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. Thanks, Scott
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.
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?
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": http://www.optionvue.com/support_opscan_formula_building.htm
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?
A scan for theta is also a scan for gamma and vega. The search you're looking for is the top-decile implied volatility. IB's TWS has a high/low implied vol scanner. In fact, you can view the stripped-down version here: http://www.interactivebrokers.com/optionsCommentary/elitetrader/
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.)
hummm...you want to know about a "theta" screen but not really sure WHAT theta is? strange questions on these forums these days...