility (IV) is often used to estimate the expected change in stock price based on option pricing. IV is generally published over a yearly time frame. It can be scaled to any time as shown below...
Expected Stock Price Change = Stock Price * IV * Square Root (time in days / 365)
Where the time in days is the time of the expected stock move. That time could be expiration time or some other time event.
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In-the-Money
This phrase describes where the underlying stock price falls relative to the option strike price. For covered and naked call options, it is when the stock price is above the strike price of the option. For covered and naked put options, it is when the price of the stock is lower than the strike price of the option.
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Income Before Tax
The total income of a company before the amount is taxed.
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Industry
An assigned category for the underlying security primarily determined by the largest source of the securities income.
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Intrinsic Value or % Intrinsic Value
Every option premium is comprised of some intrinsic value and some time value. The intrinsic value is based on how deep in the money the stock is priced. For a call it is how far above the strike price the stock price is located.Intrinsic value = Stock price - Option Strike price
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IV / HV
The ratio of the implied volatility of the option to the historical volatility of the stock. Theoretically, when you are selling an option you may want to look for an IV / HV of greater than 1. This means the option may be over priced compared to the historical stock value.
When buying an option, you may want to look for IV / HV to be less than 1 to find options that may be undervalued compared to the historical stock volatility.
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Kappa
See Vega.
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Last (Price)
The dollar amount of the last trade for the particular stock, index or option.
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Last Trade Time
The Last Trade Time for the option is the last time OPRA has reported a trade quote that will have updated the option last price, volume and possibly the day high/low.
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Last Update Time
The Update Time will show the last time OPRA has sent an NBBO update to the option bid and/or option ask prices.
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LEAPs
An acronym that stands for Long-term Equity Anticipation Securities. These options are longer than one year away from expiration date and can be up to three years until expiration. They are functionally identical to most other listed options, except with longer times until expiration. About 30% of the optionable stocks have LEAPs available.
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Long Position
When an investor is a holder of an equity or option position over time when an increase in the price for the option or equity would be favorable. If you are long on a stock, you hope that the price goes up.
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Margin Requirement
The amount of money an uncovered (naked) option seller is required to deposit or have available in their account to maintain and cover an open option position. Margin requirements are set by each brokerage house separately.
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Market Capitalization
The stock price multiplied by the number of shares outstanding. A commonly used measure of the size of a company since larger companies tend to have higher stock prices and as a result, a higher number of stock splits. The typical ranges are:
Small Cap.: 0 to 2 Billion
Mid Cap.: 2 Billion to 15 Billion
Large Cap.: 15 Billion +
In the SmartSearchXL tool the Market Capitalization field is measured in millions. Therefore, use the following values:
Small Cap.: 0 to 2,000
Mid Cap.: 2,000 to 15,000
Large Cap.: 15,000 to -.
Micro Cap. stocks are those that have a value less than 500. There are not many optionable stocks that are Micro Cap. stocks.
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Maximum Profit
The highest profit amount that the combined option trade can make.
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Maximum Risk
The highest per share amount a trade can lose.
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Mid Net Credit
The amount of premium that you receive when doing a spread or collar transaction. It is a positive difference between the option(s) sold and option(s) bought, based on the midpoint prices of each option, such that you still make money from the transactions. This can also be the total amount of cash that you recieve from a trade that involves short selling stock, less any options purchased.
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Naked Call Strategy
A bearish investment strategy where the investor realizes a profit by making cash from a sold call without having the cash investment of owning the stock as in a covered call strategy. While the stock goes down, the investor keeps the premium on the sold call. For more information refer to Naked Option Help.
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Naked Put Strategy
A bullish investment strategy where the investor realizes a profit by making cash from a sold put without having the cash investment of shorting the stock as in a covered put strategy. While the stock goes up, the investor keeps the premium on the sold put. For more information refer to Naked Option Help.
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Net Debit
The amount of premium that you pay when doing a spread or collar transaction. It is a negative difference between the option(s) sold price(s) and option(s) bought price(s), such that you still pay money for the transactions. Also the total money per share out of pocket to pay for a trade that invloves shares of stock, less any options that may have been sold, plus the cost of any options that have been bought. Using a net debit limit order is also a common way to enter a covered call (buy/write) trade on many broker order entry forms.
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Net Tangible/Market Cap
This ratio shows the Net Tangible Assets of the company (which exclude intangible assets and goodwill) compared to the market capitalization.
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Open Interest
Open interest represents the number of open option contracts on the market over the life of the contract. The open interest is a measure of how liquid the options contracts can be.When there is no open interest or a low open interest for an option, it can still be traded because the Options Clearing Corporation (OCC) will make a market for it.
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Opening Purchase or Buy to Open
A transaction in which the buyers intention is to create or increase a long position.
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Opening Sale or Sell to Open
A transaction in which the sellers intention is to create or increase a short position.
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Option High
The highest bid price of the option for its overall trading range.
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Option Low
The lowest bid price of the option for its overall trading range.
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Option Midpoint Price
The option price half way between bid and ask prices - the fairest price to buy or sell an option.
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Option Previous Close
Closing bid price from the last completed trading seesion.
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Option Volume
Option volume is the number of contracts traded during the current trading session or during the last trading session in the case of holidays or the weekend. Both buy orders and sell orders will cause option volume to increase.
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Option Volume, Previous
The number of option contracts traded in the last closed trading session.
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Out-of-the-Money
This phrase describes where the strike price of an option falls relative to the underlying stock price. For covered and naked calls, it is when the stock price is below the strike price of the option. For covered and naked puts, it is when the price of the stock is higher than the strike price of the option.
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Pcnt If Asgnd Midpoint
The potential return from selling (shorting) an option if the stock price is in the exercisable range. In the case of a covered call, this return would include the premium from the sold option and any profit/loss on the covering stock position and assumes the stock price is higher than the strike price. This calculation does not include margin and is not annualized.% if Assigned = (option premium + profit/loss on stock) ÷ (stock price - option premium)
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Premium
Another term for the price of an option.
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Premium % Of Stock Price
The option bid price divided by the current stock price. This percentage also reflects the maximum return on the Naked Put trade against the current stock price.
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Price / Book
The underlying's current market price compared to its most recent quarterly book value.
Some investors believe a low P/B value may mean the underlying is undervalued and a good buying opportunity.
Be sure to check other P/B ratios in the industry to know where this value is compared to its competitors.
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Price/Earnings Ratio or P/E
The stock price divided by last years earnings. The higher the P/E value, the more you are paying for each dollar of earnings.
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Price/Earnings/Growth Ratio or P/E/G
The PEG ratio compares a stocks P/E ratio to its expected EPS growth rate. If the PEG ratio is equal to 1, the market is pricing the stock to fully reflect the stocks EPS growth. For values over 1, the stock is possibly overvalued or the market expects future EPSG to be greater than current consensus. Growth stocks tend to have PEG greater than 1. Values less than 1 could be a sign of undervaluation or the market does not expect the company to achieve the EPSG that is reflected in the estimates. Value stocks tend to have PEG less than 1.
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Price/Sales Ratio or Price/Sales
The last closing price of the stock divided by the last 12 months sales per share. Investors generally use sales as an indicator of a companys prospects for growth. A ratio below 1.5 might be considered a good value.
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Probability (Spreads)
With regard to spreads, the probability is the theoretical chance that the stock price will be above the short option strike price for bullish spreads, or below the short option strike price for bearish spreads at expiration.
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Probability Above/Below
The chance that the stock price will be above/below the strike price of the option.
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Probability Above/Below Break Even
The theoretical probability that the stock or index will be trading above the lower break even or below the upper break even at expiration. For credit spreads the break even is defined as the net credit minus the short put strike price (bull put credit) or the net credit plus the short call strike price (bear call credit).
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Probability Between (%)
The theoretical probability that the underlying stock price will expire between the upper and lower break even points.
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Probability Sum
The sum of the probabilities that the stock will expire above the upper break even or below the lower break even. For Long Straddles and Long Strangles, you want to look for a higher probability number. This will reflect spreads that have a higher probability of being profitable. For Short Straddles and Short Strangles, you want to look for a lower probability number.
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Put / Call Premium Ratio
The mid-point of the put price (bid + ask / 2) divided by the mid-point of the call price (bid + ask / 2) expressed as a ratio. The ratio reflects the write cycles, or the number of cycles one would need to sell the call premium before the put option expiration in order to pay for the cost of the put option.
For example, if the mid-point for the put was $5.00, and the mid-point of the call price was $1.00, the investor would need to sell call premium 5 times before the put expiration date in order to pay for the cost of the put insurance.
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Put Option
A contract that gives the owner the right but not obligation to sell a stock at the strike price before the expiration date. 1 option contract gives the right to control 100 shares of stock.
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Put Symbol
Since 2010 when the Options Clearing Corporation's (OCC) Options Symbology Initiative (OSI) mandated an industry-wide change to a new option symbol structure, PowerOptions has adopted a 24 character symbol that represents each option contract. An example would be XYZAB__2010061900023000C. Representing the underlying stock symbol, the yyymmdd date of expiration, the strike price and call or put letter.
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Put/Call Open Interest Ratio
This ratio is similar to the put/call ratio except that it takes the ration of put open interest to call open interest rather than volume. Since open interest is measured over the contract life time the numbers are large and the ratio moves very slowly. A typical number of this ratio is 0.66.
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Put/Call Volume Ratio
This is the classical ratio of Put volume to Call volume. It is used as a sentiment indicator. The P/C Ratio is a contrary indicator. High values or a larger put volume are considered bullish because most option buyers are considered to be wrong. This indicator is best used when at extremes. Spiked values over 1 are considered bullish and values under .4 are considered bearish. Since 2008 high for this ratio was 1.53 in early 2008 to a low of 0.28 in late 2010.
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Retained Earnings
The net income plus the beginning retained earnings minus the dividends paid. Negative retained earnings reflect a deficit.
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Rho (Rate)
Rho is the sensitivity of an options price to a change in interest rates. Call options will generally increase in value when the interest rate increases, since it raised the cost of carrying the options. Put options will decrease in value. Option price sensitivity to interest rates is low for short term and higher for the longer-term options. The greater the options expiration time frame, the greater the Rho.
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RSI - Relative Strength Index
The Relative Strength Index is a technical indicator that compares the value of the recent gains vs. recent losses in the underlying security. The indicator is used to measure if the underlying security is overbought or oversold. The RSI is measured on a scale of 0 to 100. Securities that have an RSI of 70 are considered to be overbought and maybe approaching a drawback, where securities with an RSI of 30 are considered to be oversold. On PowerOptions, the 14 day historical changes are used to calculate RSI.
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Sector
A more specific categorization of companies within the same industry.
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Shares Outstanding
The number of shares outstanding is a measure for the size of a company. Larger companies generally have more shares outstanding because of the many splits in their history. This number is in millions of shares. So, 100 shares outstanding would mean 100 million shares are outstanding. Another measure for company size is market capitalization.
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Short Interest
The total number of shares of a security that have been sold short by investors and institutions. The Short Interest is typically expressed as a percentage (see % Short Interest).
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Short Interest - # of Days
The number of Days Short Interest is a measure of pent up buying power. It is often used to measure the possibility of a short squeeze.
# Days Short Interest = Short Interest / Average Stock Volume.
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Short Interest - % Short Interest
% Short Interest is a measure of the number of shares sold short compared to the numebr of Shares Outstanding.
% Short Interest = Short Interest / Shares Outstanding
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Short Option IV/SIV
The ratio of the implied volatility of the option to the average implied volatilities of a few near-term near-money options. Theoretically, when you are selling an option you may want to look for an IV / SIV of greater than 1. This means the option may be over-priced compared to the average volatility of some popular options.
When buying an option, you may want to look for IV / SIV to be less than 1 to find options that may be undervalued compared to the volatility of some popular options.
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Short Position
When an investor is a seller of an equity or option position over time when a decrease in the price for the option or equity would be favorable. If you are short on a stock, you hope that the price goes down. In other words, you are selling now with the hope of buying later at a lower price.
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Simple Moving Average
The stocks average closing price over the last (#) days. Stocks that are currently trading above SMA values are considered to be in an uptrend. Moving averages can be used to gauge the direction of price movement in any stock. The drop down windows allow you to choose a 20, 50, 100, 250 day moving average or the current price and compare them to one another. As an example if the 20 day MA is above or greater than the 50 day MA a stock is in an up trend. If the 20 day MA is less than the 50 day MA the stock is in a down trend.
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SIV (Stocks Implied Volatility Index)
The SIV is a way to measure the Volatility of the Stock based on the average OTM and ITM options implied volatilities for the underlying security. PowerOptions averages the implied volatilities of the two OTM and ITM calls and puts for the current month and the next target month to calculate the SIV value.
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Speculative Call Buying Strategy
A bullish investment strategy where the investor buys a call option, which is a leveraged position to potentially control shares of stock for a small premium. If the share price rises, so does the value of the call option. The risk is the premium invested to buy the call. If the stock rises, the profit potential is unlimited.
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Speculative Put Buying Strategy
A bearish investment strategy where the investor buys a put option, which is a leveraged position to potentially control shares of stock for a small premium. If the share price declines, the value of the put option rises. The risk is the premium invested to buy the put. If the stock price falls, the maximum profit potential occurs if the stock goes to zero.
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Springate Score
A single number score measuring the likelihood of corporate bankruptcy. A Springate score below 0.862 means the firm is likely to go bankrupt. A Springate score above 0.862 is passing.
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Stock Days Up / Down
This parameter is a simple short term momentum indicator. It measures number of days a stock has closed up or down in a row. A stock that closes up 3 days in a row is designated a +3, if it closes down 2 days in a row it is designated -2. Changes price of less than 0.2% are a 0.
As an example: We want to screen for stocks that have been down for the last 3 days.
Stock Days Up/Down
Down = 3 days
or
Up = -3 days
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Stock Symbol
The exchange symbol for the underlying security.
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Strike (Strike Price)
The price at which an option owner has the right but not obligation to deliver the underlying stock. For call sellers, this is the price at which you will have to deliver stock shares if your option gets assigned.
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Theta (Time Decay Factor)
The rate at which an option loses value as time passes. An option with a theta of $0.04 will lose $0.04 in value for each passing day. Therefore, if the option is worth $2.73 today, then tomorrow it will be worth $2.69 and the day after it will be worth $2.65.
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Time Value or % Time Value
Every option premium is made up of some time value and some intrinsic value. From its creation date to its expiration date an options time value decays away and any value left is intrinsic value which rises or falls with the price of the stock. The percent time value is the time value shown as a percent of the stock price.
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Time Value Ratio
The Time Value Ratio is the long option time value divided by the short option time value for a Calendar Spread position. This field reflects the amount of time value an investor is paying into the long option against the time value received for selling the near term option.
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Total Assets
The total value of what a company owns including real estate.
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Total Liabilities
The total liability of a company including loans, mortgages, expenses, deferred revenues, etc.
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Total Revenue
The total amount of sales in dollars for a company over a period of time.
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TRIN
The TRIN is also known as the Arms Index. The TRIN is the ratio of advancing stocks divided by declining stocks in the numerator and the volume of advancing stocks divided by volume of declining stocks in the denominator. A TRIN of less than 1.0 indicates more action in rising stocks.TRIN = [ #Adv. / #Decl. ] / [ Vol. Adv. / Vol. Decl. ] 10 day EMA TRIN readings over 1.2 are considered oversold and may present a buying opportunity. Conversely, readings under .8 are considered overbought and may present a selling opportunity.
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Vega (Kappa or Volatility)
The sensitivity of an options theoretical value to a change in volatility. If an option has a Vega of $0.13, for each percentage point increase in volatility, the option will gain $0.13 in value. As an example if the value of the option is $3.50 at a volatility of 30%, then it will have a theoretical value of $3.63 at a volatility of 31% and a value of $3.37 at a volatility of 29%.
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Volatility Ratio
The ratio of implied to historical volatility (50 day). If the ratio is greater than 1, the option is over-priced relative to historical value.
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Volatility, % Range
A measure of where the present implied volatility is relative to the high to low range of the implied volatility values over the life of the option. It shows how high the implied volatility is to the high of the range. A value of 80% means the current value is within 20% of the highest value seen by this option. The calculation is:% Imp Volat Range = (Today's Imp Volatility - Low Imp) / (High Imp - Low Imp)
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Volatility, Historical
A statistical measure of the annual fluctuation of the underlying stock. The volatility is used in option pricing models to determine the fair value of an option.Generally, the higher an equities volatility, the more inflated the underlying option bid prices will be. Volatility is one of the factors considered in the Black-Scholes theoretical option pricing model. Several time periods can be used to create this measure. We use 20, 50, 100, and 250 days of data to create four measures of volatility. When not marked with days on the site, the 50 day volatility is shown.
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Volatility, Implied
The stock volatility that is implied by the actual trading price of an option. The Black-Scholes model is used to back calculate what volatility must be to create the present price of the option. Implied Volatility (IV) is often used to estimate the expected change in stock price based on option pricing. IV is generally published over a yearly time frame. It can be scaled to any time as shown below...
Expected Stock Price Change = Stock Price * IV * Square Root (time in days / 365)
Where the time in days is the time of the expected stock move. That time could be expiration time or some other time event.
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Volatility, Implied Range
The numerical range of the options implied volatility over the life of the option.
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Volatility, Implied Ratio (spreads)
The ratio of the sell option implied volatility divided by the buy option implied volatility. A value greater than 1 will indicate that the sell option implied volatility is greater than the buy option implied volatility.
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Write Cycles (Calendar Spreads)
The possible number of times that you could write (sell) the near term option against the bought (long) option. The number of write cycles is calculated by dividing the months remaining to expiration of the bought (long) option by the months remaining to expiration of the near term option.
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Z Score
A measure of likelihood for corporate bankruptcy developed by E.I. Altman. Studies have determined that the following values have significance:Z < 1.81 the firm is likely to go bankrupt
Z between 1.81 and 2.67 is marginal
Z > 2.67 the firm is not likely to go bankrupt
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Z" Score
A modified measure of the Z-Score for private and non-manufacturing companies. Studies have determined that the following values have significance:Z" < 1.21 the firm is likely to go bankrupt
Z" between 1.21 and 2.90 is marginal
Z" > 2.90 the firm is not likely to go bankrupt.
Note: Numbers of > 3.75 are equivalent to a B bond rating.
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