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Djtux

RV charts : Volatilityhq.com Official Thread

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Thanks that what I was doing. It works 100% of the times in an Apple tablet and something like 20% of the times in two different Windows computers, must be click tatency, WiFi speed or ... who knows. Anyway that was my nice to have feature. Thanks for your excellent support.

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On 2/12/2019 at 9:42 PM, luxmon said:

@Djtux I realize you're probably inundated with requests with this tool, but would it be possible in the scanner to report the total open interest in the weekly expiration series?  

This feature is deployed in production along with the open interest in the first monthly expiry after the earning date.

If there are no weeklies or if the monthly expiry is the same as the weekly expiry, then the open interest is None.

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I've added 3 new columns to track the RV rise of the calendars (double, put, call).

RV rise is calculated as the change in % in RV for calendar between the previous day and the current RV. So calendar_price(latest available date) / calendar_price(latest available date - 1) - 1.0.

On 9/2/2018 at 1:49 PM, Arthur said:

I would just look for calendars with the highest RV rise (%) and then apply further restrictions.

@craigsmith might be interested as well.

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@Djtux Thank you for the recent enhancements to your tool, they are already proving very helpful to me.

On another topic, could you discuss a bit on how the "Last implied volatility" data is determined?  It seems to not always indicate the IV of the earnings expiration if the earnings is too far out.  For example, see the YELP example below where "L. IV" is reported as ~34% but the May10 term is 56%.  Is there a window of time it looks in to determine the level?

Thanks much,

Tim

2019-03-29_19-16-34.png

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40 minutes ago, luxmon said:

@Djtux Thank you for the recent enhancements to your tool, they are already proving very helpful to me.

On another topic, could you discuss a bit on how the "Last implied volatility" data is determined?  It seems to not always indicate the IV of the earnings expiration if the earnings is too far out.  For example, see the YELP example below where "L. IV" is reported as ~34% but the May10 term is 56%.  Is there a window of time it looks in to determine the level?

Thanks much,

Tim

2019-03-29_19-16-34.png

Thank you for the encouragement. The IV is 30 calendar day implied volatility calculated a little bit like the VIX.

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31 minutes ago, Djtux said:

Thank you for the encouragement. The IV is 30 calendar day implied volatility calculated a little bit like the VIX.

Thank you for clarifying!  I'm as reluctant as anyone to suggest adding more columns to the scanner (especially after just updating my Excel VB scripts to point to shifted column references), but.. I must say having the earnings expiration IV (projected or confirmed) reported would be icing on the cake to help scan for interesting pre-pre earnings calendars if it could be squeezed into a future update 😉

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On 3/29/2019 at 9:56 PM, luxmon said:

Thank you for clarifying!  I'm as reluctant as anyone to suggest adding more columns to the scanner (especially after just updating my Excel VB scripts to point to shifted column references), but.. I must say having the earnings expiration IV (projected or confirmed) reported would be icing on the cake to help scan for interesting pre-pre earnings calendars if it could be squeezed into a future update 😉

I've added a new column E.IV in the scanner which represents the IV of the atm options with the first expiry date after the earnings date.

image.png

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18 minutes ago, Djtux said:

I've added a new column E.IV in the scanner which represents the IV of the atm options with the first expiry date after the earnings date.

Most excellent!  Having this raw data opens up many more avenues for filtering trade candidates.

Many thanks.

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As You know We are currently using the Call Return Matrix (Deltas 80,60,40) to determine the potential of Bull Ratio spreads (TrustyJules style). The hot map spots are too biased by outliers. Is it feasible to ignore outliers (as we have in many other charts)? (i.e. Remove cycles with hundreds or even thousands per cent performance).

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3 minutes ago, Javier said:

As You know We are currently using the Call Return Matrix (Deltas 80,60,40) to determine the potential of Bull Ratio spreads (TrustyJules style). The hot map spots are too biased by outliers. Is it feasible to ignore outliers (as we have in many other charts)? (i.e. Remove cycles with hundreds or even thousands per cent performance).

Can you give me a ticker you have in mind ?

Normally if you use the median, it should be less sensitive to outliers.

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46 minutes ago, Javier said:

As You know We are currently using the Call Return Matrix (Deltas 80,60,40) to determine the potential of Bull Ratio spreads (TrustyJules style). The hot map spots are too biased by outliers. Is it feasible to ignore outliers (as we have in many other charts)? (i.e. Remove cycles with hundreds or even thousands per cent performance).

Those charts use the median, not the average... so the outlier effect is less than if the average was used.     Personally, I like to look at the straddle chart with the "show stock price change" enabled in the Advanced Options - the chart that this produces gives you a nice visual graph of each cycle so you can quickly see the stock price rising cycles compared to the falling cycles (for the TrustyJules ratio trades you ideally want to see the majority of cycles showing the stock price rise).

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What I am working on at the moment is seeing how to run all the different deltas outcomes against each other. That should give a better idea of good entry and exit times. Empirically its clear also that nearer to earnings works a little different than closer to earnings.The issue of the outliers is fairly easy to avoid you just filter out when more than 1/3 of the returns deviate in outcome from the others - ideally you want the most consistent return to work with.

 

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2 hours ago, Djtux said:

Can you give me a ticker you have in mind ?

Normally if you use the median, it should be less sensitive to outliers.

 

1 hour ago, Yowster said:

Those charts use the median, not the average... so the outlier effect is less than if the average was used.     Personally, I like to look at the straddle chart with the "show stock price change" enabled in the Advanced Options - the chart that this produces gives you a nice visual graph of each cycle so you can quickly see the stock price rising cycles compared to the falling cycles (for the TrustyJules ratio trades you ideally want to see the majority of cycles showing the stock price rise).

 

1 hour ago, TrustyJules said:

What I am working on at the moment is seeing how to run all the different deltas outcomes against each other. That should give a better idea of good entry and exit times. Empirically its clear also that nearer to earnings works a little different than closer to earnings.The issue of the outliers is fairly easy to avoid you just filter out when more than 1/3 of the returns deviate in outcome from the others - ideally you want the most consistent return to work with.

 

Thanks to you all three, agree with median less impacted than average by outliers of course, but still don’t see why not discard outliers as in other charts if not technically too complex. I’ll go in depth with your posts and maybe come back. Thanks again.

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6 hours ago, Javier said:

Thanks to you all three, agree with median less impacted than average by outliers of course, but still don’t see why not discard outliers as in other charts if not technically too complex. I’ll go in depth with your posts and maybe come back. Thanks again

Why not? Because they occur - furthermore the past is no guarantee for the future. My approach to the heatmaps is just to narrow the probabilities slightly in our favour and combine this with the known rise of IV to open a position where we have market exposure and more than a regular chance of getting directional bias in our favour. Simultaneously the downside is protected by the rise in IV.

When looking at candidates the most important thing is whether the return is regularly positive - is there is a 1 in 2 chance of 400% + and otherwise 10% - that is not good. If there is a 1 in 2 chance of 50% or -25% that is bad. If the chance is 3 to 1 in favour of the positive then again it gets interesting.

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I noticed when backtesting calendars where the short expiration expires before earnings with 1-week spacing and the earnings date is relatively near (I haven't quantified how near), the tool seems to not be able to compute the calendar for the current cycle.  I've attached two examples of the error messages where I'm backtesting for the Apr12/18 calendars and the option series that cannot be found.  Are there some settings that need to be tweaked in this case?

Updated:  Maybe it's due to the Good Friday holiday on 4/19, and the options that week expire on Thursday(?)

Thanks

AXP:

2019-04-06_17-50-26.png

UNP:

2019-04-06_17-48-45.png

Edited by luxmon
Added note about Good Friday market holiday

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2 hours ago, luxmon said:

I noticed when backtesting calendars where the short expiration expires before earnings with 1-week spacing and the earnings date is relatively near (I haven't quantified how near), the tool seems to not be able to compute the calendar for the current cycle.  I've attached two examples of the error messages where I'm backtesting for the Apr12/18 calendars and the option series that cannot be found.  Are there some settings that need to be tweaked in this case?

Updated:  Maybe it's due to the Good Friday holiday on 4/19, and the options that week expire on Thursday(?)

Thanks

  • Thank you for the 2 examples, that helped the investigation of the issue. It's a bug in the code due to Good Friday, you are right.

I just fixed it, but there are some delays for the import of the data from yesterday.

  • I've added a new column in the "Straddle Table' page (bad name) : historical earnings volatility which calculates the historical volatility of the 8 previous stock movement around the earning. It's still a work in progress.
  • I've been doing some changes to display the strikes in the RV chart when you hover on a point, but it will only appear when i reset the RV charts cache. I will probably do that during Good Friday long weekend to have the time to rebuild the whole cache.

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6 minutes ago, luxmon said:

@Djtux I've been checking periodically but it appears today's data is not yet available in the scanner.  Do you think it will be up tonight?

Thanks

image.png

The import is still running. The data provider was late today and lately the import process is getting just slower because of the all the calculations that needs to be done for the scanner and recent 'new' features. I will work in the next few weeks to see what can be done to improve the import time. Sorry about that. 

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1 minute ago, Djtux said:

The import is still running. The data provider was late today and lately the import process is getting just slower because of the all the calculations that needs to be done for the scanner and recent 'new' features. I will work in the next few weeks to see what can be done to improve the import time. Sorry about that.

No worries, I've become spoiled as it's almost always there by the time I run the scan in the evening!  The new features are great so I'll take the side effects once in a while.

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AMAT is being reported as having a confirmed earnings date by two of the sources, but they have not confirmed on their website (and usually don't until the first week in May).  Curiously enough, yesterday only source #4 was showing confirmed.  I suspect these sources have their wires crossed?

image.png

 

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39 minutes ago, luxmon said:

No worries, I've become spoiled as it's almost always there by the time I run the scan in the evening!  The new features are great so I'll take the side effects once in a while.

You were not the only person impacted, that's why. My previous message was just to state that i take performance, downtime and fast data import seriously. I'm not sure how i'm going to improve it but i will try.

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25 minutes ago, luxmon said:

AMAT is being reported as having a confirmed earnings date by two of the sources, but they have not confirmed on their website (and usually don't until the first week in May).  Curiously enough, yesterday only source #4 was showing confirmed.  I suspect these sources have their wires crossed?

image.png

 

No i'm pretty sure they don't use the same source because often they don't agree.

For AMAT, i don't know the stock but there is this date : http://investors.appliedmaterials.com/phoenix.zhtml?c=112059&p=irol-calendar

I don't know if they change their date.

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@djtux, I've searched for documentation on the following feature but couldn't find it. So, maybe you can pls clarify :

 

1) Under the 'Straddle' top level drop-down, there is an option called 'Table' which shows a histogram and a table of various things including the below

image.thumb.png.3764f8e658445624a584adccd6107e49.png

 

Can I ask if the 'Straddle return' is return for a straddle that is bought at T-0 and closed on the first full day of the earnings? Eg. for HAS, earnings are BMO Tue 23-Apr, so would the return be calculated as [(straddle price on Tue 23-Apr at market close)  - (straddle price on Mon 22-Apr at market close)/(straddle price on Mon 22-Apr at market close) ?

2) For the "Call Calendar Return", would it be similar to above, with the short calls expiring the first Fri after earnings and the longs expiring on the next monthly date? For HAS, the shorts would be Fri 26-Apr and the longs 17-May?

3) I'm curious how the max loss on a Call Calendar Return can be greater than 100% (see above)?  Also, I think the Dbl Calendar Return is incorrect. (Is the Dbl Calendar Return a combination of the Call and Put Calendar Returns?)

 

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Quote

Eg. for HAS, earnings are BMO Tue 23-Apr, so would the return be calculated as [(straddle price on Tue 23-Apr at market close)  - (straddle price on Mon 22-Apr at market close)/(straddle price on Mon 22-Apr at market close) ?

Yes that is correct.

Quote

For the "Call Calendar Return", would it be similar to above, with the short calls expiring the first Fri after earnings and the longs expiring on the next monthly date? For HAS, the shorts would be Fri 26-Apr and the longs 17-May?

Correct, short the first weekly (if there is a weekly) and leg the first monthly. Both are after the earnings date.

Quote

I'm curious how the max loss on a Call Calendar Return can be greater than 100% (see above)?  Also, I think the Dbl Calendar Return is incorrect. (Is the Dbl Calendar Return a combination of the Call and Put Calendar Returns?)

I think in this case, the problem comes from the bid-ask spread which is large, and i'm basing all my calculations on the mid price, which is ok for liquid stocks, but not realistic for illiquid stock. I only have the bid/ask prices of individual options, not spreads, so it's difficult to know how much that calendar could get filled.

I'm double checking with ThinkOrSwim Thinkback.

The call calendar on Feb 06 2018 is at 0.10 credit because of the bid/ask spread, and i think that's why the -250% comes from. Return is (CalendarPriceT+1/CalendarPriceT-0) -1

image.png

image.png

The next day, it's 0.15 debit.

image.png

 

The double calendar is just a call calendar + put calendar.

Return is (0.275/0.05-1)=450%. Obviously irrealistic because of the bid/ask spread and commissions.

image.png

image.png

 

I think i should at least implement some sort of a tooltip so that when you put your mouse on the return, you get that information to decide why it's like that.

 

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