Options Glossary

Options Glossary Category

Brutus Options Ranker Calculations
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  • %
  • % ITM
    Percent the contract or spread is already In The Money (ITM)
  • % of 200d SMA
    Calculates the percent of the current ticker price against the underlying 200d simple moving average (SMA). A percent less than 100% show that the underlying is trending below its average and above 100% shows the underlying is trending above the SMA.
  • % OTM
    Percent down or up from the current underlying price until the nearest strike.
  • 1
  • 1m % Change
    The percent change of the underlying price in the past month
  • 1y % Change
    The percent change in the price of the underlying in the past 1 year
  • 1y An. Std Dev. of Vol
    Annualized standard deviation of statistical volatility for one year
  • 1y An. Std. Dev. IV
    The annualized standard deviation of the 30d underlying IV
  • 2
  • 200d EMA Cross-Below
    Signals true when a ticker's last price at time of ranking crosses from yesterday's previous value above the 200d exponential moving average (EMA) to below the 200d EMA
  • 200d EMA Crossover
    This filter triggers when the underlying close price crosses from under the 200-day Exponential Moving Average (EMA) to above the 200d EMA.
  • 200d MA of 20d IV
    The 200 day moving average of the 20 day IV
  • 200d SMA
    The underlying 200-day simple moving average
  • 200d SMA Cross-Above
    Signals true when a ticker's last price at time of ranking crosses from yesterday's previous value below the 200d simple moving average (SMA) to above the 200d SMA
  • 200d SMA Cross-Below
    Signals true when a ticker's last price at time of ranking crosses from yesterday's previous value above the 200d simple moving average (SMA) to below the 200d SMA
  • 20d Avg Options Volume
    The average option volume over the last 20 trading days for the underlying across all strikes, expirations, and types.
  • 20d Frcst IV (ex-earn)
    The forecast of implied volatility over 20 days with earnings effects removed. Could be compared to current 20 day IV.
  • 20d Frcst Ticker IV (ex-earn)
    The forecasted stock volatility for 20 days with earning effects taken out
  • 20d IV
    20 day interpolated IV (calendar day)
  • 20d IV (ex-earn)
    The 20 day interpolated implied option volatility with earnings effect taken out.
  • 20d IV Frcst
    The forecast for the underlying's implied volatility in 20 days.
  • 2y % Change
    The percent change in the price of the underlying in the past 2 years
  • 3
  • 30d IV
    30 Day Interpolated IV (calendar day)
  • 3m % Change
    The percent change in the price of the underlying over the last 3 months
  • 5
  • 50d SMA
    The underlying 50-day simple moving average
  • 52w % Change
    The percent change in the underlying security over the past 52 weeks.
  • 52w High
    The highest price for the underlying over the past 52 weeks.
  • 52w Low
    The lowest price for the underlying over the past 52 weeks.
  • 5d % Change
    The percent change in the price of the underlying over the last trading week
  • 5y % Change
    The percent change in the price of the underlying in the past 5 years
  • 6
  • 60d IV
    60 day interpolated IV (calendar days)
  • 6m % Change
    The percent change in the price of the underlying over the last 6 months
  • 6m IV
    6 month interpolated IV (calendar day)
  • 9
  • 90d IV
    90 Day Interpolated IV (calendar day)
  • >
  • > 200d SMA
    Returns true if the current underlying price is above the 200d simple moving average and false if below.
  • a
  • Annual Return on Capital
    The maximum potential return against the capital required (margin requirement) for the trade and then annualized for consistent comparison basis across setups with different duration.
  • Annual Return On Risk
    Annualized Return on Risk is calculated by taking the maximum possible return from the position divided by the notional risk (max loss) that could be realized in the trade. This return is then annualized for the year.
  • Annualized Return on Capital
    The maximum potential return against the capital required (margin requirement) for the trade and then annualized for consistent comparison basis across setups with different duration.
  • Annualized Return on Risk
    Annualized Return on Risk is calculated by taking the maximum possible return from the position divided by the notional risk (max loss) that could be realized in the trade. This return is then annualized for the year.
  • AROC
    The maximum potential return against the capital required (margin requirement) for the trade and then annualized for consistent comparison basis across setups with different duration.
  • AROR
    The maximum possible return divided by the maximum possible loss on the trade and then annualized for consistent comparison basis
  • ask price
    Pricing options are different price options relating to options contracts. [Click to read more]
  • Ask Price
    The ask price is the most competitive price of stock or an option at which a seller is willing to sell. Conversely, this is the price that the stock or option may be purchased at when a market order is used. [click to read more]
  • ATM
    Determines if the spread or trade is ATM (At-The-Money). This means that the strike price at the nearest strike price against the current underlying/stock price. Returns 1/0 for true/false and can only be used as a filter, not as a criterion.
  • Avg Earn Eff
    average % moves corresponding to previous earnings announcements
  • Avg Earn Eff vs. Implied Eff
    The actual of the avg earnings effect divided by the implied earning effect
  • 20d Avg Options Volume
    The average option volume over the last 20 trading days for the underlying across all strikes, expirations, and types.
  • b
  • BEP
    Strike Price (if single contract) or Break-Even Price (if spread)
  • Beta
     
  • Beta (SPY)
     
  • Beta 1y SPY
    Short term price beta, 1 yr.
  • Beta 30d Spy
    30d (short-term) price beta to SPY
  • Beta Weight
     
  • Beta Weight (SPY)
     
  • Beta Weighting
     
  • bid
    The bid price is the most competitive price for a stock or an option at which a buyer is willing to purchase the asset. Conversely, this is the price that the stock or option may be sold at when a market order is used. [click to read more]
  • bid price
    Pricing options are different price options relating to options contracts. [Click to read more]
  • Bid-Ask Spread
    The difference between the bid price and ask price which indicates how close the buyers and sellers are to an average price. Liquid stocks and options have small (tight) bid/ask spreads, which ensures good pricing and a future market to close the position.
  • Bid price
    The bid price is the most competitive price for a stock or an option at which a buyer is willing to purchase the asset. Conversely, this is the price that the stock or option may be sold at when a market order is used. [click to read more]
  • Bid/Ask Spread
    The difference between the bid price and ask price which indicates how close the buyers and sellers are to an average price. Liquid stocks and options have small (tight) bid/ask spreads, which ensures good pricing and a future market to close the position.
  • Bid [Options]
    The price offered by the buyer for the purchase of the contract or spread
  • break even price
    The Break-Even Price is the price at expiration which either a single contract or a spread will have neither any loss or gain for both the option(s) buyer and the option(s) seller.
  • Break-Even Price
    The Break-Even Price is the price at expiration which either a single contract or a spread will have neither any loss or gain for both the option(s) buyer and the option(s) seller.
  • Brutus Options Ranker Calculation
     
  • c
  • Call All Strike Volume
    Total call option volume for all strikes for the day
  • Call All-Strike OI
    This is a liquidity indicator - this is the amount of open call contracts across all available strikes
  • Call OI All Strikes
    The Call Open Interest All Strikes is the sum of open interest across all available strikes and expiration dates.
  • Call Open Interest All Strikes
    The Call Open Interest All Strikes is the sum of open interest across all available strikes and expiration dates.
  • Call Volume All Strikes
    The Call Volume All Strikes is the sum of all call options volume across all available strikes and expiration dates. Volume is the number of contracts for a specific strike and expiration that traded hands.
  • Contract Implied Volatility
    Implied Volatility [Contract] defines the individual contract's or spread's implied volatility. Implied volatility at a contract level is the volatility implied for the future by the contract's current pricing.
  • Contract IV
    Implied Volatility [Contract] defines the individual contract's or spread's implied volatility. Implied volatility at a contract level is the volatility implied for the future by the contract's current pricing.
  • Contract Mid Price
    The contract or spread mid price is the price between the bid and ask prices currently on offer for the option contract or the spread. This is a good target for a limit price placed on an options order.
  • Covered Return
    The % return expected if the risk of the trade is fully covered with cash.
  • Covered Return
    The covered return is an indication of the percent potential return against the notional risk, or the amount of money that may be required if all short contracts were exercised.
  • d
  • Days to Ex-Div
    The number of days until the next ex-dividend date. If the date is unconfirmed this date is estimated based on dividend frequency and past ex-dividend date. Once the date is confirmed it is updated to the confirmed ex-dividend date.
  • Days to Expiration
    Days to Expiration gives the amount of time left in the option contract or in the nearest dated option in an options spread.
  • Delta
    The current expected change in the options value for each $1 move in the underlying
  • Div Amt
    The amount of dividend payment per share (estimated or reported)
  • Div Freq.
    The number of days between regular dividend payments estimated on past dividend announcements.
  • Div Freq. (d/pymnt)
    Dividend frequency is the number of days between past payments, it can be used to estimate future payment dates and implied future frequency/dividend rates.
  • Div Prior to Exp
    The underlying has an expected earnings announcement prior to the closest dated option contract in the spread
  • Div Yield
    The dividend yield is the dividend rate percent return on the current stock price.
  • Down Protection
    The percent move down that the underlying can make until the trade begins to show a loss at expiration. The nearest expiration is used for the basis of calculation for time spreads.
  • Driftless Theta
    Time decay with exclusion of drift in underlying price
  • DT Next Earn
    Days until the next confirmed (or best estimate if pre-announcement) earnings report date.
  • DTE
    Number of days left before the earliest option expires
  • e
  • Earnings Prior to Expiration
    The underlying has an expected earnings announcement prior to the closest dated option contract in the spread
  • EMA 200d
    200-day Exponential Moving Average on daily close time interval
  • EMA200d Cross Above
    EMA 200d Cross Above filter. Signals true (with a 1) when an underlying last price goes from below the 200d EMA the day before to above the 200d EMA.
  • EPS (Last Year)
    The last 12-month reported EPS
  • Ex-Dividend Date
    The last date to record the holders of the stock for dividend payment.
  • Ext. Value
    The out of the money value of the contract or spread
  • Extrinsic Value
    Extrinsic value is also known as time value. The amount of time remaining in the option is a key value for pricing and determines how long the underlying has to move up or down at current or future volatility.
  • g
  • Gamma
    The current expected change in delta's value for a $1 move in the underlying.
  • h
  • Historical Volatility
    The past measurement of the volatility of any security over a given timeframe.[click to read more]
  • HV 20d % Change
    Change in historic volatility over 20 days [underlying]
  • i
  • Imp Earn Eff
    Market implied earnings effect.
  • Implied Volatility (Contract)
    Implied Volatility [Contract] defines the individual contract's or spread's implied volatility. Implied volatility at a contract level is the volatility implied for the future by the contract's current pricing.
  • Implied Volatility Percentile
    Implied Volatility (IV) Percentile is a measure used to compare the underlying's current IV (as an average of all available options contract pricing) to historic values, which range defaults to the past year.
  • Implied Volatility [Contract]
    Implied Volatility [Contract] defines the individual contract's or spread's implied volatility. Implied volatility at a contract level is the volatility implied for the future by the contract's current pricing.
  • Inf IV (ex-earn)
    The implied infinite option volatility (earnings effects removed)
  • Inf. IV Frcst
    Infinite implied volatility forecast; can be compared to IV forecasts over a specific timeframe
  • Intrinsic Value
    The in the money value of the contract or spread
  • Intrinsic Value
    Intrinsic Value is the portion of the option's price attributed to the contract already being in the money.
  • Is Takeover Target
    Takeover Target [filter only] assigns 0 if the underlying is not a takeover target and assigns 1 if the underlying is or rumored to be a takeover target.
  • ITM
    Determines if any of the spread or trade is ITM (in-the-money). Returns 1/0 for true/false and can only be used as a filter, not as a criterion.
  • IV 30d Correlation to SPY IV (1m)
    Underlying 30d IV (w/o Earnings) Correlated to SPY IV 30d over a 1-month timeframe
  • IV 30d Correlation to SPY IV (1y)
    Underlying 30d IV (w/o Earnings) Correlated to SPY IV 30d over a 1yr timeframe
  • IV Percent
    Implied Volatility (IV) Percentile is a measure used to compare the underlying's current IV (as an average of all available options contract pricing) to historic values, which range defaults to the past year.
  • IV Percentile
    Percentile of the current IV vs year range of Ivs
  • IV Percentile
    Implied Volatility (IV) Percentile is a measure used to compare the underlying's current IV (as an average of all available options contract pricing) to historic values, which range defaults to the past year.
  • IVR (1m)
    The underlying IV Rank within the past month
  • IVR (1yr)
    The underlying IV Rank within the past year
  • m
  • M1 ATM IV
    First-month (the next normal expiration that is neither quarterly nor weekly) Implied Volatility at the Money.
  • M2 ATM IV
    Second-month (normal expiration that is neither quarterly nor weekly) Implied Volatility at the Money.
  • M3 ATM IV
    Third month (normal expiration that is neither quarterly nor weekly) Implied Volatility at the Money.
  • M4 ATM IV
    Fourth month (normal expiration that is neither quarterly nor weekly) Implied Volatility at the Money.
  • Mark % of Ticker
    Mark of contract or spread as % of the underlying's last price. This indicates how how expensive the option or spread is in comparison to the underlying's price.
  • Market Cap
    Market cap of the underlying. Calculated by multiplying shares outstanding by share price.
  • Market Capitalization
    Market Capitalization, also called 'Market Cap' for short, is the total value of outstanding shares for the Underlying.  Market Cap describes the value of the company or the size of an ETF's assets under management.
  • Max AROC
    The maximum possible annualized return on the trade.
  • Max Covered Ret.
    The max covered return of a position is applicable to net-short options positions and describes the maximum profit possible, in percentage terms, against a capital outlay which fully covers the risk in the position.
  • Max Return
    The maximum possible return in total dollars for the minimum size of the trade.
  • Mid Price Underlying
    The underlying mid-price is the price between the bid and ask prices currently on offer for the stock or ETF. This is a good target for a limit price placed in any order that involves the underlying stock.
  • Mid Price [Options]
    The contract or spread mid price is the price between the bid and ask prices currently on offer for the option contract or the spread. This is a good target for a limit price placed on an options order.
  • Mid Price [Underlying]
    The underlying mid-price is the price between the bid and ask prices currently on offer for the stock or ETF. This is a good target for a limit price placed in any order that involves the underlying stock.
  • Mid [Underlying]
    The price mid way between the bid and ask prices for the underlying
  • Moneyness Type
    Moneyness returns one of three labels that can be used for filters: 0) OTM 1) ATM 2) ITM
  • n
  • Natural-Mid Spread
    The Natural-Mid Spread for an options contract or spread is the difference in percentage terms between the natural price and the mid-price. The difference between the natural indicates the liquidity of the trade.
  • New Group
    Add a new group to your strategy to organize and combine the ranking of multiple related criteria.
  • Notional Risk
    Maximum loss on the trade
  • Notional Value
    Notional Risk, sometimes called Notional Value, is the total risk of a derivatives contract. [click to read more]
  • Notional Risk
    Notional Risk, sometimes called Notional Value, is the total risk of a derivatives contract. [click to read more]
  • o
  • OA Trade Liquidity
    OptionAutomator's proprietary scoring method to rank the trades overall liquidity.
  • OA Underlying Liquidity
    OptionAutomator's proprietary scoring method to rank the underlying's overall liquidity.
  • OI
    Open interest on the contract or spread
  • open interest
    The Put Open Interest All Strikes is the sum of open interest across all available put option strikes and expiration dates.
  • Open Interest
    Open Interest indicates the number of all open options contract for the particular option. This is an important measure of liquidity as it indicates the overall active participation in the position. High open interest, or high participation, in the options contract gives the trader reasonable confidence that there will be a counterparty for closing or for adjusting the position over the contract life.
  • Option Mid Price
    The contract or spread mid price is the price between the bid and ask prices currently on offer for the option contract or the spread. This is a good target for a limit price placed on an options order.
  • Option Volume
    The contract or spread's volume on the day
  • Option Volume
    The Option Volume is the specific volume for an exact contract. Volume is the number of contracts for a specific strike and expiration that traded hands.
  • Options Mid Price
    The contract or spread mid price is the price between the bid and ask prices currently on offer for the option contract or the spread. This is a good target for a limit price placed on an options order.
  • OTM
    Determines if any of the spread or trade is OTM (Out-of-The-Money). Returns 1/0 for true/false and can only be used as a filter, not as a criterion.
  • p
  • PB Ratio
    The price-to-book ratio, or P/B ratio, is a financial ratio used to compare a company's current market price to its book value. It is also sometimes known as a Market-to-Book ratio.
  • PE
    Price/Earnings Ratio
  • POP
    Probability of producing at least $0.01 Profit
  • POT
    Probability of Touch measures the chance that an option’s strike price will be “touched” by the stock price before expiration.
  • Prev Ticker Close
    Previous working day's close price of the underlying
  • Options Pricing
    Pricing options are different price options relating to options contracts. [Click to read more]
  • Prob. ITM
    Probability of being In The Money (ITM) at expiration
  • Prob. of Touch
    Probability of the underlying touching the break-even price at any point before expiration
  • Prob. OTM
    Probability of being Out of The Money (OTM) at expiration
  • Probability ITM
    Probability ITM is the chance for an options asset to remain above the price of a call or stay below the price of a put’s strike price at expiration.
  • Probability OTM
    Probability OTM is the chance for an options asset to stay below the price of a call or stay above the price of a put’s strike price at expiration.
  • Probability In-The-Money
    Probability ITM is the chance for an options asset to remain above the price of a call or stay below the price of a put’s strike price at expiration.
  • Probability of Profit
    Probability of Profit (POP) measures the chance that the underlying positions price at expiration will produce at least $0.01 of profit in the options position.
  • Probability of Touch
    Probability of Touch measures the chance that an option’s strike price will be “touched” by the stock price before expiration.
  • Probability Out-of-The-Money
    Probability OTM is the chance for an options asset to stay below the price of a call or stay above the price of a put’s strike price at expiration.
  • PS Ratio
    Price/sales ratio, P/S ratio, or PSR, is a valuation metric for stocks. It is calculated by dividing the company's market capitalization by the revenue in the most recent year or, equivalently, divide the per-share stock price by the per-share revenue.
  • Put All Strike Volume
    Total put option volume for all strikes for the day
  • Put All-Strike OI
    This is a liquidity indicator - this is the amount of open put contracts across all available strikes
  • Put Open Interest All Strikes
    The Put Open Interest All Strikes is the sum of open interest across all available put option strikes and expiration dates.
  • Put Volume All Strikes
    The Put Volume All Strikes criterion is the sum of all put options volume across all available strikes and expiration dates. Volume is the number of contracts for a specific strike and expiration that traded hands.
  • r
  • Rank-Time Trade Price
    Last traded price for the option or spread at the time data was collected.
  • Return on Capital
    The maximum potential return against the capital required (margin requirement) for the trade.
  • Return on Risk
    Return on Risk simply measures the maximum potential return for an options setup divided by the maximum potential loss.
  • Return on Risk
    The maximum possible return divided by the maximum possible loss on the trade
  • Rho
    Rho is the rate at which the price of the trade changes relative to a change in the risk-free interest rate.
  • ROC
    The maximum potential return against the capital required (margin requirement) for the trade
  • ROR
    The maximum possible return divided by the maximum possible loss on the trade
  • s
  • Slope Pctile (1y)
    The current slope compared to the high-low range from the past year. Slope is the best-fit straight line through the strike volatilities tangent to the 50-delta. It gives us an indication of the price of out of the money options vs. in-the-money. A high relative slope is ideal when selling OTM options and should be avoided when buying OTM and selling ITM.
  • SMA 200d
    200 day Simple Moving Average on daily close time interval
  • Social Sentiment
    Collective sentiment analysis from StockTwits, Reddit, and Twitter. The higher the value the more positive non-emotive sources vs. negative or neutral non-emotive sources.
  • Spread Mid Price
    The contract or spread mid price is the price between the bid and ask prices currently on offer for the option contract or the spread. This is a good target for a limit price placed on an options order.
  • IV 30d Correlation to SPY IV (1m)
    Underlying 30d IV (w/o Earnings) Correlated to SPY IV 30d over a 1-month timeframe
  • Std Dev from 1yr IV Avg
    Standard deviations of the current underlying IV vs. the year's mean.
  • t
  • Theo - Mid % of Mid
    The theoretical spread value (based on smooth vol) difference to current mid-price (theo - mid) of the spread compared to the average of both prices for normalization.
  • Theo Val
    Theoretical value of a single contract
  • Theta
    Theta estimates the decay in the options contracts value per day assuming no move in the underlying. Theta is extremely important for premium sellers as it indicates the maximum erosion of time value each day.
  • Tick vs Spy IV Pctl (1y)
    Percentile underlying IV / SPY IV vs year range.
  • Ticker Ask Price
    The price requested by the sellers of the underlying
  • Ticker Bid Price
    The price offered by the buyers of the underlying
  • Ticker Day Net Change
    Net change on the ticker for the day of the ranking
  • Ticker Mid Price
    The price mid way between the bid and ask prices for the underlying
  • Ticker Price @ Rank
    Last traded price for the underlying at the time data was collected.
  • Ticker Ttl Volume
    Total volume for the underlying
  • Ticker Yr IV Std. Dev.
    Standard deviation of the underlying IV for the year.
  • Trade Ask Price
    The price requested by the seller for the purchase of the contract or spread
  • Trade Bid Price
    The price offered by the buyer for the purchase of the contract or spread
  • Trade Bid-Ask Spread
    The bid-ask spread of the option as a percentage of the trade's mid price
  • Trade Day Net Change
    Net change on the trade alternative for the day of the ranking
  • Trade IV
    Implied volatility of the option contract is the derived (expected) volatility of the contract based on current pricing
  • Trade Mid Price
    Mid price of the individual options
  • Trade Nat-Mid Spread
    This % difference between the natural price and the mid price
  • Trade Volume vs. 20d Avg
    Current options volume across all puts and calls on the underlying vs. the 20d average
  • Annualized Return on Risk
    The maximum possible return divided by the maximum possible loss on the trade and then annualized for consistent comparison basis
  • Annualized Return on Capital
    The maximum potential return against the capital required (margin requirement) for the trade and then annualized for consistent comparison basis across setups with different duration.
  • Ask [Options]
    The price requested by the seller for the purchase of the contract or spread
  • ATM
    Determines if the spread or trade is ATM (At-The-Money). This means that the strike price at the nearest strike price against the current underlying/stock price. Returns 1/0 for true/false and can only be used as a filter, not as a criterion.
  • Bid-Ask spread [options]
    The bid-ask spread of the option as a percentage of the trade's mid price
  • Break-Even Price
    Strike Price (if single contract) or Break-Even Price (if spread)
  • Covered Return
    The % return expected if the risk of the trade is fully covered with cash.
  • Delta
    The current expected change in the options value for each $1 move in the underlying
  • Downside Protection
    The percent move down that the underlying can make until the trade begins to show a loss at expiration. The nearest expiration is used for the basis of calculation for time spreads.
  • Days to Expiration
    Number of days left before the earliest option expires
  • Dividend Prior to Expiration
    Filter indicator that the underlying has an expected ex-dividend prior to the expiration of the trade
  • Extrinsic Value
    The out of the money value of the contract or spread
  • Gamma
    The current expected change in delta's value for a $1 move in the underlying.
  • Intrinsic Value
    The in the money value of the contract or spread
  • ITM
    Determines if any of the spread or trade is ITM (in-the-money). Returns 1/0 for true/false and can only be used as a filter, not as a criterion.
  • Implied Volatility [contract]
    Implied volatility of the option contract is the derived (expected) volatility of the contract based on current pricing
  • Mark % of Underlying
    Mark of contract or spread as % of the underlying's last price. This indicates how how expensive the option or spread is in comparison to the underlying's price.
  • Max Annualized Return on Capital
    The maximum possible annualized return on the trade.
  • Max Covered Return
    The max covered return of a position is applicable to net-short options positions and describes the maximum profit possible, in percentage terms, against a capital outlay which fully covers the risk in the position.
  • Max Return
    The maximum possible return in total dollars for the minimum size of the trade.
  • Mid Price [Raw]
    Mid price of the individual options
  • Mid Price [Options]
    The price mid way between the bid and ask prices for the contract
  • Moneyness
    Moneyness returns one of three labels that can be used for filters: 0) OTM 1) ATM 2) ITM
  • Natural-Mid spread [options]
    This % difference between the natural price and the mid price
  • Mid Price % Change Today
    Net change on the trade alternative for the day of the ranking
  • Notional Risk
    Maximum loss on the trade
  • OA Trade Liquidity Score
    OptionAutomator's proprietary scoring method to rank the trades overall liquidity.
  • Open Interest [contract]
    Open interest on the contract or spread
  • OTM
    Determines if any of the spread or trade is OTM (Out-of-The-Money). Returns 1/0 for true/false and can only be used as a filter, not as a criterion.
  • Percent ITM
    Percent the contract or spread is already In The Money (ITM)
  • Percent OTM
    Percent down or up from the current underlying price until the nearest strike.
  • Last Price at Time of Rank [Contract]
    Last traded price for the option or spread at the time data was collected.
  • Probability ITM
    Probability of being In The Money (ITM) at expiration
  • Probability of Touch
    Probability of the underlying touching the break-even price at any point before expiration
  • Probability OTM
    Probability of being Out of The Money (OTM) at expiration
  • Probability of Profit
    Probability of producing at least $0.01 Profit
  • Return on Capital
    The maximum potential return against the capital required (margin requirement) for the trade
  • Rho
    Rho is the rate at which the price of the trade changes relative to a change in the risk-free interest rate.
  • Theo Value - Mid Price Difference Percent of Avg Price
    The theoretical spread value (based on smooth vol) difference to current mid-price (theo - mid) of the spread compared to the average of both prices for normalization.
  • Trade Theoretical Value
    Theoretical value of a single contract
  • Theoretical Value
    theoretical value based on smooth volatility
  • Theta
    Theta estimates the decay in the options contracts value per day assuming no move in the underlying. Theta is extremely important for premium sellers as it indicates the maximum erosion of time value each day.
  • Driftless Theta
    Time decay with exclusion of drift in underlying price
  • Upside Protection
    The percent move up that the underlying can make until the trade begins to show a loss at expiration. The nearest expiration is used for the basis of calculation for time spreads. Note a value of 100% signifies no losses to the upside, while a value >100% (very rare) signifies a break-even at greater than double the underlying price.
  • Vega
    Vega, one of the options greeks, quantifies the predicted change in the option contracts value in response to a 1% change in the underlying assets implied volatility.
  • Option Volume
    The contract or spread's volume on the day
  • u
  • Underlying Mid Price
    The underlying mid-price is the price between the bid and ask prices currently on offer for the stock or ETF. This is a good target for a limit price placed in any order that involves the underlying stock.
  • EMA 200d Cross Above Signal
    This filter triggers when the underlying close price crosses from under the 200-day Exponential Moving Average (EMA) to above the 200d EMA.
  • 30 day Implied Volatility [underlying]
    Implied volatility for the underlying is the derived (expected) volatility of the underlying based on current collective options pricing
  • Above 200d SMA Signal
    Returns true if the current underlying price is above the 200d simple moving average and false if below.
  • 1y Annualized Std Deviation of IVs
    The annualized standard deviation of the 30d underlying IV
  • Ask [Underlying]
    The price requested by the sellers of the underlying
  • Avg Earning Effect
    average % moves corresponding to previous earnings announcements
  • Avg Earning Effect Vs Implied Earn Effect
    The actual of the avg earnings effect divided by the implied earning effect
  • Beta (30d SPY)
    30d (short-term) price beta to SPY
  • Beta (1yr SPY)
    Short term price beta, 1 yr.
  • Bid [Underlying]
    The price offered by the buyers of the underlying
  • Call Open Interest All Strikes
    This is a liquidity indicator - this is the amount of open call contracts across all available strikes
  • Call Volume All Strikes
    Total call option volume for all strikes for the day
  • Days To Ex-Dividend
    The number of days until the next ex-dividend date. If the date is unconfirmed this date is estimated based on dividend frequency and past ex-dividend date. Once the date is confirmed it is updated to the confirmed ex-dividend date.
  • Days to Next Earnings
    Days until the next confirmed (or best estimate if pre-announcement) earnings report date.
  • Dividend Amount
    The amount of dividend payment per share (estimated or reported)
  • Dividend Frequency
    The number of days between regular dividend payments estimated on past dividend announcements.
  • Dividend Frequency (days between payments)
    Dividend frequency is the number of days between past payments, it can be used to estimate future payment dates and implied future frequency/dividend rates.
  • Exponential Moving Average 200d
    200-day Exponential Moving Average on daily close time interval
  • EMA 200d Cross Above Signal
    EMA 200d Cross Above filter. Signals true (with a 1) when an underlying last price goes from below the 200d EMA the day before to above the 200d EMA.
  • EMA 200d Cross Below Signal
    Signals true when a ticker's last price at time of ranking crosses from yesterday's previous value above the 200d exponential moving average (EMA) to below the 200d EMA
  • Historic Volatility 20d Change
    Change in historic volatility over 20 days [underlying]
  • 52-Week Change Percent
    The percent change in the underlying security over the past 52 weeks.
  • 52-Week High
    The highest price for the underlying over the past 52 weeks.
  • 52-Week Low
    The lowest price for the underlying over the past 52 weeks.
  • 5d Percent Change
    The percent change in the price of the underlying over the last trading week
  • Dividend Yield
    The dividend yield is the dividend rate percent return on the current stock price.
  • 1m Percent Change
    The percent change of the underlying price in the past month
  • 3m Percent Change
    The percent change in the price of the underlying over the last 3 months
  • 6m Percent Change
    The percent change in the price of the underlying over the last 6 months
  • PE Ratio
    Price/Earnings Ratio
  • Price-to-Book Ratio
    The price-to-book ratio, or P/B ratio, is a financial ratio used to compare a company's current market price to its book value. It is also sometimes known as a Market-to-Book ratio.
  • Price-to-Sales Ratio
    Price/sales ratio, P/S ratio, or PSR, is a valuation metric for stocks. It is calculated by dividing the company's market capitalization by the revenue in the most recent year or, equivalently, divide the per-share stock price by the per-share revenue.
  • 200d Simple Moving Average
    The underlying 200-day simple moving average
  • 1y Percent Change
    The percent change in the price of the underlying in the past 1 year
  • 2y Percent Change
    The percent change in the price of the underlying in the past 2 years
  • 5y Percent Change
    The percent change in the price of the underlying in the past 5 years
  • YTD Percent Change
    The percent change in the price of the underlying year-to-date
  • Implied Earn Effect
    Market implied earnings effect.
  • 200d Moving Average of 20d IV
    The 200 day moving average of the 20 day IV
  • 20d IV
    20 day interpolated IV (calendar day)
  • 20d IV (Earnings Effects Removed)
    The 20 day interpolated implied option volatility with earnings effect taken out.
  • 30d IV
    30 Day Interpolated IV (calendar day)
  • 60d IV
    60 day interpolated IV (calendar days)
  • 6m IV
    6 month interpolated IV (calendar day)
  • 90d IV
    90 Day Interpolated IV (calendar day)
  • 20d IV Forecast
    The forecast for the underlying's implied volatility in 20 days.
  • Infinite IV (Earnings Effects Removed)
    The implied infinite option volatility (earnings effects removed)
  • Standard Deviations from 1-yr Mean IV
    Standard deviations of the current underlying IV vs. the year's mean.
  • IV Percentile
    Percentile of the current IV vs year range of Ivs
  • IV Rank (1m)
    The underlying IV Rank within the past month
  • IV Rank (1y)
    The underlying IV Rank within the past year
  • Ticker IV vs Spy IV Percentile (1y)
    Percentile underlying IV / SPY IV vs year range.
  • IV 30d Correlation to SPY IV (1y)
    Underlying 30d IV (w/o Earnings) Correlated to SPY IV 30d over a 1yr timeframe
  • Last Price at Rank
    Last traded price for the underlying at the time data was collected.
  • Market Cap
    Market cap of the underlying. Calculated by multiplying shares outstanding by share price.
  • Month 1 ATM IV
    First-month (the next normal expiration that is neither quarterly nor weekly) Implied Volatility at the Money.
  • Month 2 ATM IV
    Second-month (normal expiration that is neither quarterly nor weekly) Implied Volatility at the Money.
  • Month 3 ATM IV
    Third month (normal expiration that is neither quarterly nor weekly) Implied Volatility at the Money.
  • Month 4 ATM IV
    Fourth month (normal expiration that is neither quarterly nor weekly) Implied Volatility at the Money.
  • Net Change [underlying]
    Net change on the ticker for the day of the ranking
  • 20d Forecast Actual Volatility (Earnings Effects Removed)
    The forecasted stock volatility for 20 days with earning effects taken out
  • 20d Forecast IV (Earnings Effects Removed)
    The forecast of implied volatility over 20 days with earnings effects removed. Could be compared to current 20 day IV.
  • Infinite IV Forecast
    Infinite implied volatility forecast; can be compared to IV forecasts over a specific timeframe
  • OA Underlying Liquidity Score
    OptionAutomator's proprietary scoring method to rank the underlying's overall liquidity.
  • Current Options Volume vs 20d Avg Ratio
    Current options volume across all puts and calls on the underlying vs. the 20d average
  • Underlying % of 200d SMA
    Calculates the percent of the current ticker price against the underlying 200d simple moving average (SMA). A percent less than 100% show that the underlying is trending below its average and above 100% shows the underlying is trending above the SMA.
  • Previous Close Price [Underlying]
    Previous working day's close price of the underlying
  • Put Open Interest All Strikes
    This is a liquidity indicator - this is the amount of open put contracts across all available strikes
  • Put Volume All Strikes
    Total put option volume for all strikes for the day
  • Slope Percentile (1y)
    The current slope compared to the high-low range from the past year. Slope is the best-fit straight line through the strike volatilities tangent to the 50-delta. It gives us an indication of the price of out of the money options vs. in-the-money. A high relative slope is ideal when selling OTM options and should be avoided when buying OTM and selling ITM.
  • 200d Simple Moving Average
    200 day Simple Moving Average on daily close time interval
  • 200d SMA Cross Above Signal
    Signals true when a ticker's last price at time of ranking crosses from yesterday's previous value below the 200d simple moving average (SMA) to above the 200d SMA
  • 200d SMA Cross Below Signal
    Signals true when a ticker's last price at time of ranking crosses from yesterday's previous value above the 200d simple moving average (SMA) to below the 200d SMA
  • 50d SMA
    The underlying 50-day simple moving average
  • Social Sentiment
    Collective sentiment analysis from StockTwits, Reddit, and Twitter. The higher the value the more positive non-emotive sources vs. negative or neutral non-emotive sources.
  • Standard Dev of Year's IVs
    Standard deviation of the underlying IV for the year.
  • Takeover Target [filter only]
    Takeover Target [filter only] assigns 0 if the underlying is not a takeover target and assigns 1 if the underlying is or rumored to be a takeover target.
  • Total Volume [underlying]
    Total volume for the underlying
  • EPS (Trailing 12 Month)
    The last 12-month reported EPS
  • Up Protection
    The percent move up that the underlying can make until the trade begins to show a loss at expiration. The nearest expiration is used for the basis of calculation for time spreads. Note a value of 100% signifies no losses to the upside, while a value >100% (very rare) signifies a break-even at greater than double the underlying price.
  • v
  • Vega
    Vega, one of the options greeks, quantifies the predicted change in the option contracts value in response to a 1% change in the underlying assets implied volatility.
  • Volatility Smile
    A smile-like shape formed on a graphic representation of variance in implied volatility across different strike prices of the option that has the same expiration date and underlying security. This is a graphical representation of the volatility skew.[click to read more]
  • 1y Annualized Std Deviation of Intraday Volatility
    Annualized standard deviation of statistical volatility for one year
  • Volume
    The total number of trading transactions that takes place on a given trading day.[click to read more]
  • w
  • Write
    The opening of a trading position in any market by selling a financial instrument. [click to read more]
  • y
  • YTD % Change
    The percent change in the price of the underlying year-to-date
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