Options Screener for Time Value

Discussion in 'Options' started by newmansk, Jan 12, 2008.

  1. newmansk


    Does anyone know if there is an option screener available that can scan options based on time value?

    I am trying to search for options with a high time value premium relative to the time till expiration. This startegy will be primarily used for writing naked puts on low volitale blue chip stocks with a rich time premium.

    Please Advise.

  2. MTE


    Time value is highest for ATM options no matter which stock you look at. Time value is also a function of time to expiry and volatility. So if the time value is high relative to the time to expiry it means that the volatility is high.
  3. newmansk


    I'm aware that time value will most likely be more volitile if it has a higher time premium. I also know what time value is.

    I want to know what screeners or scanners are available to sort through options based on time value. I can judge the quality of the underlying stock after I receive the scanned results.

    Are there any option screens out there that can screen based on time value?
  4. Nanook


    Contact OptionVue about their main product add-on OpScan. As one it's option search parameters is the function "Time premium of option". At the following website select "Option Specific Parameters":
  5. newmansk


    Thanks Nanook.

    I sent them an e-mail and we'll see what they say.

    Does anybody else have any recommendations for time value screening tools?
  6. newmansk


    Thanks Atticus.

    Just to clarify is Theta the amount the option changes per every dollar change in the underlying stock price.

    (I.E. Stock ABC goes down $1 to $19, Theta = .20 option ABC 25 @ $5 . So the option for ABC will go down to $4.80.)
  7. No, you're describing delta. Theta is the change due to decay.
  8. hummm...you want to know about a "theta" screen but not really sure WHAT theta is? strange questions on these forums these days...
  9. :confused:
    #10     Jan 12, 2008