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No. of Recommendations: 4
Discrete vs. Continuous Data

Discrete data is counted,
Continuous data is measured

https://www.mathsisfun.com/data/data-discrete-continuous.htm...

One of the difficulties of comparing calls is the fact that important data, strike price and expiration date, are "discrete." As Richard Feynman said of photons, "they come in lumps!" The steps between values are often uneven. I'm using "dollars per day" as a key metric but in its raw form this metric is not comparable because it does not take into account the capital invested in buying the stock. I have smoothed this out somewhat by considering how many contracts one can sell, for example, if one is limiting the investment in any one stock to, say, \$10,000. One round lot of \$100 shares, two round lots of \$50 shares, three round lots of \$33 shares. This input is also discrete. One way to smooth this out is to calculate the premium and the maximum capital gains as a percentage of the share price. Then you are left with the problem of how to combine the various trades to get the best results with your available capital. I believe this last problem is solved with linear regression.

I've fixed the bug and partly improved the selection algorithm but the table I show below still has a discrete number anomaly. A week has seven days but the algorithm is using days instead of weeks. Since the option chains were downloaded on Sunday it is using five days to expiration, which is correct but from an investing point of view it should be using one week or seven days no matter on what day of the week I manage to sell calls with a Friday expiration.

Last weekend it was 73 option chains with 16448 calls in total which need to be whittled down to a handful of the best calls to sell. The table below is what an initial selection might look like with default settings, around 100 calls. The table is sorted by dollars per day of premium (col h)

The first row, three ENPH \$50 Jun 19 contracts would yield 3.7% in premium alone or 6.4% if called in ONE WEEK! It's not an exception, look at column l, disc, the LVGO call following would yield 4.5% in premium but would yield less, 4.3%, if called -- the loss is from the trade commissions. But remember that this is a very high volatility week, normally yields will be much lower.

Depending on what your goals are you would optimize for premium or for capital gains. The selector has lots of variables one can play with.

https://softwaretimes.com/pics/covered-call-selector.png

`  Expiration: 06/19/20   a     b     c     e      f       g       h       I       j     k    l        m       n      oticker close cont strike   b-a   ----Premium---   Capital-gains              -----Total----    Max                                         cash   p/day    cash   p/day days  disc     cash   p/day  yield ENPH   48.63   3   50.0   1.83   544.50  108.60  391.50   78.30   5   3.7%   936.00  187.20   6.4%LVGO   60.00   2   60.0   2.70   535.50  107.10  -19.50   -3.90   5   4.5%   516.00  103.20   4.3%DT     35.90   4   36.0   1.35   535.50  107.10   20.50    4.10   5   3.7%   556.00  111.20   3.9%NET    28.82   5   29.0   1.03   510.50  101.60   70.50   14.10   5   3.5%   581.00  116.20   4.0%PINS   20.87   7   21.0   0.73   506.50  100.60   71.50   14.30   5   3.4%   578.00  115.60   4.0%KBR    24.78   6   25.0   0.83   493.50   98.10  112.50   22.50   5   3.3%   606.00  121.20   4.1%WORK   30.86   4   31.0   1.20   475.50   95.10   36.50    7.30   5   3.9%   512.00  102.40   4.1%DOMO   31.07   4   32.0   1.15   455.50   91.10  352.50   70.50   5   3.7%   808.00  161.60   6.5%PLAN   44.83   3   45.0   1.53   454.50   90.60   31.50    6.30   5   3.4%   486.00   97.20   3.6%SFIX   23.44   6   24.0   0.73   433.50   86.10  316.50   63.30   5   3.1%   750.00  150.00   5.3%CSGS   44.52   3   45.0   1.43   424.50   84.60  124.50   24.90   5   3.2%   549.00  109.80   4.1%EVBG  128.57   1  130.0   4.08   403.50   80.60  123.51   24.70   5   3.1%   527.01  105.40   4.1%WORK   30.86   4   31.5   1.00   395.50   79.10  236.50   47.30   5   3.2%   632.00  126.40   5.1%ROKU  108.08   1  109.0   3.95   390.50   78.10   72.50   14.50   5   3.6%   463.00   92.60   4.3%PCTY  128.33   1  130.0   3.70   365.50   73.10  147.50   29.50   5   2.8%   513.0   102.60   4.0%PINS   20.87   7   21.5   0.53   366.50   72.60  421.50   84.30   5   2.5%   788.00  157.60   5.4%AYX   141.12   1  145.0   3.65   360.50   72.10  368.50   73.70   5   2.6%   729.00  145.80   5.2%DT     35.90   4   37.0   0.90   355.50   71.10  420.50   84.10   5   2.5%   776.00  155.20   5.4%CRWD   93.13   1   93.5   3.55   350.50   70.10   18.00    3.60   5   3.8%   368.50   73.70   4.0%WORK   30.86   4   32.0   0.88   347.50   69.10  436.50   87.30   5   2.8%   784.00  156.80   6.4%ROKU  108.08   1  110.0   3.50   345.50   69.10  172.50   34.50   5   3.2%   518.00  103.60   4.8%PLAN   44.83   3   46.0   1.13   334.50   66.60  331.50   66.30   5   2.5%   666.00  133.20   5.0%NET    28.82   5   30.0   0.68   335.50   66.60  570.50  114.10   5   2.3%   906.00  181.20   6.3%APPS    9.38  15   10.0   0.23   340.50   66.60  910.50  182.10   5   2.4%  1251.00  250.20   8.9%CRWD   93.13   1   94.0   3.35   330.50   66.10   68.00   13.60   5   3.5%   398.50   79.70   4.3%DOMO   31.07   4   33.0   0.80   315.50   63.10  752.50  150.50   5   2.5%  1068.00  213.60   8.6%ZS    102.41   1  103.0   3.18   313.50   62.60   39.50    7.90   5   3.1%   353.00   70.60   3.4%ROKU  108.08   1  111.0   3.15   310.50   62.10  272.50   54.50   5   2.9%   583.00  116.60   5.4%MTCH   87.23   1   88.5   3.05   300.50   60.10  107.50   21.50   5   3.4%   408.00   81.60   4.7%TER    71.73   2   72.5   1.50   295.50   59.10  134.50   26.90   5   2.1%   430.00   86.00   3.0%GLOB  141.26   1  145.0   2.98   293.50   58.60  354.50   70.90   5   2.1%   648.00  129.60   4.6%DOMO   31.07   4   34.0   0.73   287.50   57.10 1152.50  230.50   5   2.3%  1440.00  288.00  11.6%ROKU  108.08   1  113.0   2.87   282.50   56.40  472.50   94.50   5   2.6%   755.00  151.00   7.0%KBR    24.78   6   26.0   0.48   283.50   56.10  712.50  142.50   5   1.9%   996.00  199.20   6.7%WORK   30.86   4   32.5   0.70   275.50   55.10  636.50  127.30   5   2.2%   912.00  182.40   7.4%ZS    102.41   1  104.0   2.78   273.50   54.60  139.50   27.90   5   2.7%   413.00   82.60   4.0%ENPH   48.63   3   52.5   0.93   274.50   54.60 1141.50  228.30   5   1.9%  1416.00  283.20   9.7%CRWD   93.13   1   95.0   2.78   273.50   54.60  168.00   33.60   5   2.9%   441.50   88.30   4.7%ROKU  108.08   1  112.0   2.77   272.50   54.50  372.50   74.50   5   2.5%   645.00  129.00   6.0%SFIX   23.44   6   25.0   0.45   265.50   53.10  916.50  183.30   5   1.9%  1182.00  236.40   8.4%MANH   84.14   1   85.0   2.70   265.50   53.10   66.50   13.30   5   3.2%   332.00   66.40   3.9%AVLR  105.92   1  110.0   2.68   263.50   52.60  388.50   77.70   5   2.5%   652.00  130.40   6.2%OSIS   73.35   2   75.0   1.30   255.50   51.10  310.50   62.10   5   1.7%   566.00  113.20   3.9%SQ     86.71   1   87.0   2.50   245.50   49.10    9.50    1.90   5   2.8%   255.00   51.00   2.9%DT     35.90   4   38.0   0.63   247.50   49.10  820.50  164.10   5   1.7%  1068.00  213.60   7.4%PINS   20.87   7   22.0   0.35   240.50   48.10  771.50  154.30   5   1.6%  1012.00  202.40   6.9%DDOG   77.97   1   80.0   2.45   240.50   48.10  183.50   36.70   5   3.1%   424.00   84.80   5.4%APPN   52.16   2   55.0   1.23   241.50   48.10  548.50  109.70   5   2.3%   790.00  158.00   7.6%ROST   92.44   1   96.5   2.43   238.50   47.60  386.50   77.30   5   2.6%   625.00  125.00   6.8%ROST   92.44   1   93.0   2.43   238.50   47.60   36.50    7.30   5   2.6%   275.00   55.00   3.0%QLYS  103.20   1  115.0   2.43   238.50   47.60 1160.50  232.10   5   2.3%  1399.00  279.80  13.6%MTCH   87.23   1   87.5   2.43   238.50   47.60    7.50    1.50   5   2.7%   246.00   49.20   2.8%WORK   30.86   4   33.0   0.60   235.50   47.10  836.50  167.30   5   1.9%  1072.00  214.40   8.7%PRGS   38.46   3   40.0   0.80   235.50   47.10  442.50   88.50   5   2.0%   678.00  135.60   5.9%LVGO   60.00   2   65.0   1.20   235.50   47.10  980.50  196.10   5   2.0%  1216.00  243.20  10.1%CYBR   98.12   1  104.0   2.40   235.50   47.10  568.50  113.70   5   2.4%   804.00  160.80   8.2%IRTC  111.04   1  115.0   2.38   233.50   46.60  376.50   75.30   5   2.1%   610.00  122.00   5.5%CYBR   98.12   1   98.5   2.38   233.50   46.60   18.50    3.70   5   2.4%   252.00   50.40   2.6%SQ     86.71   1   87.5   2.37   232.50   46.40   59.50   11.90   5   2.7%   292.00   58.40   3.4%ROST   92.44   1   98.5   2.35   230.50   46.10  586.50  117.30   5   2.5%   817.00  163.40   8.8%NEWR   68.67   2   70.0   1.18   231.50   46.10  246.50   49.30   5   1.7%   478.00   95.60   3.5%ZS    102.41   1  105.0   2.33   228.50   45.60  239.50   47.90   5   2.2%   468.00   93.60   4.6%PLAN   44.83   3   47.0   0.78   229.50   45.60  631.50  126.30   5   1.7%   861.00  172.20   6.4%EVBG  128.57   1  135.0   2.33   228.50   45.60  623.51  124.70   5   1.8%   852.01  170.40   6.6%DT     35.90   4   39.0   0.58   227.50   45.10 1220.50  244.10   5   1.6%  1448.00  289.60  10.1%CRWD   93.13   1   96.5   2.30   225.50   45.10  318.00   63.60   5   2.4%   543.50  108.70   5.8%CRWD   93.13   1   96.0   2.25   220.50   44.10  268.00   53.60   5   2.4%   488.50   97.70   5.2%CRWD   93.13   1   97.5   2.18   213.50   42.60  418.00   83.60   5   2.3%   631.50  126.30   6.8%ROKU  108.08   1  114.0   2.16   211.50   42.30  572.50  114.50   5   2.0%   784.00  156.80   7.3%CRWD   93.13   1   97.0   2.15   210.50   42.10  368.00   73.60   5   2.3%   578.50  115.70   6.2%SQ     86.71   1   88.0   2.14   209.50   41.80  109.50   21.90   5   2.4%   319.00   63.80   3.7%ROST   92.44   1   93.5   2.10   205.50   41.10   86.50   17.30   5   2.2%   292.00   58.40   3.2%QLYS   103.2   1  105.0   2.10   205.50   41.10  160.50   32.10   5   2.0%   366.00   73.20   3.5%CYBR   98.12   1   99.0   2.10   205.50   41.10   68.50   13.70   5   2.1%   274.00   54.80   2.8%ZS    102.41   1  106.0   2.05   200.50   40.10  339.50   67.90   5   2.0%   540.00  108.00   5.3%MTCH   87.23   1   91.0   1.98   193.50   38.60  357.50   71.50   5   2.2%   551.00  110.20   6.3%ROKU  108.08   1  115.0   1.95   190.50   38.00  672.50  134.50   5   1.8%   863.00  172.60   8.0%ESTC   83.49   1   85.0   1.93   188.50   37.60  131.50   26.30   5   2.3%   320.00   64.00   3.8%WORK   30.86   4   33.5   0.48   187.50   37.10 1036.50  207.30   5   1.5%  1224.00  244.80   9.9%CYBR   98.12   1  100.0   1.90   185.50   37.10  168.50   33.70   5   1.9%   354.00   70.80   3.6%QCOM   85.24   1   86.0   1.89   184.50   36.80   56.50   11.30   5   2.2%   241.00   48.20   2.8%NET    28.82   5   31.0   0.38   185.50   36.60 1070.50  214.10   5   1.3%  1256.00  251.20   8.7%ZS    102.41   1  107.0   1.85   180.50   36.10  439.50   87.90   5   1.8%   620.00  124.00   6.1%ROST   92.44   1   99.5   1.85   180.50   36.10  686.50  137.30   5   2.0%   867.00  173.40   9.4%MTCH   87.23   1   88.0   1.85   180.50   36.10   57.50   11.50   5   2.1%   238.00   47.60   2.7%ROST   92.44   1   94.0   1.83   178.50   35.60  136.50   27.30   5   1.9%   315.00   63.00   3.4%CRWD   93.13   1   98.0   1.80   175.50   35.10  468.00   93.60   5   1.9%   643.50  128.70   6.9%AYX   141.12   1  150.0   1.80   175.50   35.10  868.50  173.70   5   1.2%  1044.00  208.80   7.4%AVLR  105.92   1  115.0   1.80   175.50   35.10  888.50  177.70   5   1.7%  1064.00  212.80  10.0%SQ     86.71   1   89.0   1.78   173.50   34.60  209.50   41.90   5   2.0%   383.00   76.60   4.4%UPLD   32.01   4   35.0   0.43   167.50   33.10 1176.50  235.30   5   1.3%  1344.00  268.80  10.5%ROST   92.44   1   98.0   1.70   165.50   33.10  536.50  107.30   5   1.8%   702.00  140.40   7.6%ROKU  108.08   1  116.0   1.69   164.50   32.90  772.50  154.50   5   1.5%   937.00  187.40   8.7%VRNT   43.74   3   45.0   0.55   160.50   32.10  358.50   71.70   5   1.2%   519.00  103.80   4.0%MTCH   87.23   1   92.0   1.65   160.50   32.10  457.50   91.50   5   1.8%   618.00  123.60   7.1%CYBR   98.12   1   99.5   1.65   160.50   32.10  118.50   23.70   5   1.6%   279.00   55.80   2.8%ROST   92.44   1   94.5   1.63   158.50   31.60  186.50   37.30   5   1.7%   345.00   69.00   3.7%WORK   30.86   4   34.0   0.40   155.50   31.10 1236.50  247.30   5   1.3%  1392.00   78.40  11.3%MTCH   87.23   1   89.5   1.60   155.50   31.10  207.50   41.50   5   1.8%   363.00   72.60   4.2%ZS    102.41   1  108.0   1.58   153.50   30.60  539.50  107.90   5   1.5%   693.00  138.60   6.8%PLAN   44.83   3   48.0   0.53   154.50   30.60  931.50  186.30   5   1.1%  1086.00  217.20   8.1%PINS   20.87   7   22.5   0.23   156.50   30.60 1121.50  224.30   5   1.0%  1278.00  255.60   8.7%PCTY  128.33   1  140.0   1.58   153.50   30.60 1147.50  229.50   5   1.2%  1301.00  260.20  10.1%ENPH   48.63   3   55.0   0.53   154.50   30.60 1891.50  378.30   5   1.0%  2046.00  409.20  14.0%CYBR   98.12   1  101.0   1.58   153.50   30.60  268.50   53.70   5   1.6%   422.00   84.40   4.3%CRWD   93.13   1   99.0   1.55   150.50   30.10  568.00  113.60   5   1.6%   718.50  143.70   7.7%SFIX   23.44   6   26.0   0.25   145.50   29.10 1516.50  303.30   5   1.0%  1662.00  332.40  11.8%ROKU  108.08   1  117.0   1.50   145.50   29.10  872.50  174.50   5   1.3%  1018.00  203.60   9.4%PCTY  128.33   1  135.0   1.50   145.50   29.10  647.50  129.50   5   1.1%   793.00  158.60   6.2%DOMO   31.07   4   35.0   0.38   147.50   29.10 1552.50  310.50   5   1.2%  1700.00  340.00   0.7%GLOB  141.26   1  150.0   1.48   143.50   28.60  854.50  170.90   5   1.0%   998.00  199.60   7.1%ZEN    80.14   1   82.5   1.43   138.50   27.60  216.50   43.30   5   1.7%   355.00   71.00   4.4%SQ     86.71   1   90.0   1.42   137.50   27.40  309.50   61.90   5   1.6%   447.00   89.40   5.2%WORK   30.86   4   34.5   0.35   135.50   27.10 1436.50  287.30   5   1.1%  1572.00  314.40  12.7%ZS    102.41   1  109.0   1.35   130.50   26.10  639.50  127.90   5   1.3%   770.00  154.00   7.5%ROST   92.44   1   95.0   1.35   130.50   26.10  236.50   47.30   5   1.4%   367.00   73.40   4.0%QCOM   85.24   1   87.0   1.35   130.50   26.10  156.50   31.30   5   1.5%   287.00   57.40   3.4%EVER   55.50   2   60.0   0.68   131.50   26.10  880.50  176.10   5   1.2%  1012.00  202.40   9.1%MTCH   87.23   1   89.0   1.30   125.50   25.10  157.50   31.50   5   1.4%   283.00   56.60   3.2%CYBR   98.12   1  102.0   1.28   123.50   24.60  368.50   73.70   5   1.3%   492.00   98.40   5.0%ROKU  108.08   1  118.0   1.26   121.50   24.30  972.50  194.50   5   1.1%  1094.00  218.80  10.1%ROST   92.44   1   95.5   1.20   115.50   23.10  286.50   57.30   5   1.2%   402.00   80.40   4.3%QCOM   85.24   1   87.5   1.20   115.50   23.10  206.50   41.30   5   1.4%   322.00   64.40   3.8%CRWD   93.13   1  100.0   1.20   115.50   23.10  668.00  133.60   5   1.2%   783.50  156.70   8.4%ROKU  108.08   1  119.0   1.19   114.50   22.80 1072.50  214.50   5   1.1%  1187.00  237.40  11.0%CRWD   93.13   1  101.0   1.18   113.50   22.60  768.00  153.60   5   1.2%   881.50  176.30   9.5%ZS    102.41   1  110.0   1.15   110.50   22.10  739.50  147.90   5   1.1%   850.00  170.00   8.3%ROST   92.44   1   99.0   1.15   110.50   22.10  636.50  127.30   5   1.2%   747.00  149.40   8.1%SQ     86.71   1   91.0   1.15   110.50   22.00  409.50   81.90   5   1.3%   520.00  104.00   6.0%MTCH   87.23   1   90.0   1.13   108.50   21.60  257.50   51.50   5   1.2%   366.00   73.20   4.2%CYBR   98.12   1  107.0   1.13   108.50   21.60  868.50  173.70   5   1.1%   977.00  195.40  10.0%SQ     86.71   1   91.5   1.12   107.50   21.50  459.50   91.90   5   1.2%   567.00  113.40   6.5%`

A work still in progress!

Denny Schlesinger