by Arrow222
Hey guys,
Greeks and new columns, like Annualized Yield on Collateral was added to FDscanner over the weekend.
With the new tools, it became much easier to search for the optimal short puts.
Here’s a scan for Jan 2021 with the following settings
- Expiry: 15 Jan 2021
- Option Type: Puts only
- Delta: Under 0.3
- Theta Annual %: Above 100%
Theta Annual % columns means the yield on collateral on cash secured puts. For calls, it’s yield on collateral on the share price * 100, since the collateral is 100 shares.
Here’s the first 20 options that passed the filters.
| No. | Ticker | Type | Strike | Share Price | Last | Delta | Theta | Theta Annual % | % OTM | IV |
|---|---|---|---|---|---|---|---|---|---|---|
| 1 | CVM | Put | $7.5 | $13.1 | $0.9 | -0.1352 | -0.0424 | 206.35% | 42.75% | 277.92% |
| 2 | CVM | Put | $10 | $13.1 | $1.7 | -0.236 | -0.0526 | 191.99% | 23.66% | 238.77% |
| 3 | CURO | Put | $12.5 | $16.51 | $0.95 | -0.1987 | -0.0391 | 114.17% | 24.29% | 2% |
| 4 | CVM | Put | $5 | $13.1 | $0.42 | -0.0639 | -0.0283 | 206.59% | 61.83% | 326.37% |
| 5 | RIG | Put | $2 | $2.48 | $0.14 | -0.2258 | -0.0056 | 102.2% | 19.35% | 145.78% |
| 6 | FCEL | Put | $8 | $9.45 | $0.77 | -0.2676 | -0.0244 | 111.33% | 15.34% | 150.44% |
| 7 | QS | Put | $40 | $79.75 | $1.9 | -0.0823 | -0.1586 | 144.72% | 49.84% | 197.33% |
| 8 | RMG | Put | $17.5 | $21.91 | $1.85 | -0.2316 | -0.0532 | 110.96% | 20.13% | 2% |
| 9 | PIC | Put | $15 | $18.4 | $1.49 | -0.2466 | -0.0498 | 121.18% | 18.48% | 159.39% |
| 10 | IPOB | Put | $25 | $29.49 | $2.2 | -0.2706 | -0.0724 | 105.7% | 15.23% | 137.16% |
| 11 | QS | Put | $60 | $79.75 | $9.69 | -0.2584 | -0.3742 | 227.64% | 24.76% | 203.46% |
| 12 | HCAC | Put | $15 | $20 | $1.3 | -0.2014 | -0.0518 | 126.05% | 25% | 169.94% |
| 13 | QS | Put | $35 | $79.75 | $1.2 | -0.0513 | -0.1084 | 113.05% | 56.11% | 198.94% |
| 14 | BTU | Put | $1 | $2.1 | $0.1 | -0.0825 | -0.0043 | 156.95% | 52.38% | 262.37% |
| 15 | QS | Put | $45 | $79.75 | $3.15 | -0.1191 | -0.2084 | 169.04% | 43.57% | 193.85% |
| 16 | QS | Put | $55 | $79.75 | $7.05 | -0.2114 | -0.3254 | 215.95% | 31.03% | 201.01% |
| 17 | SOL | Put | $5 | $8.21 | $0.25 | -0.1131 | -0.0146 | 106.58% | 39.1% | 2% |
| 18 | QS | Put | $50 | $79.75 | $4.9 | -0.1623 | -0.2639 | 192.65% | 37.3% | 194.59% |
| 19 | RIOT | Put | $9 | $10.38 | $1.35 | -0.2971 | -0.0365 | 148.03% | 13.29% | 195.16% |
| 20 | RIOT | Put | $7 | $10.38 | $0.48 | -0.1485 | -0.0234 | 122.01% | 32.56% | 187.6% |
Image: imgur.com/a/x2Cq5pk
If these companies are too volatile, I suggest layering a company profitability requirement
- Expiry: 15 Jan 2021
- PE ratio: Above 0
- Option Type: Puts only
- Delta: Under 0.3
- Theta Annual %: Above 30%
Here’s the top 20 that passed the list
| No. | Ticker | Type | Strike | Share Price | Last | Delta | Theta | Theta Annual % | Theta Daily % | % OTM | IV |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 | HL | Put | $5.5 | $6.1 | $0.17 | -0.2525 | -0.0066 | 43.8% | 0.12% | 9.84% | 64.98% |
| 2 | DQ | Put | $45 | $56.98 | $1 | -0.1278 | -0.0538 | 43.64% | 0.12% | 21.02% | 87.75% |
| 3 | CLR | Put | $15 | $16.81 | $0.7 | -0.2713 | -0.0246 | 59.86% | 0.164% | 10.77% | 85.98% |
| 4 | TRGP | Put | $22 | $27 | $0.4 | -0.1195 | -0.0195 | 32.35% | 0.089% | 18.52% | 70.58% |
| 5 | TRGP | Put | $24 | $27 | $0.67 | -0.2219 | -0.0267 | 40.61% | 0.111% | 11.11% | 64.78% |
| 6 | WFC | Put | $27.5 | $29.81 | $0.55 | -0.2382 | -0.0227 | 30.13% | 0.083% | 7.75% | 47.28% |
| 7 | CURO | Put | $10 | $16.51 | $0.4 | -0.0976 | -0.0263 | 96% | 0.263% | 39.43% | 2% |
| 8 | CURO | Put | $12.5 | $16.51 | $0.95 | -0.1987 | -0.0391 | 114.17% | 0.313% | 24.29% | 2% |
| 9 | YETI | Put | $65 | $72.36 | $1.52 | -0.2192 | -0.0609 | 34.2% | 0.094% | 10.17% | 56.56% |
| 10 | ET | Put | $6 | $6.61 | $0.11 | -0.2169 | -0.0052 | 31.63% | 0.087% | 9.23% | 51.94% |
| 11 | CCS | Put | $40 | $47.57 | $0.6 | -0.1432 | -0.0373 | 34.04% | 0.093% | 15.91% | 66.58% |
| 12 | VLO | Put | $50 | $54.77 | $1.18 | -0.2413 | -0.0478 | 34.89% | 0.096% | 8.71% | 54.6% |
| 13 | NLS | Put | $15 | $18.71 | $0.49 | -0.1637 | -0.023 | 55.97% | 0.153% | 19.83% | 97.08% |
| 14 | TSLA | Put | $500 | $652.22 | $8.39 | -0.1039 | -0.5417 | 39.54% | 0.108% | 23.34% | 88.4% |
| 15 | CURO | Put | $5 | $16.51 | $0.1 | -0.0219 | -0.0121 | 88.33% | 0.242% | 69.72% | 2% |
| 16 | GE | Put | $10 | $10.58 | $0.26 | -0.2951 | -0.0086 | 31.39% | 0.086% | 5.48% | 45.14% |
| 17 | PSX | Put | $62.5 | $66.88 | $1.7 | -0.2809 | -0.0572 | 33.4% | 0.092% | 6.55% | 49.46% |
| 18 | UFS | Put | $30 | $32.19 | $0.7 | -0.2795 | -0.0286 | 34.8% | 0.095% | 6.8% | 51.57% |
| 19 | WES | Put | $13 | $14.36 | $0.4 | -0.2542 | -0.0158 | 44.36% | 0.122% | 9.47% | 66.09% |
| 20 | ENPH | Put | $135 | $164.62 | $3 | -0.1503 | -0.156 | 42.18% | 0.116% | 17.99% | 2% |
Disclaimer: This information is only for educational purposes. Do not make any investment decisions based on the information in this article. Do you own due diligence or consult your financial professional before making any investment decision.