Screening for Puts
With implied volatilities having contracted by as much as 50% since March, and with stocks still up sharply from their lows, now may be the time to add more puts to your portfolio. This week, we screen for likely rank 1 puts to buy, looking for those that are based on rank 5 or 4 stocks (which also have a technical rank of 5 or 4) and which are underpriced according to our model. Our screening has come up with puts on Comtech Telecom (CMTL), DG FastChannel (DGIT), and US Bancorp (USB) among others.
A Look at Our Screening
In Figure 1 below, we show an example of the screen criteria we have used to find likely puts to buy. These are similar to the criteria that were used for our put selection in our June 8, 2009 report, “Suggested Screen Criteria and Display Settings for Three Basic Option Strategies (Ot090808),” which you will find in our Reports Archive.
In our search, we have set up the Display Options to sort the data in Buyer’s Rank Order and to show only one put (i.e. the one with the best score) per underlying stock. See Figure 2 below. The Results Table for this screen is shown in Figure 3 and the Option Profiles for Comtech (CMTL), DG FastChannel (DGIT), and US Bancorp (USB) are shown in Figure 4.