Credit and debit spreads report
Finds the best two-leg vertical spread per symbol and expiration around the busiest strike, with net premium, max profit, max loss and both legs.
Overview
The Credit / debit spreads report builds vertical spreads - selling one option and buying another of the same type and expiration - around the strike with the most open interest (or volume). For each symbol and expiration it keeps the best pair: the largest credit for credit spreads, the cheapest debit for debit spreads.
The data delay depends on your plan and is shown on every view: the as-of time and the delayed label sit above the results. On the Free plan reports show the previous session.
How the report is built
- Expirations: from the first expiry on or after the session up to # Of Option Series x 7 days later.
- Anchor per expiry: the strike with the highest open interest (Highest Open Interest) or volume (Highest Volume).
- Candidate strikes: inside anchor x (1 ± Price Range % / 100). Pairs are Leg Spread Width strikes apart.
- Credit = sell premium - buy premium; debit = buy premium - sell premium; only positive values are spreads.
- Credit: max profit = credit x 100, max loss = (width - credit) x 100. Debit: max profit = (width - debit) x 100, max loss = debit x 100.
- Rows are sorted credit highest first, debit lowest first. Symbols with no anchor are listed under "Stock not in report".
Before you start
Any signed-in plan can open the report from Research → Reports. Your plan decides how fresh the data is and how much history you can read. CSV export needs a plan that includes it.
Steps
- Open Research → Reports, choose Strategies and open Credit / debit spreads.
- Pick a symbol (or all), choose the Call Type (spread type) and the Report Type (anchor).
- Set # Of Option Series, Price Range % and Leg Spread Width, and optionally the Implied Volatility Difference and Credit / Premium Difference thresholds.
- Press Run. Use Export CSV to download the rows (plans with CSV export).
Report inputs
| Input | What it does |
|---|---|
| Call Type | Bear Call Credit Spread, Bull Put Credit Spread, Bear Put Debit Spread or Bull Call Debit Spread. |
| Report Type | Highest Open Interest or Highest Volume: how the anchor strike is chosen. |
| # Of Option Series | 1-5. How many weeks of expirations to include. |
| Price Range % | Default 10. How far from the anchor the legs may be. |
| Leg Spread Width | 1-5. How many listed strikes apart the two legs are. |
| Implied Volatility Difference | Optional minimum (IV points) for sold IV - bought IV. |
| Credit / Premium Difference | Optional minimum net premium, USD per share. |
Columns and metrics
| Column | What it means |
|---|---|
| Symbol / Price | The underlying and its price. |
| Option Expiry | The expiration of both legs. |
| Series Type | The spread type. |
| IV Difference % | Sold leg IV - bought leg IV, in points. |
| Net Premium | Credit received or debit paid, per share. |
| Max Profit / Max Loss | Per contract (x 100), at expiry. |
| SELL and BUY leg groups | For each leg: Strike, % Diff (distance from the stock price), Premium, Volume, OI, IV, Break Even, the Greeks and Moneyness. |
Percentages are stored as fractions and displayed as percentages (0.05 is shown as 5 %). An unknown value shows as "-", never as 0.
How to read it
- For credit spreads, compare the credit with the max loss: a $1.20 credit on a $5 wide spread risks $380 to make $120.
- For debit spreads, the lower the debit relative to the width, the larger the potential payoff - and usually the further the strikes are from the price.
- Legs with little volume or open interest have less reliable marks.
Example
Illustrative only - the symbol and numbers are invented.
Bear Call Credit Spread on XYZ at $100: sell the 105 call at 2.00, buy the 110 call at 0.80. Net Premium 1.20, Max Profit $120, Max Loss (5.00 - 1.20) x 100 = $380, break-even 105 + 1.20 = 106.20.
Using it in your research
- Compare the risk/reward of the same spread type across symbols or expirations.
- Check the spread's history in Spreads chart.
- Model the position in the strategy builder before drawing conclusions.
Treat every row as a starting point for your own research, not as a signal. Volume and open interest never say whether a trade was a buy or a sell.
Troubleshooting
A symbol is listed under "Stock not in report"
No expiration of that symbol had quotes to anchor a spread inside your ranges. Widen Price Range % or the series.
The report shows "No Records Found"
The filters may be too narrow for the session, or the session has only just opened. Widen a threshold, clear the symbol, or check the as-of time to see which session you are reading. On the Free plan you read the previous session.