Options Chain Column Descriptions

Quote Data
Strike Option strike price; the price at which the owner of an option can purchase (call) or sell (put) the underlying security
Symbol Stock, option, or index symbol
Last Trade Price of last trade
Change Change from Previous Close to Last Trade
Bid Current inside Bid price
Ask Current inside Ask price
Midpoint Midpoint between Bid and Ask
Volume Number of shares/contracts the security has traded for the day
Bid Size The quoted size of the inside bid price
Ask Size The quoted size of the inside ask price
Open Int Open Interest is the total number of outstanding options contracts that have not yet been closed
% Change Percent change from Previous Close to Last Trade
Last Size Size of last trade
Last Time Time of last trade
Chg (Open) Change from Open to Last Trade
% Chg (Open) Percentage change from Open to Last Trade
Open Opening price for the day
High Highest price the security has traded at for the day
Low Lowest price the security has traded at for the day
Prev Close Closing price from previous market session
Ending Ask Ending Ask price of the market session
Ending Bid Ending Bid price of the market session
Ending Mid Ending Midpoint price of the market session
Intrinsic Value The value by which the option is in the money, calculated for calls as (underlying price – strike price), or for puts as (strike price-underlying price)
Time Value The value of the option that is not attributed to the intrinsic value, calculated as (Midpoint - Intrinsic Value)

 

Greeks
IV

Implied Volatility based on the option midpoint price and underlying price as calculated with selected option pricing model.

IV is a theoretical value (in %) designed to represent the forecasted volatility of the security or index as determined by the prices of multiple call and put options using the Black-Scholes pricing model.

Other variables usually include security price, strike price, risk-free rate of return, and days to expiration. If all other variables are equal, the security with the highest volatility will generally have the highest option prices.

IV Ask Implied Volatility based on the option ask price and underlying price as calculated with selected option pricing model.
IV Bid Implied Volatility based on the option bid price and underlying price as calculated with selected option pricing model.
IV Rank Implied Volatility value of the current IV relative to the past year's IV range
IV Percentile Implied Volatility percentile value of current IV relative to the past year's IV range
Delta Estimate of the change in option price per one point change in the underlying price based on the selected option pricing model.
Gamma Measures the change in delta for a change in the underlying security price
Theta Estimate of the change in option price per one day passing based on selected option pricing model.
Vega Estimate of the change in option price per a 1% change in volatility of the underlying based on selected option pricing model.
Rho Estimate of the change in option price per a 1% change in interest rates based on selected option pricing model.
Multi Leg Greeks

For Multi Leg strategies, the sum of each individual leg is used to produce a single Greek value. The value will always be reflective of the Ask side to the strategy.

ClosedExample:

Note: Multi Leg Greeks are available for all Options trading strategies except Custom.

 

Probability
% ITM Prob Probability of the option expiring in the money at expiration
% OTM Prob Probability of the option expiring out of the money at expiration
% Touch Prob Probability of the stock price touching strike on or before expiration

 

Estimates (excludes commissions)
Max Gain

The maximum amount of profit based on the selected strategy inputs.
Break Even The price at which the profit or loss is 0 for the selected strategy inputs.
Max Loss The maximum amount of loss based on the selected strategy inputs.
Return % of Risk Max Gain divided by Max Loss, expressed as a percentage.

 

Covered Calculator
% Max Gain

The % return if the max gain is reached, expressed as a % of the initial investment price, calculated as follows:

  • Call Calculation: Max Gain / ((stock Ask or input cost – Call Bid)*share quantity)
  • Put Calculation: Max Gain/ ((stock Bid or input cost + Put Bid)*share quantity)
Static ROI

Static Return on Investment shows in Dollars the return if the stock price did not move from the current price and the option was to expire.

Calculations:

  • If stock would be assigned, uses the Max Gain calculations above
  • If stock would not be assigned,
    • Call Calculation: Call Bid * share quantity
    • Put Calculation: Put Bid * share quantity
% Static ROI

The Static ROI represented as a %.

  • Call Calculation: Static ROI / ((stock Ask or input cost – Call Bid)*share quantity)
  • Put Calculation: Static ROI/ ((Stock Bid or input cost + Put Bid)*share quantity)
Target ROI

Target Return on Investment shows in Dollars the return if the target price is reached at expiration. The Target price can be any price the stock could reach, and could be used to see what the profit or loss would be at that target price.

Calculations:

  • If stock would be assigned, uses the Max Gain calculations above
  • If stock is unchanged, uses the Static ROI calculation above
  • If stock price changes,
    • Call Calculation: Call Bid +/– difference in stock Ask or input cost to target price
    • Put Calculation: Put Bid +/– difference in stock Bid or input cost to target price
% Target ROI

The Target Return on Investment expressed as a %

  • Call Calculation: Target ROI / ((stock Ask or input cost – Call Bid) * share quantity)
  • Put Calculation: Target ROI/ ((Stock Bid or input cost + Put Bid) * share quantity)
% Protection

Due to the nature of Covered Call and Covered Put strategies, there is a degree of hedging that takes place by selling the option against the stock position.

  • Call Calculation: Call Bid/stock Ask or input cost * 100
  • Put Calculation: Put Bid/Stock bid or input cost * 100

 

The ITM (In the Money), OTM (Out of the Money), and Touch Probability columns provide calculations that are hypothetical in nature based on various inputs including Implied Volatility, Dividend Yield and Interest Rate. The calculations do not reflect actual investment results nor do they guarantee future results. The calculations do not consider any commissions or other costs, nor other positions in your account(s) for which a specific trading scenario is being examined.

Although, the calculations incorporate annualized dividend yields, they do not consider ex-dividend dates, early assignment, and other risks associated with option trading. If an option expires before the estimated date, it is treated as though it expires on the estimated date. Investment decisions should not be made based solely upon values generated by the Trade & Probability Calculator. (0419-98L5)

 

Options carry a high level of risk and are not suitable for all investors. Certain requirements must be met to trade options through Schwab. Multiple leg options strategies will involve multiple commissions. Please read the options disclosure document titled "Characteristics and Risks of Standardized Options." Supporting documentation for any claims or statistical information is available upon request.

 

 

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