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.