Option screener

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An option screener is a tool that evaluates options based on criteria and generates a list of potential trading ideas. Because of the size and liquidity of its market, most option screeners are targeted at U.S. exchange-traded equity options.

[edit] Overview

Options, particularly exchange-traded options, are highly liquid securities whose market prices can change rapidly. In addition, the number of options in a market can be large. For instance, as of October, 2006, there are over 185,000 individual equity option contracts, written on nearly 3,000 underlying stocks, that are listed on the various U.S. options exchanges. Each contract is typically listed on multiple exchanges, resulting in nearly 1,000,000 separate option prices that all change in real-time. For an option trader, the task of selecting an option to trade out of this multitude is a daunting task.

[edit] Screening criterion

Being able to isolate option plays that appeal to a specific trader is a vital component of a useful option screener. To do this, the option screener needs to allow the trader to define filters that narrow down the ideal options based upon what the trader deems important. Typical filters include, but are not limited to:

[edit] List of popular screeners


  Financial derivatives  
Options
Vanilla Types: Option styles | Call | Put | Warrants | Fixed income | Employee stock option | FX
Strategies: Covered calls | Naked puts | Bear Call Spread | Bear Put Spread | Bull Call Spread | Bull Put Spread | Calendar spread | Straddle | Long Straddle | Long Strangle | Butterfly | Short Butterfly Spread | Short Straddle | Short Strangle | Vertical spread | Volatility arbitrage | Debit Spread | Credit spread | Synthetic
Exotics: Asian | Lookbacks | Barrier | Binary | Swaptions | Mountain range
Valuation: Moneyness | Option time value | Black-Scholes | Black | Binomial | Stochastic volatility | Implied volatility
See Also: CBOE | Derivatives market | Option Screeners | Option strategies
Swaps
Interest rate | Total return | Equity | Credit default | Forex | Cross-currency | Constant maturity | Basis | Variance