Long strangle screener

Supported filters

IV rank

Where implied volatility sits in its one-year range. A strangle is long volatility, so a rank of 20 or lower means you are buying both options near the cheap end of the year.

Distance to breakeven (%)

Distance from the stock to the nearer breakeven, in percent. The preset caps it at 10%, so at least one side needs no more than a 10% move by expiration to break even.

Breakeven distance (ATRs) (x)

The same nearer-breakeven distance divided by the stock's daily average true range, with no scaling for time. It shows whether a 10% cushion is a lot or a little for this particular stock.

Loss range (ATRs) (x)

The full span between the two breakevens in daily ATRs. Smaller is cheaper relative to how the stock moves; compare it with the square root of days to expiration to judge whether a normal trend could carry the stock out of the zone.

Max loss ($)

The debit for the pair, per strangle. The preset caps it at $500, which keeps each result small enough to lose in full, the usual outcome for a strangle held to expiration in a quiet market.

Probability of profit (%)

Model-estimated probability the stock finishes outside the breakevens. The preset requires 30% or more, which removes strangles whose breakevens are far out of reach.

Return at +1 ATR move (%)

Return on the debit if the stock rises one expected move, daily ATR times the square root of days to expiration. Positive means an ordinary up move already pays at expiration.

Return at -2 ATR move (%)

Return on a two-expected-move decline. Useful when the move you expect is a break lower from a tight range; the matching up filters work the same way for a breakout higher.

Days to expiration (days)

Days to expiration. The 20 to 40 day window gives a range time to break without paying for months of time value; very short strangles need the move almost at once.

Earnings

Exclude earnings before expiration for a pure volatility-expansion bet, as the preset does, or require one within N days if the report is the catalyst you are buying.

Bollinger position

Where the price sits inside its Bollinger Bands. Combine it with a low IV rank to look for stocks pinned in a narrow range, the setup strangle buyers look for before an expansion.

Total option volume

Total option volume across the chain. Out-of-the-money options on quiet chains can have wide markets, and a strangle crosses two of them.

Bid-ask spread ($) ($)

The wider of the two legs' bid-ask spreads, in dollars. On a strangle that costs a few dollars, a $0.50 spread on each leg is a large share of the debit.

Screening walkthrough

1. 1. Buy volatility where it is cheap

   Set IV rank to a maximum of 20. That keeps the list to stocks whose options are priced near the low end of their one-year range, where a strangle costs less for the same strikes. A low rank is not a signal that a move is coming; it only means you are not overpaying for one.

2. 2. Keep the breakevens within reach

   Cap distance to breakeven at 10% and require probability of profit of 30% or more, as the preset does. Then add breakeven distance in ATRs as a column: a 10% breakeven on a stock with a 1% daily range is ten typical days away, while on a stock with a 4% daily range it is under three.

3. 3. Check what a normal move returns

   Add the return at plus and minus one ATR move columns, and the two-ATR versions if you are buying a breakout. A strangle that loses money on a one-expected-move trend in either direction needs something unusual to pay; one that is positive at one expected move has a realistic path to profit.

4. 4. Size it and clear the calendar

   Cap max loss at an amount you would accept losing in full, such as $500, set days to expiration to 20 to 40, and exclude earnings unless the report is your catalyst. Finish with total option volume of 5,000 or more and a bid-ask spread of $0.50 or less, then sort by probability of profit.

Limitations and risks

• Every metric is calculated at expiration. A strangle closed early is worth more or less than the expiration math suggests depending on implied volatility and time left.
• Time decay works against you every day the stock stays between the strikes. A low IV rank reduces the price you pay but does not make a move more likely.
• Probability of profit is a model estimate derived from option prices using a lognormal model with the stock's at-the-money implied volatility. It is not a forecast of a breakout.
• Delta and distance OTM filters describe the anchor leg, which for a long strangle is the call. Check the put strike separately in the results.
• Quotes are refreshed intraday and are a snapshot, not a live feed. Conservative pricing buys both legs at the ask and is the more realistic cost. The screener does not place orders or send alerts.

Frequently asked questions

What strikes does the long strangle screener use?

An out-of-the-money put below the stock and an out-of-the-money call above it in the same expiration, drawn from the strikes most strangle traders use, roughly 0.12 to 0.35 delta on each side. Each nearby put is paired with each nearby call and scored separately.

Why screen for low IV rank?

A strangle's cost is mostly implied volatility. Buying when IV rank is low means paying less than usual for the same strikes, and leaves room for volatility to rise, which helps the position before expiration.

Long strangle or long straddle?

The strangle costs less and has a wider loss zone, so it needs a bigger move. The straddle costs more and starts to pay sooner. The straddle screener covers the at-the-money version, with an earnings-focused preset.

Can the screener tell me when a stock is about to break out?

No. It can find stocks where volatility is priced low and the price is in a tight range, using IV rank and technical filters such as Bollinger position, but those are conditions, not predictions.

Which preset should I start with?

Long Strangles on Compressed Volatility: IV rank of 20 or less, nearer breakeven within 10%, probability of profit of 30% or more, a $500 max loss cap, 20 to 40 days to expiration, no earnings in the window, and liquid chains.

Read the strategy guides