Optionslam question

[RapperT]

Hopefully this makes sense, I think the help topic on OS confirms what I'm asking but I'm not sure.

 

On the implied move monthly earnings page, is the price for the current cycle the monthly expiry straddle price today?  If so, do the historical straddle prices reflect straddles at the same days to expiration?

 

i.e, tomorrow if I search PEP will all the prices change to reflect straddle prices one day closer to earnings (on the imp move monthly page)?:  IM pretty sure this is the case but just wanted to confirm with someone

 

 

 

 

To assess the price move expected by the market, here we use the ATM straddle/strangle pricing model.

We track ATM straddle cost for both monthly options and weekly options before and after earnings.

On this page we focus on ATM straddle cost of monthly options for stocks with upcoming earnings event.

Presuming the rules of supply and demand provide for an efficient marketplace, we ascertain the expected price move will be approximately equal to the cost of the current straddle.

Each day until the earnings date we apply our formula to determine the implied price move in advance.

We don't know which way price is going to move after earnings but with this information we have a market based calculation of how far it is expected to move in one direction or the other.

The IM (implied move) is a crucial piece of the puzzle when developing trade strategy and positioning.

 

Edited June 14, 2017 by RapperT

[RapperT]

@Kim or @SBatch can one of you advise if I am reading this correctly?

[SBatch]

1 hour ago, RapperT said:

@Kim or @SBatch can one of you advise if I am reading this correctly?

Quote

 If so, do the historical straddle prices reflect straddles at the same days to expiration?

No, in this case the straddle price is indicative of the closing price of the session prior to the earnings announcement (it is not a moving calculation).

 

3 hours ago, RapperT said:

On the implied move monthly earnings page, is the price for the current cycle the monthly expiry straddle price today? 

Yes, that is their assertion.  However, my experience is that OptionSlam is not great with real time data.  I've never followed this particular page on a daily basis so it will be interesting to see.  In the PEP example they are using a price ($117.80) that is not a recent OHLC price to derive the straddle price so I have no idea why they use it for their calculation.

[RapperT]

@SBatch thanks for your help and response.   Is there a different source you recommend for this kind of data?

Edited June 14, 2017 by RapperT

[SBatch]

14 hours ago, RapperT said:

@SBatch thanks for your help and response.   Is there a different source you recommend for this kind of data?

The RV charts that @Djtux posts show the historical price of the Straddle in a trade day to earnings fashion.  I know they are limited to the underlying that we discuss here but I believe he may be working on software that will allow a subscriber to obtain this data for any underlying on their own.  He can speak better to that.

[RapperT]

great thanks.

 

@Djtux if using python and willing to share, let me know.

[Djtux]

For the RV charts that i'm building, i now select the expiry date just after the earnings date.

I don't know Optionslam that much so i can't comment on what they are doing. I know some other people on the forum are using https://marketchameleon.com/Overview/PEP/Earnings/ as well.

For the tool i'm building, it's useless in my opinion to share any code because you need the data etc, and it's work to maintain that.

To give a sneek peak at what i'm building, check out (the url might be changed in the future) : http://www.volatilityhq.com/backtester/straddle/PEP and http://www.volatilityhq.com/backtester/calendar/PEP

It will be a paid service to help pay for the data, server cost and development cost, but i believe it will provide value.

 

Edited June 15, 2017 by Djtux

[Djtux]

1 hour ago, SBatch said:

The RV charts that @Djtux posts show the historical price of the Straddle in a trade day to earnings fashion.  I know they are limited to the underlying that we discuss here but I believe he may be working on software that will allow a subscriber to obtain this data for any underlying on their own.  He can speak better to that.

For the ticker universe, it will be any ticker on OPRA with daily option volume > 100. I see no point in storing data on ticker that are not liquid.