About Married Puts
The married put strategy is one in which a trader or investor purchases underlying shares and simultaneously purchases an equivalent number of put options. The cost of the shares and the long puts are the net debit as capital is required for both purchases. Max profit is unlimited in that the underlying stock could increase exponentially, though the break even is also increased to offset the put purchase. Risk is limited to net debit minus the strike price of the put. The married put strategy provides downside protection while still being able to participate in asset price appreciation.
When employing a Married Put strategy, for each 100 shares 'long', one corresponding put option is simultaneously purchased . As stock is owned, this is a bullish strategy and the put acts as insurance for any price correction that ensues prior to expiration. If the underlying should decrease in price, the put guarantees an exit price and provides a window of time at which to sell the shares. Alternatively, a stop loss can trigger during a sharp and sudden fluctuation in the stock price and subsequently force an early sale of stock. If the stock is below the strike price at expiration the investor can exercise the put and sell their shares, sell the put and maintain the long stock position or 'roll the put out' to another expiration.
Volatility and Greek Considerations
As premium is owned, any increase in volatility (vega) will also raise the price of the put option. Conversely, with the passage of time the option will erode in value (theta). The underlying stock and long put prices will move in opposite directions: as the stock rises the put will decrease in value. As the stock decreases, the put will increase in value. The change in the put's will not be one to one with the stock but will depend on the relationship between the put's strike and the stock price (delta).
P&L and BE Calculations
Break Even (Net Debit) = Stock Price + Put Ask Price. In order for the strategy to break even, the underlying must exceed the purchase price of the stock plus the premium paid for the put.
Max Profit = Unlimited, the long put acts as insurance to cap downside losses while allowing the investor to take part in any upside gains (beyond the break even).
Max Loss = Break Even (Net Debit) - Put Strike Price, max loss is incurred if the underlying falls beyond the net debit subtracted from the purchased strike
Max Loss % = Max Loss / Net Debit, the ratio of the potential loss to the purchase price of the strategy.
The screener results are initially sorted by descending "Break Even."
Options information is delayed a minimum of 15 minutes, and is updated at least once every 15-minutes through-out the day.
The screener displays probability calculations based on the delayed stock price at the time the strategy is updated. The new day's options data will start populating the screener at approximately 8:55a CT. Strikes that have not traded today are excluded from the results.
Main features of the Screener include:
- Ability to add various filters, with hundreds of different combinations.
- Save a Screener: When you've defined filters that you want to use again, save the screener.
- Load a Saved Screener: Select a previously saved set of screener filters to view today's results.
- View the Results using Flipcharts: Page through charts of the underlying symbols on the results page.
- Download the Results: Download up to 1000 results to a .csv file. The download will also pull all of the data fields present on the View you use.
- Automatic Screener Emails: This option is available for Barchart Premier Members. When you save a screener, you can opt to receive the top 10, 25, or 50 results via email along with an optional .csv file of the top 1000 results. Emails can be sent at Market Open (9:00am CT), Mid-Day (12:00pm CT), End-of-Day (4:45pm CT), and Overnight (3:00am CT) Monday through Friday.
Note: When selecting the Filter View for your Screener email, a filter must identify a specific search value in order for it to be included in the email.
Filters
Barchart Premier subscribers can add or modify different filters on the screener to find calls on the most favorable stock options.
Reordering Filters
Once filters are added, you may drag and drop them in the SET FILTERS tab to reorder the way they appear on the RESULTS tab (when using the Filters View). Each filter you add has the "Order" icon which is used to reposition it.
Deleting Filters
To remove a filter from your screener, click the checkbox to the left of the filter name, then click the red "Delete" button at the top of the column. You may also select all filters for deletion by clicking the checkbox at the top of the column, which selects ALL filters for deletion. You will be asked to confirm your decision to delete.
So you can focus on the best options, the screener starts by applying these default filters. Filter settings should be adjusted to match your trading requirements.
- Days to Expiration (monthly expirations only) is between 0 and 60 days.
- Last Trade Time: made within the last 2 sessions
- Security Type is only Stocks.
- Options Volume: for US market, must be greater than or equal to 100. For Canadian market, must be greater than or equal to 1.
- Open Interest: for US market, must be greater than or equal to 500. For Canadian market, must be greater than or equal to 5.
- Moneyness: ATM (-5.00% to 5.00%)
In addition:
- The stock price must be greater or equal to 1.00.
- The option must not be a "restricted" option. Non-standard or "restricted" options (options quotes marked with an asterisk * after the strike price, and found on an individual symbol's options page) are automatically removed from the screener. A "restricted option" is typically created after spin-offs or mergers, and is not tradeable.
- Strikes that have not traded today are excluded from the results.
Views
The Results page contains three standard views. You may switch the view using the links at the top of the screener results table. The Main View shows fields important to understanding the spread, while the Dividend & Earnings View can be used to highlight strategies with upcoming dividends and earnings. The Filter View shows you the data contained in the field(s) you've added to the screener.
Main View
- Symbol - the underlying symbol
- Price~ - the last price for the underlying symbol
- Expiration Date - the expiration date of the option
- Strike - the strike price of the option
- Ask - the Ask Price of the option
- Net Debit (Break Even) = Stock Price + Put Ask Price, in order for the strategy to break even, the underlying must exceed the purchase price of the stock plus the premium paid for the put.
- Max Loss– The Net Debit subtracted by the put strike price
- Max Loss% – Max Risk divided by the Net Debit
- Volume - the total number of options traded in the current day for a contract.
- Open Interest - the total number of open option contracts in the market for a particular contract. The more popular the contract is with options traders, the greater the Open Interest. An opening transaction will increase the Open Interest, and a closing transaction will decrease it.
- IV - Implied Volatility is the estimated volatility of the option strike over the period of the option.
- Delta -Measures the sensitivity of an option's theoretical value to a change in the price of the underlying asset.
- In the Money (ITM) Probability – The probability of the underlying trading below the put’s strike price at expiration. In such a situation, the put can be exercised for sold.
- Out of the Money (OTM) Probability – The probability of the underlying trading above the strike price at expiration.
Dividend & Earnings View
- Dividend - the dividend the equity pays on the Ex-Dividend Date. On the morning of the Dividend Ex-Date, the stock's price is lowered by the amount of the dividend that was just paid.
- Dividend Ex-Date - the first day on which the stock trades without the dividend. If you wish to receive the dividend, you must own the stock by the close of market on the day before the Dividend Ex-Date. Many times, a covered call is exercised early so the buyer can own the stock and collect the dividend. This typically happens to ITM options the day before the Dividend Ex-Date.
- Earnings Date - The date on which a company is expected to release their next earnings report. The prices are more volatile, which tends to inflate the prices of the near-the-money strikes. During a contract period when there is an earnings report due, the earnings announcement can dramatically shift the range in which the stock has been trading.
Options View
- Symbol - the underlying equity. Clicking on the symbol will take you to the current quote page.
- Strike - the price at which the underlying security can be bought if the option is exercised.
- Price - the delayed stock price for the underlying equity.
- Exp Date - the expiration date of the option
- Bid - The highest price that a BUYER is willing to pay, or the price at which you can sell the option.
- Ask - The lowest price that a SELLER is willing to receive, or the price at which you can buy the option.
- Implied Volatility (IV)- the estimated volatility of the option strike over the period of the option.
- Delta - Measures the sensitivity of an option's theoretical value to a change in the price of the underlying asset.
- Gamma - Measures the rate of change in the delta for each one-point increase in the underlying asset.
- Theta - A measure of the time decay of an option, the dollar amount that an option will lose each day due to the passage of time.
- Vega - Measures the sensitivity of the price of an option to changes in volatility.
- Rho - The rate at which the price of a derivative changes relative to a change in the risk-free rate of interest.
- Volume - the total number of options traded in the current day for a contract.
- Open Interest - the total number of open option contracts in the market for a particular contract. The more popular the contract is with options traders, the greater the Open Interest. An opening transaction will increase the Open Interest, and a closing transaction will decrease it.
- Last Trade - the date/time of the last trade for the option. Options information is delayed a minimum of 15 minutes, and is updated at least once every 15-minutes through-out the day.Â
