volatilityhq.com Official Thread

[Djtux]

On 11/5/2020 at 10:42 AM, FrankTheTank said:

Did you change some of the columns around in the scanner?   It looks like the column for weekly is all set to False, even for stocks that have weeklies.   Thanks. 

That should be fixed since last Friday.

1 hour ago, gf58 said:

I'm getting an error when I try to add PTON to my whitelist...all other tickers that I've added seem to be fine though and I can pull up a straddle for PTON so the code seems fine.

That should be fixed as well. Thank you for the detailed steps to reproduce.

The list of valid stock symbols wasn't getting updated as i forgot to put that task on a period schedule to run it regularly.

[gf58]

4 minutes ago, Djtux said:

That should be fixed as well. Thank you for the detailed steps to reproduce.

The list of valid stock symbols wasn't getting updated as i forgot to put that task on a period schedule to run it regularly.

Lets just say I've 'translated' enough client->dev bug reports to last a lifetime. Thanks for the quick response!

[FrankTheTank]

@Djtux  Would you ever be willing to make some high level or meta data available for research purposes?   For example, it would be interesting to run a query to determine things like non-earnings IV impact on pnl of straddles vs. calendars.

I could even see this as a class project for some data science students (I work at a university and they are always looking for new/interesting projects).   Let me know what you think. 

 

 

[Djtux]

On 11/11/2020 at 6:00 PM, FrankTheTank said:

Would you ever be willing to make some high level or meta data available for research purposes?

For the moment, it’s a little complicated for the data usage permissions. If you have an academic usage, it might be cheaper and easier to go directly to an OPRA provider and get data.

[FrankTheTank]

15 hours ago, Djtux said:

For the moment, it’s a little complicated for the data usage permissions. If you have an academic usage, it might be cheaper and easier to go directly to an OPRA provider and get data.

Understood. I know we have a subscription to OptionMetrics which is like $10k per year.  Hopefully we can tap into that.

 

*Also, would you ever be able to add the return matrix (backtest) to the bottom of the straddle RV page for each stock?  It would save us time from flipping back and forth between the two pages.  Thanks!

 

 

[gf58]

@Djtux Has there been any interest in a maximum relative cumulative change return matrix? What Im sort of trying to proxy at the moment is if I project that a straddle requires +/- 5% to break even at expiry and +/-6.5% to make a 10% return how many cycles have touched/exceeded those points. Im fudging it at the moment using the relative stock move chart on the straddle page and manually counting but something like that in a return matrix would speed up the process (and make it a little more robust as the relative stock move is always as at the previous day not the current).

[Djtux]

On 11/18/2020 at 11:45 AM, gf58 said:

@Djtux Has there been any interest in a maximum relative cumulative change return matrix? What Im sort of trying to proxy at the moment is if I project that a straddle requires +/- 5% to break even at expiry and +/-6.5% to make a 10% return how many cycles have touched/exceeded those points. Im fudging it at the moment using the relative stock move chart on the straddle page and manually counting but something like that in a return matrix would speed up the process (and make it a little more robust as the relative stock move is always as at the previous day not the current).

I can add that to my long todo list

[gf58]

Thanks @Djtux.

 

Its a nice to have (a not-quite-exact but slow workaround exists) so unless anyone else ever thought it was useful I wouldn't want you ranking it too highly.

[gf58]

@Djtux I just noticed that the CLDR 2020-06-03 cycle seems to be missing from the straddle/calendar/return matrix.

 

Looks like the earnings was announced 6 May 2020 (https://investors.cloudera.com/news-and-events/news/press-release-details/2020/Cloudera-Sets-Date-to-Announce-First-Quarter-Fiscal-Year-2021-Results/default.aspx) and took place as planned on 3 June 2020 (https://investors.cloudera.com/news-and-events/news/press-release-details/2020/Cloudera-Reports-First-Quarter-Fiscal-2021-Financial-Results/default.aspx)

 

No impact on my end (NEIV too high for a straddle and moves to much for a calendar), just an FYI

[FrankTheTank]

On 11/19/2020 at 9:39 PM, Djtux said:

I can add that to my long todo list

While you are at it

Can you add at T-15  straddle returns to the Return Scanner and make the same T-X columns but for Put Calendar returns?   I honestly think this is the most useful and undervalued part of your website as we can use it to zero in on potential candidates that may be good for a straddle, ratio, etc.    Having it for calendar returns to would be huge.   Thanks!   

[rigulator]

@FrankTheTank @Djtux I strongly support this petition!

[zxcv64]

@Djtux, following on from Frank's request, mine's is on the same Return Scanner.

 

When I am on page 2 (or any page > 1) and I click on one of the hyperlink numbers, I am quite rightly taken to the Return Matrix page for that stock. However, when I press the 'back' arrow, I am always taken pack to page 1 of the Return Scanner. Is it possible to be returned to the same page that we are in when we called the Return Matrix? Or, if it's easier, then when we click on one of the hyperlink numbers, then open a new window, rather than show the Return Matrix in the same window as where the user current is??

 

Edited November 26, 2020 by zxcv64

[Djtux]

On 11/26/2020 at 9:55 AM, FrankTheTank said:

While you are at it

Can you add at T-15  straddle returns to the Return Scanner and make the same T-X columns but for Put Calendar returns?   I honestly think this is the most useful and undervalued part of your website as we can use it to zero in on potential candidates that may be good for a straddle, ratio, etc.    Having it for calendar returns to would be huge.   Thanks!   

I can that too to the todo list, it's definitely doable.

On 11/26/2020 at 2:54 PM, zxcv64 said:

@Djtux, following on from Frank's request, mine's is on the same Return Scanner.

 

When I am on page 2 (or any page > 1) and I click on one of the hyperlink numbers, I am quite rightly taken to the Return Matrix page for that stock. However, when I press the 'back' arrow, I am always taken pack to page 1 of the Return Scanner. Is it possible to be returned to the same page that we are in when we called the Return Matrix? Or, if it's easier, then when we click on one of the hyperlink numbers, then open a new window, rather than show the Return Matrix in the same window as where the user current is??

 

I don't think it's possible to do what you suggest with the 'back' button. The only possibility is to force the browser to open a new window when you left click a hyperlink.

[gf58]

@Djtux I noticed that FDX have confirmed their earnings but they are missing from the earning dates feed....not sure but I could have sworn I'd seen it in the list last week.

[Djtux]

1 hour ago, gf58 said:

@Djtux I noticed that FDX have confirmed their earnings but they are missing from the earning dates feed....not sure but I could have sworn I'd seen it in the list last week.

The earning date feed only stores 3 weeks of confirmation history. I know there are some limitations.

[gf58]

1 hour ago, Djtux said:

The earning date feed only stores 3 weeks of confirmation history. I know there are some limitations.

Ah right. I've been using the left hand table as a 'paste into my watchlist' to figure out what was confirmed.

 

Is there any feasibility to have the left chart store until they're past the announcement (or a separate table for all currently confirmed?) If it simplifies the feature only symbol, earnings date and earning time are useful; I dont need the confirmation date.

[gf58]

Actually, scratch that @Djtux

 

I realized that I just asked for the currently existing and fully featured Scanner. *face palm*

[Yowster]

It's looks like the daily update didn't happen last night as the RV charts are showing Tuesday as the latest data point.

[Djtux]

59 minutes ago, Yowster said:

It's looks like the daily update didn't happen last night as the RV charts are showing Tuesday as the latest data point.

The scanner has the data from 12/09 but not the straddle rv page or the calendar rv page.
Strange, i'm looking at that.
Sorry for the inconvenience.

[Djtux]

2 hours ago, Djtux said:

The scanner has the data from 12/09 but not the straddle rv page or the calendar rv page.
Strange, i'm looking at that.
Sorry for the inconvenience.

I'm erasing the data from yesterday and reimporting the data.

[Djtux]

1 hour ago, Djtux said:

I'm erasing the data from yesterday and reimporting the data.

Should be fixed and back to normal now.

[Djtux]

21 hours ago, Djtux said:

The scanner has the data from 12/09 but not the straddle rv page or the calendar rv page.
Strange, i'm looking at that.
Sorry for the inconvenience.

It seems that i have the same problem for the data from 12/10. The task to import the data completed but the straddle/calendar rv are not up to date (not sure what's the root cause, i haven't changed anything recently).

I'm looking into that.

[Ringandpinion]

@Djtux I'm digging around trying to find trades and wondering what exactly is the non_earning_income_scanner or is there an explanation somewhere?

[Ringandpinion]

Calendar RV charts seem to be missing some data.  I was looking at STZ, JPM and GS.  Most of the lines are shortened like there was insufficient data.  Please advise.

[Djtux]

57 minutes ago, Ringandpinion said:

Calendar RV charts seem to be missing some data.  I was looking at STZ, JPM and GS.  Most of the lines are shortened like there was insufficient data.  Please advise.

I am not in front of a computer, but lost likely one of the expiry has only started to trade recently.

[Djtux]

On 12/11/2020 at 2:17 PM, Ringandpinion said:

@Djtux I'm digging around trying to find trades and wondering what exactly is the non_earning_income_scanner or is there an explanation somewhere?

This the related to the non earning income calculator which is based on @TrustyJules ratio trades.

See the thread&spreadsheet https://steadyoptions.com/forums/forum/topic/5168-the-rational-trader/?tab=comments#comment-117802

[FrankTheTank]

1 hour ago, Ringandpinion said:

Calendar RV charts seem to be missing some data.  I was looking at STZ, JPM and GS.  Most of the lines are shortened like there was insufficient data.  Please advise.

@Ringandpinion

 STZ looks okay to me.  What expirations were you looking at?   Also, can you try to run STZ on the intraday tracker as well?  I have been having issues with that symbol over there.

 

[Ringandpinion]

I reloaded the page in case I had a setting messed up, STZ seems to come out okay, I thought it was doing it too but now I'm not sure, I was looking at all three.   When trying to do GS and JPM, I get the following.

[Djtux]

1 hour ago, Ringandpinion said:

Calendar RV charts seem to be missing some data.  I was looking at STZ, JPM and GS.  Most of the lines are shortened like there was insufficient data.  Please advise.

For GS,

We can see that the expiry 2021-02-19 only started trading on Dec 17th :

 

[Djtux]

1 minute ago, Ringandpinion said:

When trying to do GS and JPM, I get the following.

Yes for JPM it's the same as GS, the Feb 19th 2021 expiry only started trading on Dec 17th.

That's why you only see 2 RV points for Dec 17th and Dec 18th and nothing before.

[Ringandpinion]

Then it is operator error.  I'm just now trying to start doing the calendars.  Obviously I need to work with the Calendar RV charts more to get the hang of it.  False alarm, sorry for the trouble.

[Djtux]

9 minutes ago, Ringandpinion said:

Then it is operator error.  I'm just now trying to start doing the calendars.  Obviously I need to work with the Calendar RV charts more to get the hang of it.  False alarm, sorry for the trouble.

That’s fine, better be safe than sorry. Sometimes it could be a bug also.

[Ringandpinion]

10 hours ago, FrankTheTank said:

@RingandpinionAlso, can you try to run STZ on the intraday tracker as well?  I have been having issues with that symbol over there.

Ooooopppsss!   I missed your question earlier today.  For what it's worth, I was having trouble with the gf58ometer today too, LoL.  I couldn't make anything work.  According to @gf58, it was just missing data chunks, but it was missing tons of them.  I tried STZ around about that time and drew a blank, then I kept reloading it and eventually got a graph.  My problems with VolHq were just a lack of knowledge on how to use it.  I'm trying to beat the calendars into submission and so far the calendars are winning.

[Yowster]

@Djtux You are probably already aware, but the straddle and calendar RV charts are missing yesterday's data.

[ixero@20]

18 minutes ago, Yowster said:

@Djtux You are probably already aware, but the straddle and calendar RV charts are missing yesterday's data.

I noticed this problem as well, but I think yesterday's data is actually there. 

It seems that Dec-31 is marked as a holiday, therefore all charts show pink today's vertical line one day later then it should be (if it shows that today is T-4, actually it means that today is T-5).  

[Yowster]

8 minutes ago, ixero@20 said:

I noticed this problem as well, but I think yesterday's data is actually there. 

It seems that Dec-31 is marked as a holiday, therefore all charts show pink today's vertical line one day later then it should be (if it shows that today is T-4, actually it means that today is T-5).  

I'm sure the data is missing, as I'm looking at some of the same charts that I looked at yesterday.  Dec31 is on the RV charts, as it should be because the market is open.  What are you looking at that shows Dec31 being a holiday?

[ixero@20]

21 minutes ago, Yowster said:

I'm sure the data is missing, as I'm looking at some of the same charts that I looked at yesterday.  Dec31 is on the RV charts, as it should be because the market is open.  What are you looking at that shows Dec31 being a holiday?

Hmm.. I can see Dec31 date now. Last night I was looking at return matrices and I believe I didn't see Dec-31 entry/exit days, Dec-30 was followed by Jan-4. So I thought OK, this explains why RV charts have a blank day.

 

And yes, my bad. I agree now that yesterday's data is missing. I cross-checked RV chart vs gf58's real time tool and can see the missing day. 

Edited December 30, 2020 by ixero@20

[Djtux]

1 hour ago, Yowster said:

@Djtux You are probably already aware, but the straddle and calendar RV charts are missing yesterday's data.

Thanks for reporting. It seems it’s the same issue as few weeks ago. The data is imported but the rv charts are not up to updated. I wasn’t able yet to understand the root cause (can’t reproduce outside the production environment), and there were no changes in my code that could explain that.

I’m forcing the reimport to see if that fixes the issue for yesterday’s data.

[Guest rdx]

I was looking at GS straddle return matrix and according to the matrix T-0 is on 2021-01-15, but the earnings date is 2021-01-19. Is it a bug or I am missing something?   

[zxcv64]

3 minutes ago, rdx said:

I was looking at GS straddle return matrix and according to the matrix T-0 is on 2021-01-15, but the earnings date is 2021-01-19. Is it a bug or I am missing something? 

The markets are closed on Mon 18-Jan as it is the MLK national holiday, so T-0 is actually Fri 15-Jan-21. The above return matrix is correct.

 

Edit: It doesn't happen very often that a company reports earnings on the first morning after a weekend. This is the first I've seen it. It's probably also the reason why cals may not be very suitable for GS for this cycle.

 

 

Edited January 7, 2021 by zxcv64

[Ringandpinion]

I was reviewing AMZN, TOS and Earnings Whispers both have the earnings date of 2/2 amc.  VolHQ shows 1/28 amc.  Double checked AMZN investor site, 2/2 2:30 PM PT.

Edited January 19, 2021 by Ringandpinion
Amazon site

[Djtux]

27 minutes ago, Ringandpinion said:

I was reviewing AMZN, TOS and Earnings Whispers both have the earnings date of 2/2 amc.  VolHQ shows 1/28 amc.  Double checked AMZN investor site, 2/2 2:30 PM PT.

Yes it should get updated in a few hours tonight.

Amazon announced it at 4:01pm today :

https://press.aboutamazon.com/news-releases/news-release-details/amazoncom-webcast-fourth-quarter-2020-financial-results

[mack611]

 

Hi @Djtux - I'm looking at this page

https://www.volatilityhq.com/backtester/calendar/?symbol=CVS&start_date=2019-01-21&option_type=Call&short_leg_type=Before&nbweeks=1&average_or_median=median&force_monthly=No&show_stock_diff=&reference_t=&submit=Run+backtest

It says it could not find the needed expiries. The needed expires are 2021-02-12 and 2021-02-19, which have been available for trading for a while. Can you see if there is an issue?

 

 

Edited January 21, 2021 by mack611

[Djtux]

56 minutes ago, mack611 said:

It says it could not find the needed expiries. The needed expires are 2021-02-12 and 2021-02-19, which have been available for trading for a while. Can you see if there is an issue?

I think it’s because of the Monday holiday which makes the 02/12 expiry invalid in the code. Not sure why.

The 2w calendar seems to be working though.

[Abhijit]

could someone tell me how to get this heatmap view in volatilityhq?

 

[cuegis]

10 minutes ago, Abhijit said:

could someone tell me how to get this heatmap view in volatilityhq?

 

Go into the category "Beta" and choose "Return Matrix"

[cuegis]

Is there anyway to run a straddle/strangle using normal calendar dates instead?

i.e. both expiries occur after earnings.

[Djtux]

7 hours ago, cuegis said:

Is there anyway to run a straddle/strangle using normal calendar dates instead?

i.e. both expiries occur after earnings.

What do you mean by straddle/strangle ? The strangle expiries are before the straddle ?

Like 2 diagonal spreads with calls and puts ?

[FrankTheTank]

What is the formula for Call Cal RV Rise and Put Cal. RV Rise?    I cannot seem to match these numbers up with the charts.  Here is DIS as an example which shows Put Cal. RV Rise as negative 32.41% making me think it would be a bad trading candidate but looking at the charts it seems to have a positive RV rise.   Thanks.

 

[cuegis]

15 hours ago, Djtux said:

What do you mean by straddle/strangle ? The strangle expiries are before the straddle ?

Like 2 diagonal spreads with calls and puts ?

Having the strangle expire before earnings is one way. Another way is to have both expirations post earnings, similar to earnings calendar dates.

There is always a give and take. You give up some gamma and receive high IV, post earnings, premiums to offset RV declines.

I don't know how this would play out which is why I was looking for data to test the idea.

I thought there might be a date adjustment that could be made to have a look.

For example, in the calendar section, you provide the ability to choose "before" and "after" for the short leg.