Evaluate investment opportunities to sell call options to gain additional premiums against an existing long stock position.
The covered call strategy is often used by traders who hold long stock positions to generate income, by selling call options to collect premium. This approach is considered slightly Bullish because it is often used by investors who wish to own a stock for long term appreciation, but are willing to harvest short term option premiums on it. Upside returns on the strategy may be limited, as gains on the stock price would be negated by having the options exercised and stock called away at the strike.
Use the Filter choices to narrow your search by Expiration Date, Time Premium, Moneyness range, Earnings Date, Ex-dividend Date, etc. View filtered results in tables which include key parameters and a full set of Option Greeks. Sort the tables by clicking on column headings. Click on the icons in the Symbols column to view more information on the specific stock. Use the Search box to find a particular symbol.
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# Observations
The # of observations available in the historical backtest, which matches the current option's delta
and the number of days until expiration to options for the same underlying symbol over the last 4 years
Stock Win Rate
The % of observations for the historical backtest where the stock price has gone up
Expiration
20 Days to Exp (14 Trading Days)
Moneyness (Dist. from Stock)
The difference between the strike price and the stock price, as a percentage of the stock price.
For example, if the strike price is $110 and the stock price is $100, this would be +10% (out-of-the-money). If the strike price is
$95, this would be -5% (in-the-money).
Covered Call Win Rate
The % of observations for the historical backtest where the covered call strategy has gone up
Stock Avg Return
The average % return for the stock price only over the course of the historical backtest observations
Option Price
Delta
Covered Call Avg Return
The average % return for the covered call strategy over the course of the historical backtest observations
Covered Call vs. Stock Win Rate
Using the historical backtest results, this compares the stock-only win rate against the option strategy win rate.
Is the stock higher, the strategy higher, or are they equal?
Open Interest
IV % Rank
The percent rank of the option's current implied volatility, when compared against a set of historical options
for the same underlying that:
1.) Had the same number of days to go until expiration as the current option has
2.) Were for a strike price the same % distance away from the spot price as the current option is
Covered Call vs. Stock Avg Return
Using the historical backtest results, this compares the stock-only average % return against the option strategy average % return.
Is the stock higher, the strategy higher, or are they equal?
Earnings Date
IV vs 20-Day Vol
Ex-Dividend
IV vs 1-Yr Vol
Company Event
Stock Groups
Statistics
Stock Ideas
In ETF
Market Cap
Stock Price
Avg Stock Volume
Stock IdeasMarket Leaders are the top 25 best-performing S&P 500 holdings, by combining the symbol's
holding % weight and the symbol's stock price % change over the last 6 months
Market Laggers are the the 25 lowest-performing S&P 500 holdings, by combining the symbol's
holding % weight and the symbol's stock price % change over the last 6 months
Momentum Stocks are stocks that have gradually moved away from 6-month lows and towards new 6-month
highs in each of the last 3 months, 2 months, 1 month, and 2 weeks
Stock Type
Sector
% From 52-Wk High
Avg Opt Volume
Sentiment by Option Delta
Industry
% From 52-Wk Low
% Chg From Open
Moving Avg IndicatorUptrendCurrent Price above 20 MA20 MA above 50 MA50 MA above 250 MA DowntrendCurrent Price below 20 MA20 MA below 50 MA50 MA below 250 MA Bullish CrossoverCurrent price above 20 MA20 MA Above 50 MA50 MA Below 250 MA Bearish CrossoverCurrent Price below 20 MA20 MA Below 50 MA50 MA Above 250 MA Fast Bullish CrossoverCurrent Price Above 20 MA and 50 MA20 MA Below 50 MA50 MA Below 250 MA Fast Bearish CrossoverCurrent Price Below 20 MA and 50 MA20 MA Above 50 MA50 MA Above 250 MA Bottom BounceCurrent Price Above 20 MA20 MA Below 50 MA, 250 MA50 MA Below 250 MA Top PullbackCurrent Price Below 20 MA20 MA Above 50 MA, 250 MA50 MA Above 250 MADead Cat BounceCurrent Price Below 20 MA, 50 MA, 250 MA20 MA Above 50 MA20 MA Below 250 MA50 MA Below 250 MA
Stock Price Return Distribution for Historical Holding Period Over Selected Timeframe
Amount At Risk
Selling certain option strategies produces greater risk than simply the cost of the option. If you sell a call, for instance,
the potential loss is infinite -- the price could just keep going up. By selling a put, the maximum potential loss is fixed at
the point which the stock price goes to zero.
Here, you see a breakdown of the potential amount at risk for each strategy below. The factors are based on potentially catastrophic
historical moves.
Symbol
Stock Price
Market Cap
Expiration
Days to Exp
Business days left until the option expires.
Strike
Call Bid
Call Ask
Delta
Moneyness (Distance from Stock)
The difference between the strike price and the stock price, as a percentage of the stock price.
For example, if the strike price is $110 and the stock price is $100, this would be +10% (out-of-the-money). If the strike price is
$95, this would be -5% (in-the-money).
Option IV Rank
The historical % rank of the option's current implied volatility
Breakeven Price
The stock price at which the strategy breaks even. If the stock is above this price, the strategy
will have a positive return. If it is below this price, it will lose money.
Example: Say the stock price is $100 and you sell a call on the 105 strike for $1.00, while purchasing the stock at $100.
If the stock loses $1.00, you will break even, offsetting the $1.00 you received from the sale of the option. So your breakeven
price is $99. If the stock is above $99, you will make a positive return, if it is below $99 you will begin to lose money.
Downside Cushion to Breakeven
If the current stock price is above the breakeven price, this is the % change in stock price cushion until
the stock price reaches the breakeven price. See breakeven price details for more info.
Example: say the current stock price is $100 and your breakeven price is $97. The stock could lose 3% ($3.00) of its value
before you reach your breakeven price. Therefore your downside cushion is 3%.
$ Time Premium
The Time Premium is equivalent to the cost (bid price) of the option, minus the current intrinsic value of the option
% Time Premium
The $ Time Premium divided by the current underlying stock price
% Return If Flat
If the option expires with the underlying stock price at the same level as the current price (unchanged or flat),
this would be the % return of the strategy, as a percentage of the total amount at risk.
Example: Say the stock is currently $100 and you sell a call on the 100 strike for $2, while purchasing the stock for $100.
Your amount at risk is $98 ($100 on stock - $2 received for option). If the stock price remains $100 at expiration,
your return will be $2, and the percentage return on your risk is +2.04% (+$2.00 / $98.00).
% Return Assigned
For the covered call strategy, if the stock price moves above the strike price, the call will be in-the-money and the call option will be assigned.
This will be the % return of the strategy if that happens.
Example: Say the stock is currently $100 and you sell a call on the 110 strike for $0.25. If the stock moves above $110, the call that you
sell will be assigned.
Next Earnings
Next Div Ex Date
Next Div Amt
Delta
Gamma
Theta
Vega
Rho
Option IV
Underlying Hist Vol 20-Day
IV vs 20-Day Vol
Underlying Hist Vol 1-Year
IV vs 1-Yr Vol
# Obs
Covered Call Win Rate
The % of observations for this backtest where the covered call strategy (selling the call and buying the stock, combined) had a positive return
Covered Call Avg Return
The average % return for the covered call strategy (selling the call and buying the stock) over the course of these backtest observations
Stock Only Win Rate
The % of observations for this backtest where the stock price has gone up
Stock Only Avg Return
The average % return for the stock price only over the course of these backtest observations
Analysis
Theo Value
Using a historical price return distribution for holding periods matching the # of days to expiration,
we calculate a theoretical value of the current straddle based on historical price changes available in this analysis.
Theo Edge
A positive edge (in green) is when the current market price of the straddle is a good deal
in relation to the theoretical value calculated from the historical distribution.
% Win Rate
The frequency with which the current market price of the spread would have resulted in
positive returns by expiration, based on the historical price changes available in this analysis.
Probability of TouchThe probability, in % terms, that the underlying stock price would cross the point at which this option becomes profitable against its current market value.Calculated using historical observations. Click View Details to see more.
Analysis
Holding Period Days
The historical price return distribution uses intervals of this # of holding days
# Obs
% Positive Obs
The % of historical price return observations in which the stock had a positive change in price
% Negative Obs
The % of historical price return observations in which the stock had a negative change in price
Avg Move
The average % move in the stock price for this historical price return distribution
Median Move
The median % move in the stock price for this historical price return distribution
Avg Up Move
The average % move in the stock price for this historical price return distribution, for only positive price movements
Avg Down Move
The average % move in the stock price for this historical price return distribution, for only negative price movements
Risk Amount
The maximum amount at risk from the three options displayed, unless none of the options are greater than $1.00.
In that case, we use a minimum of $1.00.
20% Move
The amount at risk for the strategy if the stock price experiences a 20% move in either direction over the course of the strategy's holding period
3 Std Dev Move
Using the historical price return distribution for a holding period equivalent to the # of days to expiration, this is the amount at risk if the stock
experiences a 3-standard-deviation move, in either direction.
Hist. Max Move
Using the historical price return distribution for a holding period equivalent to the # of days to expiration, this is the amount at risk if the stock
experiences a change in price equal to the greatest observed price change, in either direction.
About Strategy Backtests
Backtest runs through the last 4 years of data
It searches for options historically that have a similar delta and the same number of days to expiration, for the same underlying symbol
It finds the start and end value of the strategy, as well as the start and end value of the underlying stock price
We use those values to calculate the return for both stock and strategy, and the win rate, which is the % of time the strategy resulted in a positive return
Click on the Analysis link for a more detailed breakdown
Table Notes
Note:Eindicates earnings within expiration
Note:ESTindicates estimated event
Tip:Click on the Expiration link to go directly to the option chain
