Bull call spread screener

Supported filters

Return on risk (%)

Max profit divided by the debit. The Bull Call Spreads on High-Beta Names preset requires 100% or more, meaning the spread at least doubles the debit if the stock finishes above the short strike.

Probability of profit (%)

Model-estimated probability the stock closes above the breakeven. Debit spreads trade probability for payout, so floors of 25% to 50% are typical; the preset uses 25%.

Distance to breakeven (%)

Distance from the stock to the breakeven in percent, regardless of direction. A maximum of 3% to 5% keeps the list to spreads the stock can reach with a modest move.

Breakeven distance (ATRs) (x)

The same distance in daily ATRs, with no scaling for time. For a buyer, a low number is the goal: under 1.5 ATRs means a couple of ordinary up days reach the breakeven.

Return at +1 ATR move (%)

Return at expiration if the stock rises one expected move, the daily ATR times the square root of days to expiration. A floor of 50% or 100% finds spreads that pay well on a normal rally, not only on a large one.

Return at -1 ATR move (%)

Return if the stock falls one expected move. For most bull call spreads this is -100%; spreads with an in-the-money long call and a low breakeven may lose less.

Delta (anchor leg)

Absolute delta of the long call. Around 0.50 is at the money; 0.60 to 0.70 buys an in-the-money call for a higher probability and a lower return on risk.

Max loss ($)

The debit per spread. A $300 or $500 cap sizes every result to a fixed amount at risk, which is the natural way to size directional trades.

Expected value ($)

Probability-weighted profit and loss under the pricing model. It hovers near zero for fairly priced options, so treat it as a ranking tool; the preset sorts by it.

Beta (x)

How much the stock moves relative to the market. The preset requires 1.5 or more, so the spread is placed on names that tend to outrun a rising market.

% from 50-day SMA (%)

Percent above or below the 50-day moving average. A minimum of 0 keeps the scan to stocks in a short-term uptrend, which suits a bullish debit trade.

Days to expiration (days)

Days to expiration. The preset uses 7 to 56 days. Shorter windows are cheaper but need the move quickly; longer ones cost more and give the thesis time.

Earnings

Include or exclude earnings before expiration. Some traders buy debit spreads into a report to cap the cost of a directional bet; others exclude reports to avoid the volatility drop afterward.

Total option volume

Total option volume across the chain. You pay the spread on two legs going in and two coming out, so liquidity matters for a debit trade as much as for a credit one.

Bid-ask spread ($) ($)

Maximum bid-ask spread on the wider leg in dollars. On a $3.00 debit, paying $0.20 extra on each leg is a meaningful part of the cost.

Screening walkthrough

1. 1. Start from the high-beta preset or your own universe

   Bull Call Spreads on High-Beta Names screens stocks with beta of 1.5 or more for spreads returning 100% or more on the debit, with at least 25% modeled odds of profit and 7 to 56 days to expiration, sorted by expected value. If you already have a stock in mind, add it to your watchlist and set the universe to watchlist instead; the filters below then choose the strikes and expiration.

2. 2. Set the breakeven you believe the stock can reach

   This is the filter that matters most for a buyer. Cap breakeven distance at 3% to 5%, or at 1 to 2 daily ATRs, so the stock only has to make an ordinary move for the trade to break even. Tighter caps push the long call in the money and raise the debit.

3. 3. Balance payout against probability

   Return on risk and probability of profit move in opposite directions. A 100% return floor with a 35% probability floor is a reasonable middle. Raising the return floor to 200% or more mostly selects out-of-the-money long calls with lower odds.

4. 4. Test the spread on a normal rally

   Add return at a +1 ATR move. If a spread earns its full max profit on one expected move, the short strike is within reach; if it earns little, the stock needs an unusually large rally. This is a more concrete check than probability alone.

5. 5. Cap the debit and check the fill

   Set max loss to the most you want at risk per spread, then compare mid and conservative pricing. Conservative pricing buys the long call at the ask and sells the short call at the bid, which raises the debit and lowers every return figure.

Limitations and risks

• The payout is capped at the width. If the stock rallies far past the short strike, a long call alone would have made more.
• Before expiration, a spread that is in the money is usually worth noticeably less than the width because the short call still has time value. The max profit figure is the value at expiration.
• The short call can be assigned early, most often the day before an ex-dividend date when it is in the money. The long call covers it, but you need to act.
• Probability of profit and expected value are model estimates from option prices, not forecasts. They do not know about beta, trends, or catalysts.
• Quotes are refreshed intraday and are a snapshot, not a live feed. Conservative pricing is the more realistic figure for a two-leg order.
• This is a screening tool. It does not place orders or manage exits.

Frequently asked questions

Is this a debit spread screener?

Yes, for bullish debit spreads. A bull call spread is a call debit spread: buy the lower strike, sell the higher. For the bearish side, the bear put spread screener finds put debit spreads with the same filters.

How is return on risk calculated for a bull call spread?

Max profit divided by max loss: (strike width minus debit) divided by the debit. A $3.00 debit on a $10 wide spread is $700 / $300 = 233%.

Why sort debit spreads by expected value instead of return?

Sorting by return alone favors cheap, far out-of-the-money spreads that rarely pay. Expected value weights each outcome by its modeled probability, so it balances payout against odds. It is still a model estimate and a ranking tool, not a promise of profit.

Which strike should the long call be?

At the money (around 0.50 delta) is the common default. An in-the-money long call raises the probability and the debit; an out-of-the-money one lowers both. The delta filter on this strategy applies to the long call, so you can screen for either.

Does annualized return mean anything for a bull call spread?

It is available, since the max loss is defined, but it is less useful than for income trades. A debit spread is a directional bet that either reaches its target or does not; return on risk, probability, and breakeven distance describe it better.

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