Leverage the value thesis
Long-dated calls on a company that is already cheap.
The fundamental gate before any option is priced: far enough below a conservative fair value that a long call has room to work, profitable, unlevered and liquid enough to still be here at expiry. Only names that clear this gate have their chains pulled and their contracts scored.
Educational research tooling, not investment advice. A screen is a filter over public data, not a recommendation.
What the LEAP (Value) screen tests
The fundamental gate before any option is priced: far enough below fair value that a long-dated call has room, and healthy enough to still be here at expiry.
The rules, one by one
Every rule below is applied on every scan and reported with the value it was tested against, pass or fail. Each threshold is yours to change.
- Fair-Value Upside
- Estimated fair value over spot, minus one. Fair value is trailing net income x the no-growth P/E (or book x the book multiple for loss-makers) — a valuation anchor, not a forecast.
- Profitable
- Positive trailing net income. A long call expires; an unprofitable turnaround may not arrive before it does.
- Debt / Equity
- Total debt over shareholders' equity. Lenders rank ahead of you, so leverage can consume the discount before it closes. Companies with negative equity are excluded rather than scored as unlevered.
- Current Ratio
- Current assets over current liabilities. The asset discount is only real if the company can pay next year's bills without a forced sale.
- Dilution
- Change in share count year over year. Positive means new shares are transferring your claim to someone else; negative means buybacks. Based on annual filings, so it lags.
Who this screen is for
- Investors who already run a deep-value process and want defined-risk leverage on a specific thesis.
- Anyone who wants delta, implied volatility and effective leverage computed per contract rather than eyeballed.
- Investors who cannot afford to lose the premium in full — a long call that expires out of the money returns nothing.
- Anyone trading short-dated options; this screen is built for expiries far enough out for a re-rating to happen.
LEAP (Value) FAQ
How is fair value estimated?
Trailing net income times the no-growth P/E, or book value times the book multiple for loss-makers. It is a valuation anchor, not a forecast, and both multiples are tunable.
Where do the greeks come from?
No quote source ships them, so implied volatility is inverted from the mid price and delta is computed from it. Effective leverage, extrinsic value, breakeven CAGR and implied-versus-realised volatility follow, and each contract scores out of 20.
Why require profitability here but not on the other screens?
A long call expires. A turnaround that arrives eventually still loses the whole premium if it arrives after expiry.
Other screens
NCAV
Net current asset value is current assets minus every liability. When it exceeds the market cap, the market is handing you the working capital and charging nothing for the business attached to it. The liquidity and leverage rules exist so that discount survives long enough to close.
Negative EV
Enterprise value is market cap plus debt minus cash. Below zero, the cash net of debt exceeds what the shares cost — you are paid to take the operating company. The price/sales and liquidity rules are there to make sure there is a business attached and that the cash is genuinely available.
Acquirer's Multiple
EV/EBITDA is what an acquirer of the entire business pays for its operating earnings. It is used instead of P/E because it is indifferent to how the company is financed — debt and cash are already in the numerator. The screen adds conservative leverage and a share count that is not growing.
Five scans, no card.
Run LEAP (Value) over the universe you choose, open any company, and read the rules it passed and the ones it did not.
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