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(Originally published on Jul 4, 2015)
New Feature: Probability/Delta Scanner
Last updated Aug 18, 2021(Originally published on Jul 4, 2015)
By Leav Graves
Table of Contents
We added a new scanner - A delta scanner. This scan allows you to limit the results according to delta - The change of the option contract when the underlying changes $1. So for example: If a stock has a delta of 50% we can expect the option to change $0.5 for every change of $1 in the asset. Options traders often refer to the delta as the probability of the options to expire in the money. This is not the 'text-book' definition but it is close enough for most traders and strategies.
How to scan for option probability:
With the probability scanner you can find trades that have limited chance of expiring in the money but still provide good return, for example:
- Naked puts with 12.5% annualized return with less than 10% of expiring in the money.
- Covered calls with dividends and the call has less than 25% of expiring in the money.
- And much more.