Straddles and strangles screener

Straddles and strangles option screener
for searching promising assets

The choice of assets for trading can take a long time, especially when it comes to options trading, when not only the market condition as a whole, but also stock charts as well as options prices and volatility must be taken into account. Time is the most valuable asset, therefore, when analysing the market, we apply this screener and we are happy to share with you. This screener simplifies the search for cheap or expensive options combinations. The screener can significantly simplify the process of selecting the most relevant assets for trading. It is designed for traders who buy or sell straddles and strangles, but it can be also applied to create options combinations, where an option price and movement potential play an important role.

Time saving

The screener is designed for options traders who value their time. It does the work for you, which would take several hours.

Trade ideas

With this tool, you will find new trading ideas based on the simple principle – buying cheap options or selling expensive ones.

Real options

A chance to meet real options even if you have a negative experience with binary options that have nothing to do with options trading and that are directed against a trader.

We’ve created 3 indexes: Alpha, Sigma and Theta that complement each other.
For the most informed decision-making, we recommend that you analyze all three indexes.

Top 10 least volatile assets
(flats, triangles)
Asset Last ATR Sigma
AERI 62.00 2.95 0.64
UAL 58.52 1.05 0.74
MNRO 48.15 0.83 0.74
FTR 6.77 0.10 0.75
GSAT 1.59 0.06 0.75
AMAT 56.36 1.78 0.76
NFLX 192.02 3.68 0.77
PEP 112.75 1.42 0.77
WMT 90.92 1.22 0.79
FOSL 6.60 0.35 0.79

Top 10 active stocks
(sorting from high to low)
Asset Last ATR Sigma
TWX 90.60 3.02 2.29
MRVL 20.13 0.34 2.23
P 4.57 0.38 2.17
OPK 5.50 0.40 2.15
NWL 29.30 1.31 1.99
CAR 33.46 1.83 1.99
FOXA 28.84 2.48 1.95
CLR 46.69 1.61 1.95
FOX 28.07 2.39 1.92
LAMR 75.02 2.05 1.89

This index is useful both in options trading and in classic stock market trading.

Sigma index lets you just in minutes find promising assets in a huge stocks list. It shows the market movement potential relative to past prices taking into account current market realities. That lets identify assets with low volatility (flats and triangles) and high volatility (trends).

Low index values indicate that the low volatility dominate in the market now, a certain converging formation takes place and there is no strong directed market movement. We often see a flat or a triangle on the chart at that time. This means that the price can move in any direction soon, breaking through the nearest support and resistance levels.

High index values indicate that the asset may be interesting for traders who trade impulse movements in the trend or expect correction waves emergence to search for pullback entry points in the direction of the trend from more attractive price levels.

Maximum and minimum index values indicate different market conditions (ranging from the flat in the run-up to strong market movements to the active phase of the trend). The higher Sigma index, the more actively the market moves at the moment.

Top 10 cheap options
(standard sorting)
Asset Last ATR Theta
AAOI 45.30 2.90 0.65
UAL 58.52 1.05 0.71
BIDU 237.40 4.26 0.77
MDCO 31.73 1.09 0.77
FOSL 6.60 0.35 0.78
CYH 4.38 0.17 0.79
NWL 29.30 1.31 0.80
MYL 38.16 1.61 0.81
GT 29.07 0.31 0.81
QEP 9.71 0.65 0.83

Top 10 expensive options
(sorting from high to low)
Asset Last ATR Theta
FTR 6.77 0.10 4.12
TWX 90.60 3.02 2.94
LLNW 5.90 0.30 2.69
CPN 14.99 0.06 2.47
MON 118.30 1.20 2.36
YELP 45.98 1.40 2.27
PF 54.22 0.88 2.12
LAYN 12.99 0.30 2.10
COH 39.90 0.48 2.07
GGP 22.20 0.87 2.05

This index is useful in options trading (straddles and strangles).

Theta index allows you to divide options into “cheap” and “expensive” taking into account the option price and recent market volatility.

Low index values suggest that options have a lower price relative to statistical market movements in recent times. In this case, it’s often interesting to buy underlying options.

Maximum index values correspond to assets, whose underlying options have the highest price relative to market movements in recent times. The higher the index, the more attractive the sale of straddles and strangles is.

Therefore, opposite values of index help come up with the approach to trading and the choice of trading strategies. Theta lets you just in minutes identify assets with the highest potential at the moment. An additional criterion for assessing the favorable market condition is Sigma index.

Top 10 assets to buy options
(standard sorting)
Asset Last ATR Alpha
UAL 58.52 1.05 0.53
AAOI 45.30 2.90 0.55
FOSL 6.60 0.35 0.62
MNRO 48.15 0.83 0.63
MDCO 31.73 1.09 0.73
FOLD 12.89 0.70 0.77
MYL 38.16 1.61 0.78
MTZ 42.90 1.30 0.79
GWW 203.48 8.94 0.79
TRN 32.58 0.51 0.79

Top 10 assets to sell options
(sorting from high to low)
Asset Last ATR Alpha
TWX 90.60 3.02 6.73
MRVL 20.13 0.34 4.18
GGP 22.20 0.87 3.47
MON 118.30 1.20 3.47
LLNW 5.90 0.30 3.25
FTR 6.77 0.10 3.09
UPS 113.23 1.28 3.08
KORS 54.71 1.40 3.06
RRD 8.18 0.31 3.01
FOX 28.07 2.39 2.87

This index is useful in options trading (straddles and strangles).

Alpha index is the option’s attractiveness general index based on Sigma and Theta indexes. It takes into account conditional «high cost» or «cheapness» of options, as well as the market condition and the movement potential (flats, triangles and strong trends).

Minimum values show the «cheapest» underlying options with the greatest movement potential. The lower the index, the more attractive the purchase is.

Maximum index values show the most «expensive» underlying options with the lowest movement potential. The higher the index, the more attractive the selling of underlying option is.

How the screener works

The indexes calculation takes into account a set of market indicators that have the greatest weight when looking for entry points in the options market. A certain weight is assigned to each indicator, and, as a result, we get the index which can be easily compared with similar other assets values.

How often indexes are updated

The screener is updated every hour. It’s the most valuable while preparing for trading in the run-up to the US market opening.

Market indicators needed for indexes calculation:

  • options prices (the nearest strikes)
  • historical volatility and market activity on different timeframes and distances
  • market movement potential to the nearest statistical targets on the Daily timeframe and higher
  • the nature of price movements on the Daily timeframe (trends or flats)

Three-month options are taken into account in the first version of the screener.