volatilityhq.com Official Thread

[Djtux 542]

@NikTam Look at https://steadyoptions.com/forums/forum/topic/4666-discussion-gs-october-2018-trade/?do=findComment&comment=105877 for the start of the discussion of the 'pre-pre earnings' calendar. The short leg is the monthly expiry before earnings, not after earnings.

 

4 hours ago, cuegis said:

Like everyone else, I am really grateful for working on making this new function happen.

I know these things require a lot of work on your part.

I hate to lean on you even further but, the non earnings calendars that you posted a proto type of the other day, would be such an amazing tool to have.

Do you think you will be able to turn that into a reality anytime soon?

I am thinking of a novel idea of a "pre pre earnings calendar".

In a typical pre earnings calendar, you would be short the first expiry post earnings.

But, to create more opportunities, in non earnings periods, I'm thinking what it would look like to walk this trade back one generation.

It would involve being long the first expiry , following the next earnings, when there is a monthly to sell as the short leg.

In the case of GS,which you posted the proto chart of, this is a great example because they have pre announced the future earnings dates, so that uncertainty is now out of the equation.

@cuegis I'm working on that, i should have some prototype ready on the production website tonight. It won't be the fastest for now (page might load slower than the rest, there won't be caching like the rest of the website, but it's just to get something out there).

 

2 hours ago, Yowster said:

@Djtux Now that market vol is jumping around quite a bit, I'm thinking it may be beneficial to show the VIX value for dates on the RV chart.   When I see something with elevated RV, I find myself looking at a VIX chart for that day to see what its value was.   This wasn't an issue last year because the VIX was so flat for so long, but now we are starting to see multiple periods with elevated VIX, and that can certainly factor into straddle RV.

 

I'm not sure how best to incorporate it, perhaps when you hover over a data point its one of the things that gets displayed?   Something for the wish list, as it would be a time saver.

Noted, i think it makes sense. Maybe i could show it in 2 spots :

• In the RV chart, when you hover a data point, i can show both the straddle/calendar price and the VIX
• I can also add a new chart to the Straddle RV page and the Calendar RV page. The new chart will be called VIX, and for each cycle i will show the VIX

That way you can do a spot check on the VIX chart, and then drill down on the hover if needed.

It's a start until we find a better way to represent that.

 

 

 

 

[Djtux 542]

I just added a new option on the Calendar RV page to support a 'pre-pre earnings' calendar. The short leg expires before the earnings date.

That feature is in beta for now as i have not done extensive testing yet, and is slower than the rest of the functionalities because i have not implemented that much caching.

Note that if you select the option to have the short leg before earnings, then you also need to select to use ONLY monthly options.

Here is an example :

[cuegis 683]

34 minutes ago, Djtux said:

I just added a new option on the Calendar RV page to support a 'pre-pre earnings' calendar. The short leg expires before the earnings date.

That feature is in beta for now as i have not done extensive testing yet, and is slower than the rest of the functionalities because i have not implemented that much caching.

Note that if you select the option to have the short leg before earnings, then you also need to select to use ONLY monthly options.

Here is an example :

It's as beautiful as any Picasso!

Thank you for indulging my idea.

I hope this turns out to have merit, and give us something to do during the "other" 9 months of the year.

Edited August 2, 2018 by cuegis

[Andrew 19]

Super cool, definitely got me to sign up!

[craigsmith 357]

1 hour ago, Djtux said:

I just added a new option on the Calendar RV page to support a 'pre-pre earnings' calendar. The short leg expires before the earnings date.

That feature is in beta for now as i have not done extensive testing yet, and is slower than the rest of the functionalities because i have not implemented that much caching.

Note that if you select the option to have the short leg before earnings, then you also need to select to use ONLY monthly options.

Here is an example :

 

This is a really, really awesome feature. Thanks for working on this to make it happen so quickly.

[Kim 7,451]

1 hour ago, Djtux said:

I just added a new option on the Calendar RV page to support a 'pre-pre earnings' calendar. The short leg expires before the earnings date.

That feature is in beta for now as i have not done extensive testing yet, and is slower than the rest of the functionalities because i have not implemented that much caching.

Note that if you select the option to have the short leg before earnings, then you also need to select to use ONLY monthly options.

Here is an example :

Fantastic feature, thank you!

So for our "normal" calendars where short leg expires after earnings, when we see 0w, 4w - that means short leg expires on week of earnings, long leg expires 4 weeks later.

For those "pre earnings" calendars, -4w is obviously the short leg expiring 4 weeks before earnings, and 4w means the distance between the strikes, correct? So for GS, the current setup is 4w calendar while all previous cycles were 5w, which makes the RV not apples to apples comparison.

[cuegis 683]

33 minutes ago, Kim said:

Fantastic feature, thank you!

So for our "normal" calendars where short leg expires after earnings, when we see 0w, 4w - that means short leg expires on week of earnings, long leg expires 4 weeks later.

For those "pre earnings" calendars, -4w is obviously the short leg expiring 4 weeks before earnings, and 4w means the distance between the strikes, correct? So for GS, the current setup is 4w calendar while all previous cycles were 5w, which makes the RV not apples to apples comparison.

This definitely is not an "apples to apples" comparison. It is totally an "apples and oranges" situation.

It would never be in the category of "earnings trades discussions", because it is not an earnings related trade.

I gave it the name, just to distinguish it, of "pre pre earnings" calendars.

Everything about this trade is different than a normal pre earnings calendar.

This is a trade intended to be used during non earnings periods.

Rather than selling the first expiration following earnings, you are buying that expiration, and selling the monthly of the previous month.

But, with all of that said,....RV is still one of the best ways to measure a calendar's pricing, and it can be used, in it's own right, to compare itself to other pre pre earnings calendars, as that would be an "apples to apples" comparison.

This is just in an "idea" phase, and with the few RV charts that djtux so kindly put together the other day, it does look like it might have some merit.

I think that there are a few things working in it;s favor that would make it a better choice than any other non earnings related calendar.

But, we need to start somewhere, and the RV charts will go a long way in giving a better perspective to it.

Again, this is not a pre earnings calendar, and it should not be compared to one. 

[Djtux 542]

9 hours ago, Kim said:

Fantastic feature, thank you!

So for our "normal" calendars where short leg expires after earnings, when we see 0w, 4w - that means short leg expires on week of earnings, long leg expires 4 weeks later.

For those "pre earnings" calendars, -4w is obviously the short leg expiring 4 weeks before earnings, and 4w means the distance between the strikes, correct? So for GS, the current setup is 4w calendar while all previous cycles were 5w, which makes the RV not apples to apples comparison.

Yes the first number is the number of weeks between the short leg expiry and the earning date.

The second number is the number of weeks between the short and long leg.

For the moment, for those "pre pre earning" calendar, i had to limit the scope of the code to only select monthly expiries. I could change that in the future to have a more refined logic to ensure the same number of weeks between the legs but that would mean that in some cycles you might select a weekly expiration and in another you might select a monthly expiration.

8 hours ago, cuegis said:

This definitely is not an "apples to apples" comparison. It is totally an "apples and oranges" situation.

I think he made a fair point about the difference in the number of weeks that will skew the RV.

It would be like in our usual pre-earning calendar being done currently in SO where you compare the RV of a 4-week calendar vs a 2-week calendar.

They are not really comparable, or it's difficult to access if the current RV is cheap or not relative to previous cycles if you don't have the same number of weeks between.

 

[cuegis 683]

33 minutes ago, Djtux said:

Yes the first number is the number of weeks between the short leg expiry and the earning date.

The second number is the number of weeks between the short and long leg.

For the moment, for those "pre pre earning" calendar, i had to limit the scope of the code to only select monthly expiries. I could change that in the future to have a more refined logic to ensure the same number of weeks between the legs but that would mean that in some cycles you might select a weekly expiration and in another you might select a monthly expiration.

I think he made a fair point about the difference in the number of weeks that will skew the RV.

It would be like in our usual pre-earning calendar being done currently in SO where you compare the RV of a 4-week calendar vs a 2-week calendar.

They are not really comparable, or it's difficult to access if the current RV is cheap or not relative to previous cycles if you don't have the same number of weeks between.

 

Yes, the number of weeks between expirations has to be the same, in every case, for it to be a fair comparison.

But , the "apples to apples" thing I was talking about had to do with comparing pre earnings calendars to non pre earnings ones ("pre pre calendars").

For example, if you compared a 2 week, pre pre earnings calendar, to a 2 week, pre earnings calendar, even though they are the same number of weeks, it would still not be an "apples to apples" comparison, because it is a very different trade, in every way.

The only equal comparisons would be same number of weeks, same stock, same strategy.

A 2 week pre earnings RV chart of AAPL, can't be compared to a 2 week pre earnings chart of NFLX, because each has it's own pricing history. (.30 RV might be cheap for one, and expensive for the other)

Also, a 2 week, pre pre earnings RV chart of AAPL, cannot be compared to a 2 week, pre earnings RV chart of AAPL, because it is a totally different strategy, whose movement is based on different factors.

[Yowster 7,995]

40 minutes ago, Djtux said:

Yes the first number is the number of weeks between the short leg expiry and the earning date.

The second number is the number of weeks between the short and long leg.

For the moment, for those "pre pre earning" calendar, i had to limit the scope of the code to only select monthly expiries. I could change that in the future to have a more refined logic to ensure the same number of weeks between the legs but that would mean that in some cycles you might select a weekly expiration and in another you might select a monthly expiration.

I think he made a fair point about the difference in the number of weeks that will skew the RV.

It would be like in our usual pre-earning calendar being done currently in SO where you compare the RV of a 4-week calendar vs a 2-week calendar.

They are not really comparable, or it's difficult to access if the current RV is cheap or not relative to previous cycles if you don't have the same number of weeks between.

 

The main benefit of this chart is to show potential calendar spread gains over time - if the stock price stays near our strike.   We KNOW that the front leg (expiring prior to earnings) is going to decline steadily which means the calendar RV chart will slope upward - so its not like our pre-earnings calendars where we compare RV, the important thing here is seeing the slope of the increase (unless, of course, something is way off from the average).   That being the case, for the pre-pre-earnings analysis, its not a big deal if the monthly spreads have some 5 week and some 4 week calendars.   I've been thinking about some general guideline for a trade like this:

• Open 6-8 weeks prior to short leg expiration.
• Look for stocks that show a tendency not to move too much between earnings periods (look at charts or do backtests).
• Look to close about 4 weeks prior to short expiration (no less than 3).   From our hedged straddle experience we know that gamma can really accelerate on the short leg the closer you get to expiration so for a trade like this we want to be out before that happens - this is a bit counter-intuitive because the last 4 weeks is when the RV really starts to shoot upwards, but its also the timeframe where the spread becomes more sensitive to stock price movement and the profit tent narrows.
• Given these entry/exit timeframes use the pre-pre-earnings RV charts to show likely gain percentages if the stock price cooperates.

[Kim 7,451]

@Yowsterit is a very good point regarding closing early. For more details, I would suggest reading Why You Should Not Ignore Negative Gamma article.

 

[cuegis 683]

3 minutes ago, Yowster said:

The main benefit of this chart is to show potential calendar spread gains over time - if the stock price stays near our strike.   We KNOW that the front leg (expiring prior to earnings) is going to decline steadily which means the calendar RV chart will slope upward - so its not like our pre-earnings calendars where we compare RV, the important thing here is seeing the slope of the increase (unless, of course, something is way off from the average).   That being the case, for the pre-pre-earnings analysis, its not a big deal if the monthly spreads have some 5 week and some 4 week calendars.   I've been thinking about some general guideline for a trade like this:

• Open 6-8 weeks prior to short leg expiration.
• Look for stocks that show a tendency not to move too much between earnings periods (look at charts or do backtests).
• Look to close about 4 weeks prior to short expiration (no less than 3).   From our hedged straddle experience we know that gamma can really accelerate on the short leg the closer you get to expiration so for a trade like this we want to be out before that happens - this is a bit counter-intuitive because the last 4 weeks is when the RV really starts to shoot upwards, but its also the timeframe where the spread becomes more sensitive to stock price movement and the profit tent narrows.
• Given these entry/exit timeframes use the pre-pre-earnings RV charts to show likely gain percentages if the stock price cooperates.

Those are good guidelines.

I too, was looking to enter around the same time you mentioned, and exit well before heavy gamma kicks in.

As far as underlying movement, we can look at the history of relative price move% to get some idea of how much tendency the underlying has moved in the past, during this specific time frame, to see if there are any repeating patterns,

As far as the loss of value, on the short expiration, I think people tend to look in the wrong place for this.

There is a big difference between the rate at which an option deteriorates, and the amount of premium an option loses.

Most option sellers like to focus on the last 30 DTE, because time decay is the greatest.

But, the gamma risk, associated with that is the highest.

The thing that many people are missing, is that while an option may deteriorate at the fastest rate, during the last 30 DTE, it is not losing the most amount of it's value during that time.

There is a period between 75 DTE- 50 DTE, ( it is hard to pinpoint the exact spot, but generally), where a 10 delta option will lose 50% of it's value, and not have much gamma risk associated with it that far away.

An option is "born" with x amount of premium. By the the time it reaches T-30, it has already lost 90% of that premium.

So, it is losing it's last 10% at the fastest rate of decline, with the most amount of gamma.

So, this is sort of the worst spot to focus on for an option seller.

Also, with regard to these 2 different calendar strategies, while a "normal" calendar, is a "long IV" position, one can make a case that a "pre earnings calendar" can be a short IV position.

Look at the case where the long and short IV starts out at 45 and 43, and winds up at 95  and 50 IV....This does happen in some cases, and while the value of 1 vega is much greater, in the longer dated expiration, sometimes the front expiry IV gain is even greater than that.

But, during non earnings times, a calendar is a long IV position.

What is good about this trade is that the leg that you are long, is the first expiration post earnings.

This is the expiry where, eventually most of the money will flow into, and will reach the highest IV of all expirations.

This may not happen during the time frame of this trade, but the long leg will have a degree of "IV support".

[cuegis 683]

34 minutes ago, Yowster said:

The main benefit of this chart is to show potential calendar spread gains over time - if the stock price stays near our strike.   We KNOW that the front leg (expiring prior to earnings) is going to decline steadily which means the calendar RV chart will slope upward - so its not like our pre-earnings calendars where we compare RV, the important thing here is seeing the slope of the increase (unless, of course, something is way off from the average).   That being the case, for the pre-pre-earnings analysis, its not a big deal if the monthly spreads have some 5 week and some 4 week calendars.   I've been thinking about some general guideline for a trade like this:

• Open 6-8 weeks prior to short leg expiration.
• Look for stocks that show a tendency not to move too much between earnings periods (look at charts or do backtests).
• Look to close about 4 weeks prior to short expiration (no less than 3).   From our hedged straddle experience we know that gamma can really accelerate on the short leg the closer you get to expiration so for a trade like this we want to be out before that happens - this is a bit counter-intuitive because the last 4 weeks is when the RV really starts to shoot upwards, but its also the timeframe where the spread becomes more sensitive to stock price movement and the profit tent narrows.
• Given these entry/exit timeframes use the pre-pre-earnings RV charts to show likely gain percentages if the stock price cooperates.

You probably saw this but, here is a chart that djtux put together which shows this type of trade up until T-20.

So, the entry and exit time frame is very similar to what you have mentioned, as it should be.

https://plot.ly/~phamoos/1/#/

I would like to determine where the huge RV gain came from.

Is it theta decay on the short (Sept) expiry, or is it a large IV increase in the long Oct expiry....or a little of both.

But, this is a very impressive picture of what is possible.

Assuming the underlying cooperates ( and that is a very big "If"), RV goes from .70 to over 2.00, in every previous cycle.

Edited August 2, 2018 by cuegis

[Yowster 7,995]

2 minutes ago, cuegis said:

You probably saw this but, here is a chart that djtux put together which shows this type of trade up until T-20.

So, the entry and exit time frame is very similar to what you have mentioned, as it should be.

https://plot.ly/~phamoos/1/#/

I would like to determine where the huge RV gain came from.

Is it theta decay on the short (Sept) expiry, or is it a large IV increase in the long Oct expiry....or a little of both.

But, this is a very impressive picture of what is possible.

Assuming the underlying cooperates ( and that is a very big "If"), RV goes from .70 to over 2.00

But that RV of over 2% comes if you hold until near short expiration (T-20 is when Sept short leg expires) - which we would not do.   You need to look around T-40 for planned exit about a month prior to short expiration.

[cuegis 683]

12 minutes ago, Yowster said:

But that RV of over 2% comes if you hold until near short expiration (T-20 is when Sept short leg expires) - which we would not do.   You need to look around T-40 for planned exit about a month prior to short expiration.

Your'e right. I confused the T-20 with covering at 20 days before Sept expiration.

Just looking at Aug/Sept vs Sept/Oct right now.

The former is $3.00, the latter is $1.75.

And, we are almost at 20 days until Aug expiration ( a few days less, but close enough).

I would make the case that Aug/Sept is very different than Sept/Oct because with Aug/Sept, neither of these expirations will be involved in the next earnings.

With Sept/Oct, you will be long the first expiry after Oct earnings, so there could begin to be an IV increase in that position.

Edited August 2, 2018 by cuegis

[Djtux 542]

I just removed the limitation of only using monthly options for the 'pre pre earnings' calendar.

Just be mindful that because we want to enter that trade very early, the weekly might not be available in time.

2 hours ago, Djtux said:

For the moment, for those "pre pre earning" calendar, i had to limit the scope of the code to only select monthly expiries. I could change that in the future to have a more refined logic to ensure the same number of weeks between the legs but that would mean that in some cycles you might select a weekly expiration and in another you might select a monthly expiration.

13 hours ago, Djtux said:

Compare these 2 charts :

 

 

[Djtux 542]

It's almost the 1 year anniversary of the launch of the website.

For anyone on the fence, i would encourage you to subscribe now to lock in the current price as i'm considering increasing it.

I have some backend work to do on the payment system to be able to do that, but it's coming at some point.

For existing subscribers, as long as you keep your subscription, nothing will change and thank you for the support.

[PGAmbrosio 53]

Congrats on almost one year!  

 

@Djtux is a valuable member here and provides a great service which only continues to improve.  Well worth it for SteadyOptions style trades.  Not a paid endorsement, but I like to support good work .  

Edited August 3, 2018 by PGAmbrosio

[cuegis 683]

28 minutes ago, PGAmbrosio said:

Congrats on almost one year!  

 

@Djtux is a valuable member here and provides a great service which only continues to improve.  Well worth it for SteadyOptions style trades.  Not a paid endorsement, but I like to support good work .  

I'm with you on that!

[Volramp 1]

On 8/20/2017 at 8:00 PM, Djtux said:

SO5018Q3

Is there a way in volatilityhq to see the implied move of a stock pre-EA  and the actual move in the day earnings are out?  A feature like that could open the door for quite a few plays...

[Djtux 542]

4 hours ago, Volramp said:

Is there a way in volatilityhq to see the implied move of a stock pre-EA  and the actual move in the day earnings are out?  A feature like that could open the door for quite a few plays...

Is this what you are looking for ?

The page is cut at the bottom, but this is one of the features of the website.

[Yowster 7,995]

@Djtux Question on the "pre-pre-earnings" chart shown below.   Why does the charting end prior to the short expiration (in GS case a week earlier)?   Not a huge deal but when looking to enter trade 6-7 prior to expiration and closing about 4 weeks priors you just have to factor in that the chart stops one week before expiration (so go back about 3 week from end of chart for exit point and not 4).  

[cuegis 683]

1 hour ago, Yowster said:

@Djtux Question on the "pre-pre-earnings" chart shown below.   Why does the charting end prior to the short expiration (in GS case a week earlier)?   Not a huge deal but when looking to enter trade 6-7 prior to expiration and closing about 4 weeks priors you just have to factor in that the chart stops one week before expiration (so go back about 3 week from end of chart for exit point and not 4).  

 

Edited August 4, 2018 by cuegis

[Djtux 542]

3 hours ago, Yowster said:

@Djtux Question on the "pre-pre-earnings" chart shown below.   Why does the charting end prior to the short expiration (in GS case a week earlier)?   Not a huge deal but when looking to enter trade 6-7 prior to expiration and closing about 4 weeks priors you just have to factor in that the chart stops one week before expiration (so go back about 3 week from end of chart for exit point and not 4).  

T0 is the trading session just before the earning date. GS last trading session each cycle is either the monday or tuesday, and that counts as a 'week'.

You can see that the 2017-01-17 and 2018-01-16 (red and grey) end 1 day after the 2018-04-16 cycle (green).

Also note that this cycle, there are only 4 weeks instead of 5 weeks between the short leg expiry and the T0, and that might explain it.

Now for 'regular' pre-earnings calendar it makes sense to use the trading session just before earning as the reference T0.

For pre-pre earnings, it's not so sure about that because we are so far in advance.

 

 

[Djtux 542]

Forgot to say that i added a very small change to the lines to show the monthly expirations for the current cycle.

It was possible to see the calculated date corresponding to a T-X by hovering over the point, but the bold reference dotted line makes it easier to see them.

 

[Djtux 542]

I'm going to do some maintenance on the website to be able to deploy new features.

[Djtux 542]

On 8/1/2018 at 6:33 PM, Yowster said:

@Djtux Now that market vol is jumping around quite a bit, I'm thinking it may be beneficial to show the VIX value for dates on the RV chart.   When I see something with elevated RV, I find myself looking at a VIX chart for that day to see what its value was.   This wasn't an issue last year because the VIX was so flat for so long, but now we are starting to see multiple periods with elevated VIX, and that can certainly factor into straddle RV.

 

I'm not sure how best to incorporate it, perhaps when you hover over a data point its one of the things that gets displayed?   Something for the wish list, as it would be a time saver.

I've added that to the website in production.

I'm still testing that on my side, but if you see a better way to display that, let me know.

I had to clear out the cache that stores the backtest so it will take some hours to be back to the 'normal' performance but the website is usable.

 

I will pick NKE as an example : https://steadyoptions.com/forums/forum/topic/4698-discussion-nke-september-2018-trade/

Quote

Take a look at straddle RV chart with March 2018 excluded (VIX was crazy with spikes and elevated levels in Feb/March, so I am excluding it from my trade analysis).

 

In the straddle RV chart, there is a new Vix in the hover for each cycle :

There is a new VIX chart as well. It gives you the VIX at each T-X for each cycle.

Might be easier to spot outliers.

 

Edited August 17, 2018 by Djtux

[Yowster 7,995]

@Djtux Awesome, thank you!   You can easily see overall market volatility level and determine if RV spikes were likely due to overall market vol or a stock-specific thing.

[cuegis 683]

35 minutes ago, Djtux said:

I've added that to the website in production.

I'm still testing that on my side, but if you see a better way to display that, let me know.

I had to clear out the cache that stores the backtest so it will take some hours to be back to the 'normal' performance but the website is usable.

 

I will pick NKE as an example : https://steadyoptions.com/forums/forum/topic/4698-discussion-nke-september-2018-trade/

 

In the straddle RV chart, there is a new Vix in the hover for each cycle :

There is a new VIX chart as well. It gives you the VIX at each T-X for each cycle.

Might be easier to spot outliers.

 

Thank you...that is really great.

Will it also be in the hover on calendars?

One question about that hover display.....I can't figure out how to take a screen shot with the hover numbers visible, just like you have done in this shot.

When I have the hover box present and then have to move the mouse over to save the screen, the hover disappears.

[Djtux 542]

3 minutes ago, cuegis said:

Will it also be in the hover on calendars?

Once we are satisfied with the way the VIX hover and the VIX charts are in the straddle RV, i can also add the same in the calendar.

I prefer to do things steps by steps.

4 minutes ago, cuegis said:

One question about that hover display.....I can't figure out how to take a screen shot with the hover numbers visible, just like you have done in this shot.

When I have the hover box present and then have to move the mouse over to save the screen, the hover disappears.

I use snagit personally but it's a paid tool and my preference.

For free, there is the Windows Snipping tool : https://support.microsoft.com/en-us/help/13776/windows-use-snipping-tool-to-capture-screenshots

You open up the Snipping Tool window, keep that window as the active window (aka click on that application title window for example), put the mouse where you want to hover on the RV chart, then use the keyboard CTRL+N, then select the area you want to screenshot.

After that you can write on the screenshot or highlight.

Pretty useful tool if you ask me.

[Djtux 542]

11 hours ago, Djtux said:

@Anderson317 An alternative way is to look at the scanner as well on https://www.volatilityhq.com/backtester/scanner/

 

 

 

17 minutes ago, Andrew said:

Thanks.  It would be nice to have some of those numbers on the IV page when you do a symbol backtest too.  

Are you suggesting to disply the non-earning IV on the 'IV page' ? Or on the straddle/calendar RV charts for example ?

[BlackBat 66]

On 8/18/2018 at 6:16 AM, Djtux said:

Or on the straddle/calendar RV charts for example ?

I think it would be nice to have the non-earnings (base) IV at the fingertips, right on the straddle/calendar RV chart, in the upper-left corner, for example.

[Sirion 93]

@Djtux Not sure if I've asked this before, but can we please get a minimum number of cycles filter for the return scanner?

I'm thinking default should be 4-ish. 

Kinda annoying scanning through, finding something that might be good, and realizing it has 1 or 2 cycles and is in no way trustworthy as a pattern

[Djtux 542]

1 minute ago, Sirion said:

@Djtux Not sure if I've asked this before, but can we please get a minimum number of cycles filter for the return scanner?

I'm thinking default should be 4-ish. 

Kinda annoying scanning through, finding something that might be good, and realizing it has 1 or 2 cycles and is in no way trustworthy as a pattern

Can you give me some symbols if you have them by any chance ?

I want to see if it's specific to a strategy or if it's all strategies for the same symbol.

Also, the return matrix is not up to date after the changes i made Friday, as i need time to rebuild the cache.

[Sirion 93]

1 minute ago, Djtux said:

Can you give me some symbols if you have them by any chance ?

I want to see if it's specific to a strategy or if it's all strategies for the same symbol.

Also, the return matrix is not up to date after the changes i made Friday, as i need time to rebuild the cache.

LX was one, zuo another.

I noticed a T-# were off, is that all we have to watch out for until you rebuild?

[Spread 20]

9 minutes ago, Sirion said:

@Djtux Not sure if I've asked this before, but can we please get a minimum number of cycles filter for the return scanner?

I'm thinking default should be 4-ish. 

Kinda annoying scanning through, finding something that might be good, and realizing it has 1 or 2 cycles and is in no way trustworthy as a pattern

Hi @Sirion I just recently joint the VolatilityHQ service and would love to learn more about using the scanner. Would you be so kind to share your search settings, and if possible the reasoning behind it ? Thx in advance

[Djtux 542]

2 minutes ago, Sirion said:

LX was one, zuo another.

Ok thanks i see. They ipoed recently so i could add a column in the return scanner to say how many earnings cycle there is, and add a minimum number of cycle filter like you suggest.

5 minutes ago, Sirion said:

I noticed a T-# were off, is that all we have to watch out for until you rebuild?

Yes. the return scanner hasn't updated yet. So it's like it's stuck with the last run from Thursday evening.

Sorry about that, it was needed to add the VIX charts, and VIX hover in the RV charts.

[Sirion 93]

1 hour ago, Hielke said:

Hi @Sirion I just recently joint the VolatilityHQ service and would love to learn more about using the scanner. Would you be so kind to share your search settings, and if possible the reasoning behind it ? Thx in advance

I almost submitted a post answering this before realizing we're in the public forum. I'll update a post in the "CML Trade Ideas" category and tag you.

@Kim Not going to dig back through this whole thread myself, but there may be more trade information in this thread than you'd like. You may want to copy this thread into one of the private forums (while leaving a "public" thread as well for less sensitive feedback / updates). Not really my concern, just a thought

[Kim 7,451]

@SirionThanks, but I actually like that the topic contains some trading ideas as well. It shows potential members the depth of our discussions and the strength of our community.

[Djtux 542]

4 hours ago, Sirion said:

I noticed a T-# were off, is that all we have to watch out for until you rebuild?

The return scanner should be up to date now, sorry about that.

[Andrew 19]

On 8/2/2018 at 8:30 AM, Djtux said:

I just removed the limitation of only using monthly options for the 'pre pre earnings' calendar.

Just be mindful that because we want to enter that trade very early, the weekly might not be available in time.

Compare these 2 charts :

 

 

I'm having some trouble getting the current cycle to show up when using pre-pre earnings charts with "monthly only" set to "no".  Am I messing up a setting somewhere?

[cuegis 683]

16 minutes ago, Andrew said:

I'm having some trouble getting the current cycle to show up when using pre-pre earnings charts with "monthly only" set to "no".  Am I messing up a setting somewhere?

The same thing has happened to me. But, the strange thing is that it is not in every, similar case.

It almost seems sort of random.

Given the same parameters, sometimes I get a chart with the correct, future expirations.

And, sometimes I get what your chart above shows, with expirations from the past cycle, even though it has passed.

[Djtux 542]

8 hours ago, Andrew said:

I'm having some trouble getting the current cycle to show up when using pre-pre earnings charts with "monthly only" set to "no".  Am I messing up a setting somewhere?

It looks like a bug in this case, thank you for reporting it. I might have a fix. I haven't tested that part of the code that much yet.

Also note that because we are far in advance, there are some situations where there are no weekly yet.

[Djtux 542]

1 hour ago, Djtux said:

It looks like a bug in this case, thank you for reporting it. I might have a fix. I haven't tested that part of the code that much yet.

Also note that because we are far in advance, there are some situations where there are no weekly yet.

@Andrew I've deployed the fix in production, the charts should get updated today over time as the cache is getting updated.

[Anderson317 5]

@Djtux  Just subscribed to the service last week and its very useful so far. 

One request I would have is to add the RV information for the Calendar to the scanner.  Right now for the straddles there are S. Cur RV, S. Avg Cur RV, S. Avg RV T=0, S. Low Cur RV, S. Low RV T=0, S. Low RV T=0 and others which are extremely helpful to see any anomalies in the pricing by just glancing at the scan results.  I would think it would be helpful to have that same information for the Calendars.

Also, for anyone thinking of subscribing, go back and read this whole thread.  You get a sense for how they are always adding features and will get a good overview of how to use the service and some of the features.  Reading through it over the weekend a couple of light bulbs went on for me (oh, so that's what the blue line on the straddle graph means, very helpful).

[Djtux 542]

31 minutes ago, Anderson317 said:

Just subscribed to the service last week and its very useful so far. 

Thank you for the support.

31 minutes ago, Anderson317 said:

I would think it would be helpful to have that same information for the Calendars.

Yes i thought about it, but i'm not sure of its usefulness as the RV tend to move around more than for straddles, but i can add that to my todo list.

33 minutes ago, Anderson317 said:

Also, for anyone thinking of subscribing, go back and read this whole thread.  You get a sense for how they are always adding features and will get a good overview of how to use the service and some of the features.  Reading through it over the weekend a couple of light bulbs went on for me (oh, so that's what the blue line on the straddle graph means, very helpful).

Yes this community is great and many features that you see on the website came from a member that took the time to give a valuable feedback and i got around to implement it. Only problem : i receive more feedbacks than what i can do, but a good problem nonetheless.

This is also why the charts might sometimes look like an airplane cockpit with many knobs and screens. But knowing how to put down the gear is indeed useful.

[Djtux 542]

I've added new features in production :

• There is a new flag to add an offset (in number of trading days) to the current cycle earning date in case it's not confirmed to move it a week before or after the predicted date which could be different from the one predicted by market markers. In the example with ORCL, i added an offset of 5 trading days to the predicted earning date of 09/13.

• In the calendar RV charts, if i can't select the expiries for the calendar corresponding to a given number of weeks given by the user, i will return a warning message to explain why. It will help in the pre-pre earnings calendar where some weeklies are not yet available. Here is an example with the 1 week pre-pre earnings calendar for NFLX

Edited August 23, 2018 by Djtux

[Spread 20]

Just checking, a positive offset means the used earnings date is move further out ?

[Djtux 542]

3 minutes ago, Hielke said:

Just checking, a positive offset means the used earnings date is move further out ?

Yes. If the offset is 5 business day, then i add 5 business days to the 'predicted' earning dates (which is unconfirmed). That gives me a new 'predicted' earnings date.

[Andrew 19]

Are the links in the URL column of the scanner supposed to go to the option specific straddle and calendar pages?  Right now they are all just going to the generic start page for straddles and calendars.  

BTW - just started using the scanner.  Really like how you've set it up, tons of useful info in one place.