The Long Call Butterfly Option Screener finds spreads that consist of call options at three equally spaced exercise prices within the same expiration, combining a bull call spread with a bear call spread. In a long call butterfly, the outside strikes are purchased, and the inside strike is sold. The ratio of a butterfly spread is always 1 x 2 x 1. The long call butterfly spread strategy succeeds if the underlying price is trading above the lower break even or below the upper break even, ideally at the middle strikes.
Example: 232.5 / 235 / 237.5 fly
- Bull Call Spread: AAPL with 11/15/19 expiration - Leg1 Strike = 232.50 (Leg1 Ask = 13.75) and Leg2 Strike = 235.00 (Leg2 Bid=11.75)
- Bear Call Spread: AAPL with 11/15/19 expiration - Leg1 Strike = 235.00 (Leg1 Bid=11.75) and Leg2 Strike = 237.50 (Leg2 Ask=10.15)
For the example above, you pay 2.00 for the 232.5 / 235 bull spread and you receive 1.6 for 235/ 237.5 bear spread.
- Net debit on the fly is .40.
- Max profit is realized if the underlying equals the 2 short strikes at 235.
- Max risk is the debit paid out and occurs when the underlying is above either highest strike (237.5) or below the lower strike (232.5).
Max Profit
Max profit is the strike differential less the cost for the fly. In the example, strike differential is2.5 and debit is 0.4. Max profit is capped at 2.1. This is achieved if the underlying “pins” or lands right at 235 on expiration.
Max Loss
Max loss is the debit paid and will take place if the underlying expires below the 232.5 strike or above the 237.5.
Break Even Calculations
The upper Break Even (BE+) is the higher strike purchased – debit. In the example, 237.5 - 0.4 = 237.1. The lower Break Even (BE-) is the lower strike purchased plus the debit paid. In example, 232.5 + .4 = 232.9.
Both risk (net debit) and max profit are limited in this strategy.
When you first access the page, we show screener results from a default set of filters that are in the "Set Filters" tab. You may use these default filters to fine-tune the screener, or you can open one of the screeners you've previously saved in your account using the "LOAD A SCREENER" drop-down.
The screener results are initially sorted by descending "Probability."
The screener displays probability calculations based on the delayed stock price at the time the strategy is updated. Strikes that have not traded today are excluded from the results.
Options start updating for the new trading day at approximately 9:50a.m. ET. Options information is delayed approximately 25 to 30 minutes, and is updated approximately every 5-minutes through-out the trading day.
Note: Expired options are removed from the website Monday - Friday at 7:45pm ET.
Main features of the Screener include:
- Customizable filters, based on over 150 different data points, with hundreds of different combinations. In addition, you may screen on many of Barchart's most popular pages such as Top 100 Stocks, New Highs and Lows, New Recommendations, specific pages in the Investing section, and more. You may also screen based on one or more of your Watchlists or Portfolios. This short tutorial gets you started with using filters on screeners.
- 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.
- Share Your Screener: Once you've saved a screener in your Barchart account, you can create a "share link" to send to your friends, associates, or any other interested parties. See details below.
- Barchart Screeners: On many of our screeners, you can select a sample screener provided by Barchart. You can modify the filters and save your new screener to your account.
- Save to Watchlist: You may save up to 1000 symbols from your Screener results to a new Watchlist, or append the results to an existing Watchlist.
- Custom Views: Once on the results page, you may change your view to the "Filter" view (showing you the fields you've screened for), or any of your saved Custom Views.
- View the Results using Flipcharts: Page through charts of the symbols on the results page.
- Download: Download up to 1000 screener results to a .csv file. The Download will include the data fields for the View you use.
- Automatic Screener Emails: This option is available for Barchart Premier Members only. When you save a screener, you can opt to receive the top results via email along with an optional .csv file of the top 1000 results. Emails can be sent at different times, based on the screener.
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 Filters" 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 with default filters:
- Security Type is only Stocks
- Days to Expiration (monthly and weekly expirations) is 60 days or less
- Options Volume for Leg1, Leg2 and Leg 3: for US market, must be greater than or equal to 100. For Canadian market, must be greater than or equal to 1.
- Open Interest for Leg1, Leg2 and Leg 3: for US market, must be greater than or equal to 500. For Canadian market, must be greater than or equal to 5.
- Moneyness Leg 2 is between -5% to 5% (ATM)
- Probability or Profit is greater than 25%
- Ask Price for both Leg 1 and Leg 3 is greater than 0.05
- Bid Price for Leg 2 is greater than 0.05
- Net Delta is between -0.10 and 0.10
In addition:
- The stock price must be greater or equal to 1.00.
- The option must not be a "restricted" option. 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.
- Strikes that have not traded today are excluded from the results.
Probability Calculation
We take the underlying stock price (l), the target price (b), days to expiration (t) and the implied volatility (v) to calculate probability:
Probability Above = 1-NORMSDIST (LN(b / l) / (v*SQRT (t / 365)))
Probability Below = NORMSDIST (LN (b / l) / (v*SQRT(t / 365)))
b = target price
l = underlying last price
v = implied volatility
t = days to expiration
Long Call Butterfly Break Even: Probability of the underlying trading inside of the break even points at expiration.
Long Call Butterfly Max Risk: Probability of the underlying expiring below the lower call strike or above the highest call strike.
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 the Volume and Open Interest for each option, 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.
The Results page also includes a checkbox labeled "Flag Earnings." When checked, a column is added at the right of the results. A green "E" icon will display, flagging options where the underlying's next reported earnings date falls on or before the expiration date. Mouse over the "E" to display the next earnings date and expected release time.
Main View
- Symbol - the underlying equity. Clicking on the symbol will take you to the current quote page.
- Price~ - the delayed stock price at the time the strategy is updated for the underlying equity.
- Exp Date - the expiration date of the option
- Leg 1 Strike - the price at which the underlying security can be bought if the option is exercised.
- Leg 1 Ask - ask price of the Leg 1 option
- Leg 2 Strike - the price at which the underlying security can be bought if the option is exercised.
- Leg 2 Bid - bid price of the Leg 2 option
- Leg 3 Strike - the price at which the underlying security can be bought if the option is exercised.
- Leg 3 Ask - ask price of the Leg 3 option
- +BE - The upper Break Even (BE+) is the higher strike purchased – debit.
- -BE - The lower Break Even (BE-) is the lower strike purchased plus the debit paid.
- Max Profit - Max profit is the strike differential minus the debit.
- Max Loss - Max loss is the debit paid and will take place if the underlying expires below the Leg 1 strike or above the Leg 3 strike.
- Payout% - (spread differential - net debit) / net debit
- Break Even Probability - the probability the last price will be at or beyond the break even point at expiration.
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.
Delete Screener
Once you save a screener in your Barchart account, you may delete it from the Results tab. Just click the "Delete Screener" button. You may also manage and delete your screeners by clicking the "Organize My Screeners" button.
Share Screener
Once you save a screener to your account, you may share either the details of the screener (including all your filters) or just the results of your screener with anyone you send the link to.
First, save your screener, making sure the view and sort you select in the saved screener modal is the one you want to share. You may share any of our "Standard" views (Main, Technical, Performance, etc.) or the Filter view. Shared screeners saved using one of your Custom views will only share the Filter view, as the Custom view is specific to your Barchart account.
Next, click the "share" link found on the Results tab. You will be asked what to share:
- Share Screener with Filters - the people you share the link with will be able to save the same screener in their Barchart account and view/modify the filters you used.
- Only Share the Results - the people you share the link with will not be able to save this screener in their Barchart account or view the filters you used to create the screener. This option would be used if you wish to keep your screener filters proprietary.
The share link is copied to your clipboard, and you are now free to send that link to anyone. Any further changes you save to your screener are automatically updated on the "share link" you initially generated.
Furthermore, if the end-user bookmarks the shared link (regardless of whether filters were shared or not) they will always see new results each time they open the link.
