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H
BestPeriodSample%ChangeS&P500
1
BuyYearTop 25
156.13%
16.51%
SellYearLast 5
3.89%
16.51%
5
BuyYearTop 25
122.95%
16.95%
SellYearLast 5
-1.87%
16.95%
A
BuyYearTop 10
63.04%
14.99%
SellWeekLast 5
-0.32%
0.2%

Option Breakevens

An option breakeven is the price where a given option breaks even at expiration based on its most recent bid/ask mean. For example, a 100 call option with a bid/ask mean of $10 would break even at $110. The option breakeven is a useful metric because it provides insight as to the pricing tension between the buyer and the seller. The option breakevens in this data set are weighted by their relative open interests at the end of the day. This is based on the premise that an investor would generally stay long a given option because they expect its value to increase, whereas the short investor would generally expect it to decline.

Each of the types of analytics are provided for 10, 20, 30, 60, 90, 120, 150, 180, 270, 360, 720, and 1080 calendar day future terms. The values for these terms are linearly interpolated from the nearest straddling option expirations. For example, the 30-day put/call ratio would be the linear interpolation of the put/call ratios for the data at the 27-day and 34-day expirations (assuming those are the closest straddling expirations). If the term does not have a pair of straddling expirations, the values from the closest expiration are used.

The stocks are ranked on the percent difference between the option breakeven price and the current price of the stock

Part of: General Woo


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