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Djtux

RV charts : Volatilityhq.com Official Thread

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41 minutes ago, Hielke said:

Do you know when de exchange changes from $1 strikes to $2,5 to $5 ? I mean is there a default policy ?

I don't have that information, or if there are any consistent rule.

I only know of that website :

https://www.theocc.com/clearing/clearing-services/specifications-equity-options.jsp

Quote

 

Strike Price Intervals

In general, $2.50 increments for strikes below $25, $5 increments for those trading from $25 through $200, and $10 increments for strikes above $200. However, different exchange programs allow for strike-interval listing beyond the standard method.

 

 

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51 minutes ago, Hielke said:

Do you know when de exchange changes from $1 strikes to $2,5 to $5 ? I mean is there a default policy ?

@Kim can answer this better. I think the guide is 5$ strikes over 250$ and 2.50 strikes over 100$ - however people like Kim can ask for series and strikes to be added. Si there is no hard and fast guide for this. 

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1 minute ago, TrustyJules said:

@Kim can answer this better. I think the guide is 5$ strikes over 250$ and 2.50 strikes over 100$ - however people like Kim can ask for series and strikes to be added. Si there is no hard and fast guide for this. 

They have some weird rules - weekly options for example can have more strikes. And actually, everyone can ask for more strikes to be added - just contact marketservices@cboe.com 

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Sorry if this was asked before.  I tried to read through most of this thread :)

How exactly is the blue dotted RV% line calculated?   

  1. Does it assume a 3:1 straddle/strangle ratio? 
  2. Does it looks for the strangle strikes that are closest to 6% credit of the straddle or how does it choose the strangle width?
  3. In the example below, is the 11 credit the total combined dollar credit received for selling the Feb 14 and Feb 21 strangles or is this a percentage credit? 

Thanks!

 

image.thumb.png.a918e053bf123c369ab5e1433567b677.png

 

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5 minutes ago, FrankTheTank said:

Sorry if this was asked before.  I tried to read through most of this thread :)

How exactly is the blue dotted RV% line calculated?   

  1. Does it assume a 3:1 straddle/strangle ratio? 
  2. Does it looks for the strangle strikes that are closest to 6% credit of the straddle or how does it choose the strangle width?
  3. In the example below, is the 11 credit the total combined dollar credit received for selling the Feb 14 and Feb 21 strangles or is this a percentage credit? 

Thanks!

 

image.thumb.png.a918e053bf123c369ab5e1433567b677.png

 

It's discussed around here : https://steadyoptions.com/forums/forum/topic/3885-rv-charts-volatilityhqcom-official-thread/?do=findComment&comment=82387

1. No we don't assume any ratio, we just assume that each strangle cycle brings 5.5% of the straddle in credit.

2. No, i don't use the strangle option prices to calculate that credit, it's just a % of the straddle price. It's basically a rule of thumb.

3. 11% = 2*5.5% because there are 2 cycles of strangle selling. It's the percentage of credit you would receive. Again just a rule of thumb to help quickly visualize the adjusted RV of the hedged straddle.

 

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@Djtux

Something is off with AZO

image.png

The actual value is 0.46% and so quite in line with the previous iterations.

It brings me to another point - you cannot filter out the current iteration from the chart, this is quite annoying when you are looking at a chart for a stock that has its earnings far into the future.

Random example: APPL:

image.png

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3 hours ago, TrustyJules said:

@Djtux

Something is off with AZO

image.png

The actual value is 0.46% and so quite in line with the previous iterations.

It brings me to another point - you cannot filter out the current iteration from the chart, this is quite annoying when you are looking at a chart for a stock that has its earnings far into the future.

Random example: APPL:

image.png

Maybe for AZO the market implies the earning date is the following week and you need to change the ‘offset’ of the earning date by 5 days? It seems to give more reasonable rv.
 

I could add an automatic removal of the current cycle if there is no average rv at the current T-X could help filter that.

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@Djtux,

Is it possible to add in the current value of "T-x" days on the Return Matrix page?

To explain, for the calendars, you show where we are on the T-x scale with the use of this pink vertical like :

image.png

 

On the Return Matrix is it possible to show the same information, in whatever way is most convenient for you (some suggestions are) :

1) Either in the blank circled space below in the form of a text like "Currently at T-16" etc

2) By highlighting the scale on the LHS, or drawing a horizontal pink line

3) By showing the numbers in the matrix in bold for that particular day

 

I think the easiest from a technical POV would be 1. Whatever suits you best.

image.png 

 

Many thanks.

 

image.png

Edited by zxcv64

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3 hours ago, Djtux said:

Maybe for AZO the market implies the earning date is the following week and you need to change the ‘offset’ of the earning date by 5 days? It seems to give more reasonable rv.
 

I could add an automatic removal of the current cycle if there is no average rv at the current T-X could help filter that.

Pls don’t remove it automatically, if you wanna see it without you can just zoom in on the part you want to see. For me it’s a must see where current spreads is trading even if in prior circles the same duration was not possible. 

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2 hours ago, zxcv64 said:

@Djtux,

Is it possible to add in the current value of "T-x" days on the Return Matrix page?

To explain, for the calendars, you show where we are on the T-x scale with the use of this pink vertical like :

image.png

 

On the Return Matrix is it possible to show the same information, in whatever way is most convenient for you (some suggestions are) :

1) Either in the blank circled space below in the form of a text like "Currently at T-16" etc

2) By highlighting the scale on the LHS, or drawing a horizontal pink line

3) By showing the numbers in the matrix in bold for that particular day

 

I think the easiest from a technical POV would be 1. Whatever suits you best.

image.png 

 

Many thanks.

 

image.png

It’s actually in the title of the screenshot. On the right of 20-02-08 there is the T-12.

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1 hour ago, project said:

Pls don’t remove it automatically, if you wanna see it without you can just zoom in on the part you want to see. For me it’s a must see where current spreads is trading even if in prior circles the same duration was not possible. 

I was thinking to implement that with a ´flag’ in the ‘advanced settings’. So each person can set it as needed.

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@Djtux, in the Call Ratio Calculator, is it possible to filter on the Enter and Exit columns? (The Search function doesn't seem to work). The reason being that let's say I want to enter a ratio trade on T-10 and exit on T-3, then I don't want to scroll through hundreds of other combos first to get to this.   

 

Also, what does the 'Increase' column represent? 

 

Cheers

image.png

Edited by zxcv64

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2 hours ago, zxcv64 said:

@Djtux, in the Call Ratio Calculator, is it possible to filter on the Enter and Exit columns? (The Search function doesn't seem to work). The reason being that let's say I want to enter a ratio trade on T-10 and exit on T-3, then I don't want to scroll through hundreds of other combos first to get to this.   

 

Also, what does the 'Increase' column represent? 

 

Cheers

image.png

Yes i could add that suggestion to the todo list. There are a lot of work to do on the call ratio calculator.

The ‘increase’ column correspond to the spreadsheet found here https://steadyoptions.com/forums/forum/topic/5168-the-rational-trader/

You can see it in the picture row 8 to 11 : https://steadyoptions.com/uploads/monthly_2019_01/image.png.4b00340f24f435d4f653e2d946c40d76.png

 

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One question and one feature suggestion/request for @Djtux:

1) Can someone explain to me how to interpret the two red and green dotted lines on the straddle RV chart? I assume the text next to these lines is indicating the average and max 1-day move of the stock after the earnings announcement for the last ___ cycles (correct me if I'm wrong about that). But I don't understand exactly what the placement of the dotted line signifies. Perhaps it is very obvious and I'm just stupid. Also, apologies if this has been answered elsewhere. 

2) Would it be possible to add the company name somewhere to the charts and tables? Most of the symbols are familiar and well-known, but every now and then I encounter one that I'm not familiar with. It would be nice to be able to see the name right there on the chart as a reminder. 

 

DEChart.png

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56 minutes ago, DubMcDub said:

One question and one feature suggestion/request for @Djtux:

1) Can someone explain to me how to interpret the two red and green dotted lines on the straddle RV chart? I assume the text next to these lines is indicating the average and max 1-day move of the stock after the earnings announcement for the last ___ cycles (correct me if I'm wrong about that). But I don't understand exactly what the placement of the dotted line signifies. Perhaps it is very obvious and I'm just stupid. Also, apologies if this has been answered elsewhere. 

2) Would it be possible to add the company name somewhere to the charts and tables? Most of the symbols are familiar and well-known, but every now and then I encounter one that I'm not familiar with. It would be nice to be able to see the name right there on the chart as a reminder. 

 

DEChart.png

1/ "I assume the text next to these lines is indicating the average and max 1-day move of the stock after the earnings announcement for the last ___ cycles". Correct.

The red line is the max move. The green is the average move.

It's a little bit like the idea from this page https://www.volatilityhq.com/backtester/straddle_table/?symbol=LULU&submit=Run+backtest

Sometimes it can help the interpretation of the RV chart.

image.png

2/ Yes i will add that to my todo list. Note that i don't have the company name from the ticker. I will have to find a source.

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15 minutes ago, rigulator said:

Hello Ditux!

Just found the option for short atm straddle and long strange in the return matrix. What deltas, what expirations and what ratios do you use?

 

I really appreciate your work with Volatility HQ

It's from the first post by Yowster in https://steadyoptions.com/forums/forum/topic/6033-proposed-new-trade-type-for-higher-volatility-times/.

I can't comment too much the specificity of that here because this thread is public, but apparently they are still working on testing variations of the trade (see the new posts).

So the return matrix for that new trade is not 'up to date'.

 

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Hi, is it possible to add a filter to the return scanner (or a column of data) in order to filter for confirmation date? Specifically, in order to only look at data confirmed in the last 1 day for example, that way you can avoid reviewing the same data every day (or manually filtering based on the earnings date feed). 

Thanks

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17 minutes ago, Sirion said:

Hi, is it possible to add a filter to the return scanner (or a column of data) in order to filter for confirmation date? Specifically, in order to only look at data confirmed in the last 1 day for example, that way you can avoid reviewing the same data every day (or manually filtering based on the earnings date feed). 

Thanks

I think it's a great idea. I will have to think how to implement that.

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Just now, Djtux said:

I think it's a great idea. I will have to think how to implement that.

Might save you some processing power/data transfer if it's a filter on the front side of the request, in addition to not breaking people's macros as an additional thought.

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BTW, I also have a feature request:-)

I'd appreciate to have an email notification service, that sends out a message when there is an earningsdate confirmation for a stock out of an individualy definable list of stocks. I spend a lot of useless time looking for trading canditates in your endless lists and I really hate it, because I still haven' found an effective way to do. For most stocks the SO-strategies are not appliable. But once I'd have my individual list and your email service, I'd just have to check my inbox once a day...

 

 

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5 minutes ago, rigulator said:

BTW, I also have a feature request:-)

I'd appreciate to have an email notification service, that sends out a message when there is an earningsdate confirmation for a stock out of an individualy definable list of stocks. I spend a lot of useless time looking for trading canditates in your endless lists and I really hate it, because I still haven' found an effective way to do. For most stocks the SO-strategies are not appliable. But once I'd have my individual list and your email service, I'd just have to check my inbox once a day...

The email notification is planned but there are a few things to make it happen properly.

In the meantime, you could try to play around the whitelist and the blacklist. Not perfect.

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I'm an idiot! I always checked the complete earningsfeed and somehow never noticed the scanner tab... Thank you zxcv64 you for the hint!

Although the scanner seems to make it much easier, I'm glad to hear that an email-notification is planned!

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On 2/19/2020 at 12:51 PM, Sirion said:

Might save you some processing power/data transfer if it's a filter on the front side of the request, in addition to not breaking people's macros as an additional thought.

Final thought: Saving a user's last inquiry timestamp, allowing for a simple flag of "new earnings confirmations only" feels like it covers most of the use cases while being the simplest.

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I haven't used the Scanner in some time, but today I tried to use it and it only gives:

"Showing 1 to 17 of 17 entries" and has a single page of results.

This is using all the defaults, and above the generated table it says:

"Total symbols: 1568"
"Filtered symbols: 0"

Am I missing something?  It used to generate a table for every symbol.

Thanks.

Edited by MichiganWater
typo

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5 hours ago, MichiganWater said:

I haven't used the Scanner in some time, but today I tried to use it and it only gives:

"Showing 1 to 17 of 17 entries" and has a single page of results.

This is using all the defaults, and above the generated table it says:

"Total symbols: 1568"
"Filtered symbols: 0"

Am I missing something?  It used to generate a table for every symbol.

Thanks.

Hi, just saw your email, thanks for sending it. I missed the notification from this forum.

I think the problem comes from the filter :

image.png

It seems all the spreads are larger now relative to the stock price because of the current state of the market.

If you remove that 1.0, it should display more.

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3 hours ago, Djtux said:

Hi, just saw your email, thanks for sending it. I missed the notification from this forum.

I think the problem comes from the filter :

image.png

It seems all the spreads are larger now relative to the stock price because of the current state of the market.

If you remove that 1.0, it should display more.

That was exactly it.  Thanks for your help.

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I was trying to find the field for me to enter the discount code. When I go into the billing page, it first ask me to fill in my name and address, then i ask me to fill in the credit card details directly. I can't see where it allows me to fill in the coupon code info, can you please advise?
 
Also, does the coupon code only available 30 Apr 2020? Will it be extended?

 

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13 minutes ago, Chloe said:

 

I was trying to find the field for me to enter the discount code. When I go into the billing page, it first ask me to fill in my name and address, then i ask me to fill in the credit card details directly. I can't see where it allows me to fill in the coupon code info, can you please advise?
 
Also, does the coupon code only available 30 Apr 2020? Will it be extended?

 

Please check your email, i just answered there.

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@Djtux

It looks like the scanner has a "Max Move" column but that is only for the previous cycle.   Would it be possible to add a Max Move for previous 8 cycles where a negative number would show the largest move was a down move and a positive number would show the move was up?

 

Also, do you have the data to backtest straddle returns based holding through earnings (opening on T-1 and closing after earnings are released) and then comparing the average of these to things like IVR and earnings IV relative to non-earnings IV?  

I suspect if someone wanted to short a straddle over earnings it would be better to do this on stocks that have higher earnings IV relative to non-earnings IV but I have never seen anyone actually test this before and it would be interesting to see the results.    If you have the raw data I would be happy to run the tests in Excel and post them with a link to your site.   Just a thought.   

 

Thanks

 

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1 hour ago, FrankTheTank said:

It looks like the scanner has a "Max Move" column but that is only for the previous cycle.   Would it be possible to add a Max Move for previous 8 cycles where a negative number would show the largest move was a down move and a positive number would show the move was up?

There is already an 'average' max move over the last 8 cycles, but i can definitely add to my todo list a new column to display the largest max move like you suggest.

1 hour ago, FrankTheTank said:

Also, do you have the data to backtest straddle returns based holding through earnings (opening on T-1 and closing after earnings are released) and then comparing the average of these to things like IVR and earnings IV relative to non-earnings IV?  

I suspect if someone wanted to short a straddle over earnings it would be better to do this on stocks that have higher earnings IV relative to non-earnings IV but I have never seen anyone actually test this before and it would be interesting to see the results.    If you have the raw data I would be happy to run the tests in Excel and post them with a link to your site.   Just a thought. 

Modifying the return matrix heatmap to allow a new flag to test holding through earnings is a possibility. Then redesigning the return scanner to get the average/median return for holding a straddle through earnings is also a possibility. Adding extra columns like the non-earnings IV and IV rank, and the IV of the straddle is also a possibility.

It's not at the top of my list right now, but i will make a note.

Doing manually is possible with TOS Thinkback to get the historical option prices. Very tedious.  

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Thanks.  One more question.   I did not see definitions of Dbl Calendar Return, Call Calendar Return, and Put Calendar Return.

-How are the expiration chosen?

-Are these opened day before earnings and closed day after earnings?  

-How is the return % calculated?  Just the p/l divided by the debit paid?

 

image.thumb.png.5ff2754ae8f68b63fefb560c5d2bb48f.png

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16 minutes ago, FrankTheTank said:

Thanks.  One more question.   I did not see definitions of Dbl Calendar Return, Call Calendar Return, and Put Calendar Return.

-How are the expiration chosen?

-Are these opened day before earnings and closed day after earnings?  

-How is the return % calculated?  Just the p/l divided by the debit paid?

 

image.thumb.png.5ff2754ae8f68b63fefb560c5d2bb48f.png

For the calendars, the short leg is the first expiry after the earning date, the long leg is the monthly leg after the short leg.

They are opened at T=0 and closed at T+1. So opened the last trading session before the earning announcement and closed at the close of the trading session following the earning announcement.

The return is simply the p&l / debit.

I don't have the code (yet) to compute the margin for short positions.

4 minutes ago, TrustyJules said:

Whilst you answer that what does the I/O column stand for?

In = In. O = Out. If the absolute value of the max move is smaller than the straddle RV, then it's IN, if not it's OUT. It's just to get an idea of the stock move after earnings compared to the 'straddle rv' at T=0.

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Sorry to barge in on the discussion - @Djtux, I'm trying to send you a message and get this error :

image.png

 

Anyway, I'm having problems getting the RV chart to display for BIDU calendars, and I haven't changed any params etc, but I get this :

 

image.png

 

Any ideas?

 

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6 minutes ago, zxcv64 said:

I'm trying to send you a message and get this error

Strange, i don't know. Is there a difference between @djtux and @Djtux ?

50 minutes ago, zxcv64 said:

Anyway, I'm having problems getting the RV chart to display for BIDU calendars, and I haven't changed any params etc, but I get this

Yes that is strange. I can display that correctly in my development server, but not in production like you see. Let me investigate that, it might be error in the data imported from the provider.

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16 hours ago, zxcv64 said:

Anyway, I'm having problems getting the RV chart to display for BIDU calendars, and I haven't changed any params etc, but I get this :

I have fixed the data issue. Sorry about that.

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On 8/21/2017 at 4:15 AM, mukundaa said:

Is it possible to change the straddle expiration week ?

I would like to test a theory that options with an expiry up to say 60 days from earnings might be good candidates for pre or through earnings straddle trades. I presume 5 days is the maximum number of days allowed to be selected at present.

If so, is it feasible for you to adapt VolatilityHQ to allow us to select up to say 60 days out, presumably using the "Minimum number of business days between earnings date and straddle expiry date" configuration option.

Also -

  1. is there somewhere I can see what the expiry is of the options the graphs are based on?

     
  2.  In the graph title, "XXX_Straddle_RV_0bdays", does 0 refer to the number of business days between earnings and expiry? I can't seem to get the number in the title to change from 0 even if I select a number between 1 and 5

 

 

Edited by Jasper

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4 hours ago, Jasper said:

I would like to test a theory that options with an expiry up to say 60 days from earnings might be good candidates for pre or through earnings straddle trades. I presume 5 days is the maximum number of days allowed to be selected at present.

If so, is it feasible for you to adapt VolatilityHQ to allow us to select up to say 60 days out, presumably using the "Minimum number of business days between earnings date and straddle expiry date" configuration option.

Also -

  1. is there somewhere I can see what the expiry is of the options the graphs are based on?

     
  2.  In the graph title, "XXX_Straddle_RV_0bdays", does 0 refer to the number of business days between earnings and expiry? I can't seem to get the number in the title to change from 0 even

 

 

Are you a subscriber? What you describe is already available for the straddle rv. 

Are you looking at straddle rv? 
« if I select a number between 1 and 5 » seems to indicate you are in the calendar rv page.
For the calendar spreads, that’s not possible.

For the expiry used, it’s on the right of the Rv chart.

Give me some info on what you mean as i’m a bit confused.

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@Djtux, on the call ratio calculator, could you briefly explain (or just link me to the explanation if it's posted elsewhere) what mathematical adjustment you're making when we set the Return Type to "Adjusted" versus "Unadjusted"? DM is also fine if you'd rather not post that publicly.

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1 hour ago, DubMcDub said:

@Djtux, on the call ratio calculator, could you briefly explain (or just link me to the explanation if it's posted elsewhere) what mathematical adjustment you're making when we set the Return Type to "Adjusted" versus "Unadjusted"? DM is also fine if you'd rather not post that publicly.

It’s based off this thread: https://steadyoptions.com/forums/forum/topic/6140-ratio-trades-in-the-downturn/?do=findComment&comment=140556

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1 hour ago, DubMcDub said:

@Djtux, on the call ratio calculator, could you briefly explain (or just link me to the explanation if it's posted elsewhere) what mathematical adjustment you're making when we set the Return Type to "Adjusted" versus "Unadjusted"? DM is also fine if you'd rather not post that publicly.

To keep it simple, the RV decline is deducted from the return of the ratio to ensure that the return is not overstated. Some stocks have higher RV declines than others and hence the deduction is generally very relevant.

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23 minutes ago, TrustyJules said:

To keep it simple, the RV decline is deducted from the return of the ratio to ensure that the return is not overstated. Some stocks have higher RV declines than others and hence the deduction is generally very relevant.

My first reaction to hearing this, "Wouldn't that double count the RV decline against you, since the price of the ratio spread at T-exit versus the price of the ratio spread at T-entry already factors in the RV decline that occurred over the period?" But looking at the other thread linked by Djtux, I think what threw me off is that the calculator looks like the return matrices, the latter of which use historical data. But the call ratio calculator, as I now understand it, is NOT using historical data--rather, it is using current prices, much like your Excel spreadsheet. In that case, I completely understand what the "adjusted" RV serves. 

 

Do I have that correct?

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On 5/23/2020 at 9:41 PM, Djtux said:

Give me some info on what you mean as i’m a bit confused.

Yes, I am subscriber Bl****ker. You have answered my questions with your response thank you. I'll keep exploring...

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