volatilityhq.com Official Thread

[Djtux 548]

10 hours ago, FrankTheTank said:

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.

 

It's the change from T-15 and T-14 for the current cycle.

See https://steadyoptions.com/forums/forum/topic/3885-volatilityhqcom-official-thread/?do=findComment&comment=142956

and https://steadyoptions.com/forums/forum/topic/3885-volatilityhqcom-official-thread/?page=9&tab=comments#comment-122923

It was asked to monitor the RV of a calendar that dropped by a lot from the previous day to check if the stock could be cheaper.

A different metric would be needed to get the slope of the median RV rise by fitting with a linear regression for example. I don't have that yet.

[Djtux 548]

8 hours ago, cuegis said:

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.

 

Is it question about the https://www.volatilityhq.com/backtester/non_earning_income_calculator/ ?

Or are you talking about RV charts ? The RV chart for straddle account for the strangle by reducing the RV of the straddle by 5.5% (for example) per strangle cycle. It's a sort of rule of thumb but it's not looking at real actual strangle data.

[FrankTheTank 839]

@Djtux

Can you remind me again how IV for your straddle IV chart is calculated?  Are you averaging the IV for each leg together (closest to ATM), or, are you looking at the full option chain and pulling IV from that?
 

 

[Ringandpinion 1,657]

@Djtux I've been using the "Return Scanner" to look for straddles, which recently has worked pretty good.  Until the last week or so.  But I have yet to come up with a technique for using it to hunt for calendars.  I've tried looking for big losers on the 50D calls or puts and a few other things but none of them correlated to a good return matrix when I looked them up the way the straddles often do.  Any suggestions?

[Djtux 548]

27 minutes ago, FrankTheTank said:

Are you averaging the IV for each leg together (closest to ATM

This. So each day it might be a different strike.

[FrankTheTank 839]

@Djtux

Can you check on your calculations for Put calendar median RV at T-0 for GPS?  This is what I see in the scanner:

 

This is what I see in the chart:

 

 

Thank you.

 

 

[Djtux 548]

1 hour ago, FrankTheTank said:

@Djtux

Can you check on your calculations for Put calendar median RV at T-0 for GPS?  This is what I see in the scanner:

 

This is what I see in the chart:

 

 

Thank you.

 

 

You need to select only the earnings cycle for the last 2 years.

[FrankTheTank 839]

Doh.  Thanks. 

[White_Oak 100]

Quick question. Can you tell me, how to generate below type of chart using volatilityhq tool ?

 

[Yowster 9,180]

9 minutes ago, Alok said:

Quick question. Can you tell me, how to generate below type of chart using volatilityhq tool ?

It's part of the straddle suite of charts, but you have to enable it via "adavanced options"...

[White_Oak 100]

4 minutes ago, Yowster said:

It's part of the straddle suite of charts, but you have to enable it via "adavanced options"...

Aha.. I knew it must be somewhere in Straddle suite but I was not able to find it. It was hiding in a drop down!  Thanks.

Now I can see why you are expecting BBY to increase by T-0.

 

 

 

[FrankTheTank 839]

@Djtux

I am sorry it took me this long to get you a mockup of what I was asking for a few weeks ago.   Basically I find the most value in hunting for underpriced low RV calendars and the scanner tool is great but it defaults to the monthly expiration so some of the results may be 1-week calendar spreads and some may be 4 week spreads and we are often missing some truly good/underpriced calendars because of this feature.   

 

Here is a rough example of what I was hoping for: 

 

The formatting does not really matter and if calculating current RV is a problem it would be great just to have the terminal T-0 RVs for each calendar spread.

 

I believe you already have all of this data in your database because we can generate these 1, 2, 3 week calendar spreads even before earnings are announced.   If we could get a new reporting tool under the beta section to show something like this it would be super helpful or even added to the very end of the existing scanner would work too.  Whatever is easier for you.  

 

I am happy to pay more for this or start up a collection around here

 

Thanks

Edited February 15, 2021 by FrankTheTank

[zxcv64 771]

@Djtux, as if you haven't already got enough on your plate, I'd like to throw another item on your to-do list, when you have time :

 

On the 'Earnings Feed' page, we see a dump of all the tickers which have recently announced/confirmed earnings :

 

Is it possible to add some filters on this page like the ones you have on the Scanner page so that we can reduce the above data to only those tickers that meet our criteria (eg have weeklies etc) :

Edited February 19, 2021 by zxcv64

[Djtux 548]

5 hours ago, zxcv64 said:

Is it possible to add some filters on this page like the ones you have on the Scanner page so that we can reduce the above data to only those tickers that meet our criteria (eg have weeklies etc) :

Do the 2 columns below fit your need ? First one says if the earning date is confirmed, second one gives the date when it was first confirmed.
 

[zxcv64 771]

18 hours ago, Djtux said:

Do the 2 columns below fit your need ? First one says if the earning date is confirmed, second one gives the date when it was first confirmed.

Yes, I didn't think of using these - this would work just fine (if these columns are updated as soon as the 'Earnings feed' page is updated with the latest confirmations).

 

Thanks.

 

[YVRFlyGuy 31]

@Djtux

I'm wondering if you can help me understand a difference I'm observing between the straddle IV's shown on your charts and the IV's I'm seeing with IB and what I get when calculating the IV backwards from the straddle prices you are showing for each day?

Here is the IV chart for BYND which reported earning yesterday. It shows a T-0 IV of 460% for the $144 straddle expiring on Feb 26.

The straddle price is shown elsewhere as $17.33 with spot at $143.75. Using those parameters my calculation of the ATM straddle IV comes out to about 238%.  Using IB's Implied Volatility Viewer I get a similar value of 235% for the Feb 25 close and that's consistent with what I observed while trading BYND near the close. So I'm wondering how the 460% IV in the chart was arrived at.

I did up a little spreadsheet for BYND to compare the IVs in the chart versus my calculated ones and it looks like there's a similar difference throughout. The formula I'm using for the comparison is IV = (Straddle Price (Extrinsic part) *20) / (Stock Price * Sqrt (T)) where T is time expressed as the number of trading days left until expiry.

Thanks for any info.

 

 

[Djtux 548]

@YVRFlyGuy yes i agree that the iv that i retrieve from the data provider is a little bit strange for bynd for that last day.

[YVRFlyGuy 31]

@Djtux With the scanner function is it possible to add columns that would show what strikes were used to compute the straddle and calendar prices?

[Djtux 548]

34 minutes ago, YVRFlyGuy said:

@Djtux With the scanner function is it possible to add columns that would show what strikes were used to compute the straddle and calendar prices?

Yes i can add that to my todo list.

[YVRFlyGuy 31]

Thanks!

[nrexpress 32]

@Yowster

Do you mind sharing your VolatilityHQ settings for the most recent MLHR strangle to get the chart that you showed?  Did you change anything in the Advanced Options or did you just zoom on that particular graph?

 

Thanks in advance.

Edited March 13, 2021 by nrexpress

[Yowster 9,180]

3 hours ago, nrexpress said:

@Yowster

Do you mind sharing your VolatilityHQ settings for the most recent MLHR strangle to get the chart that you showed?  Did you change anything in the Advanced Options or did you just zoom on that particular graph?

 

Thanks in advance.

I just zoomed in on that section of the graph, but I do prefer to have my charts set to "average" (not "median") - it's just a personal preference.

[nrexpress 32]

6 hours ago, Yowster said:

I just zoomed in on that section of the graph, but I do prefer to have my charts set to "average" (not "median") - it's just a personal preference.

Perfect. Thanks.

[Ringandpinion 1,657]

@Djtux On the return matrix for calendars, what is the setting for distance between expirations.  It is adjustable in the RV chart, but not in the matrix.

[FrankTheTank 839]

Just now, Ringandpinion said:

@Djtux On the return matrix for calendars, what is the setting for distance between expirations.  It is adjustable in the RV chart, but not in the matrix.

I think I had asked him before and it defaults to whatever is being shown in the screener (i.e. the short leg being after earnings and the long leg being the next monthly expiration).  Being able to fine tune the scanner for calendars and for backtesting would be so great but I suspect a lot of work for djtux.  

[Ringandpinion 1,657]

There is a good difference in price between put and call calendars on this.  I've been told/read/shown that put and call calendars are synthetically equivalent with the exception of Rho, which doesn't come in to play these days with interest rates so low.  So do you just choose on the basis of which calendar is cheaper?  It seems I read somewhere that the put calendar has a slight advantage but I can't find where I read it.

Edited March 16, 2021 by Ringandpinion
Wrong topic, moving to ACN topic

[nrexpress 32]

@DjtuxI just pulled up the IV tab on VolatilityHQ.  I typed in SPY as the symbol.  I see that the IV30 and VIX are very different.  I had previously thought that VIX (being a 30 day as opposed to VSTN/VXST) was the IV30 for SPY.  Can you share briefly what the difference is between IV30 for SPY and VIX?  Thanks in advance.

Edited March 16, 2021 by nrexpress

[Djtux 548]

19 minutes ago, nrexpress said:

@DjtuxI just pulled up the IV tab on VolatilityHQ.  I typed in SPY as the symbol.  I see that the IV30 and VIX are very different.  I had previously thought that VIX (being a 30 day as opposed to VSTN/VXST) was the IV30 for SPY.  Can you share briefly what the difference is between IV30 for SPY and VIX?  Thanks in advance.

The IV30 is coming from my data provider, and is using the old VIX style calculation.

For the new VIX, it's using SPX options and it uses a different approach (variance swap using the option prices directly instead of BS IV) so that the VIX is model independent.

Some references :

• https://quant.stackexchange.com/questions/25157/how-was-the-old-vix-calculated
• http://www.risklab.es/es/seminarios/pasados/mayo2004-1.pdf

 

[nrexpress 32]

13 minutes ago, Djtux said:

The IV30 is coming from my data provider, and is using the old VIX style calculation.

For the new VIX, it's using SPX options and it uses a different approach (variance swap using the option prices directly instead of BS IV) so that the VIX is model independent.

Some references :

• https://quant.stackexchange.com/questions/25157/how-was-the-old-vix-calculated
• http://www.risklab.es/es/seminarios/pasados/mayo2004-1.pdf

 

Thank you for this info and the links.

[nrexpress 32]

@Djtux I am supposed to know this -- but I can't find the post where it tells what the blue dotted line that shows RV on a Straddle chart -- on the top chart.  I think I know what it means on the second chart -- 100% less than the "credit received for short strangle".  So I am trying to figure out what the line itself means or at least what you personally use it for.

thanks.

Edited March 17, 2021 by nrexpress

[Djtux 548]

12 minutes ago, nrexpress said:

@Djtux I am supposed to know this -- but I can't find the post where it tells what the blue dotted line that shows RV on a Straddle chart -- on the top chart.  I think I know what it means on the second chart -- 100% less than the "credit received for short strangle".  So I am trying to figure out what the line itself means or at least what you personally use it for.

thanks.

The idea came around all the posts around here https://steadyoptions.com/forums/forum/topic/3885-volatilityhqcom-official-thread/?do=findComment&comment=82272

That is used to trade this strategy : https://steadyoptions.com/forums/forum/topic/3732-short-strangles/

You use that line to evaluate if selling multiple rounds of strangle could help offset the theta loss on the straddle.

[nrexpress 32]

2 minutes ago, Djtux said:

The idea came around all the posts around here https://steadyoptions.com/forums/forum/topic/3885-volatilityhqcom-official-thread/?do=findComment&comment=82272

That is used to trade this strategy : https://steadyoptions.com/forums/forum/topic/3732-short-strangles/

You use that line to evaluate if selling multiple rounds of strangle could help offset the theta loss on the straddle.

OHHH -- multiple rounds of strangle.  So I guess that is why the blue RV line doesn't exactly equal 5.5 (default setting) unless there is only time left for one round of strangle?  That makes sense.  Thanks so much.  I don't think about the possibility of doing multiple short strangles on one long straddle/strangle.

[nrexpress 32]

@DjtuxI pulled up BB on the Straddle chart.  The red vertical line drawn for earnings is 3/25.  However at the top of the screen, source #6 shows 3/30 and confirmed.  Will the vertical line change once all 3 sources are confirmed?

[Djtux 548]

10 hours ago, nrexpress said:

@DjtuxI pulled up BB on the Straddle chart.  The red vertical line drawn for earnings is 3/25.  However at the top of the screen, source #6 shows 3/30 and confirmed.  Will the vertical line change once all 3 sources are confirmed?

Should be up to date now.

[nrexpress 32]

@DjtuxI really like your site and am trying to get the best out of it.  Like the others on here who have been long term successes, I am trying to find my own trades and see if @Kim and @Yowster end up doing trades in the same underlying.  Therefore, I am hoping you could help me see what I am doing wrong.

I've been seeing some stocks that show an RV that is increasing on the return matrix, but then show a totally different view on the Straddle.  For this example, I'll use PVH:

Here is the Return Matrix showing a gain for every RV of the last 8 cycles if entering on T2 and exiting on T0.

However, if I go to the Straddle Chart, I seem to show a very different picture, where 4 of the cycles finished negative and one finished practically unchanged. Because of the differing picture, then the median line also shows negative.  I could understand if I was looking at the IV -- but my understanding is that I am comparing RV to RV with the same cycles (on the straddle I purposely left in the "outlier" of 4/1/2020 that I would normally exclude,  since it is included in the Return Matrix -- just for a better apples to apples comparison).

 

Therefore, I am trying to figure out what I am doing wrong here.  Any suggestions would be appreciated.  Again thanks for the great tool -- enjoying learning it.

[Yowster 9,180]

42 minutes ago, nrexpress said:

Therefore, I am trying to figure out what I am doing wrong here.  Any suggestions would be appreciated.  Again thanks for the great tool -- enjoying learning it.

Remember that the straddle RV chart is kind of a worst case picture because it assumes zero stock price movement (each day used the current ATM strike to compute the RV).   So if the stock price moves you'll have some gamma gains on the stock price movement.   And PVH had some decent stock price movement in prior cycles over the last few days as shown in this chart..

 

I actually looked at this PVH straddle or strangle for an official trade, but the bid/ask spreads are pretty wide so I was on the fence about using it or not.

[FrankTheTank 839]

@nrexpress  You are on the right track..  PVH is a good straddle and I just closed out of my position for a good profit.

The mistake you made was looking at the return matrix and thinking that it was showing RV changes.   The return matrix (top chart) show actual pnl % of the straddle (not RV).   As Yowster said, RV does not equal pnl  and the RV charts show 'worst case scenario'  

[nrexpress 32]

@Yowster, @FrankTheTank  Thanks for your responses -- that helps a lot.  I'll have to digest both of your thoughts and look at some more charts before I ask more questions.

Edited March 25, 2021 by nrexpress

[nrexpress 32]

@Yowsteri do recall reading @Kim saying that the straddle chart was the worst case scenario. I didn’t know if that was a typo before or just something I didn’t understand.  Now I realise I just didn’t understand that statement.  It also helped that I read elsewhere in a recent statement that RV is calculated off the strike price and not the stock price.  Therefore if the ATM strike changes, it could make a difference in the RV. 
I didn’t realize previously that the return matrix used a static RV on the T day and then tracked that exact straddle (even if it is no longer atm on subsequent days) through the life, while the straddle chart only shows the pricing of the current ATM on each day and doesn’t track the movement of one straddle.  Now it makes sense — if the straddle chart tracked each day’s straddle price, then you would have to have 30 straddle charts for t30.  
 

I wrote out my thoughts so that it might help out others who may have misunderstood it like I did.  
 

Again thanks @Yowster and @FrankTheTank.  This right here is the value of this community.  We aren’t really buying an alert service to use. We are buying a community that also has an alert service to show us a dozen examples a month of how to put it into action.  That is much more valuable to me — to empower me to be independent rather than ‘hook’ me on a service that keeps me continually dependent on someone else.  

[Yowster 9,180]

@Djtux Just a thought, whenever I pull up a straddle chart the y-axis and averages/medians gets skewed by the sky high VIX cycles of last March thru July.   So, I always wind up exculding those cycles.   I'm wondering if you could add an exculsion by default for those cycles as I think many users are doing exactly what I am doing.   They could always go into advanced setting an un-exclude them if they would like.

[rasar 1,998]

8 minutes ago, Yowster said:

@Djtux Just a thought, whenever I pull up a straddle chart the y-axis and averages/medians gets skewed by the sky high VIX cycles of last March thru July.   So, I always wind up exculding those cycles.   I'm wondering if you could add an exculsion by default for those cycles as I think many users are doing exactly what I am doing.   They could always go into advanced setting an un-exclude them if they would like.

I was thinking about this, and came to realize that even though the sky-high values appear to be anomalies, in reality, they were not binary events. That is, given that those high values happened, and that they progressively decreased towards the normal-times lower values with each successive cycle,  it would make sense to actually leave them in the mean table. That would seem to provide a more relevant mean trend.

As for the median chart, I agreee that it gets skewed by those cycles. However, rather than remove them from consideration, there should be some mathemagical method to integrate that information.

Edited March 31, 2021 by rasar
typo

[YVRFlyGuy 31]

1 minute ago, Yowster said:

@Djtux Just a thought, whenever I pull up a straddle chart the y-axis and averages/medians gets skewed by the sky high VIX cycles of last March thru July.   So, I always wind up exculding those cycles.   I'm wondering if you could add an exculsion by default for those cycles as I think many users are doing exactly what I am doing.   They could always go into advanced setting an un-exclude them if they would like.

That idea would cause some significant problems for how I use the data, so my request would be to please not do it. Automatically excluding cycles within certain time frames would screw up a lot of calculations I make that rely on all of the presented data being available. If you start automatically cutting out a cycle or cycles from every underlying then different parts of the data will be removed for different underlyings making them much harder to compare to each other. I understand that it is a question of either way somebody has to go and manually select or deselect elements of the dataset they want to see or hide, but the default should remain that all the available data is presented unless the user selects otherwise.

[Yowster 9,180]

8 minutes ago, YVRFlyGuy said:

That idea would cause some significant problems for how I use the data, so my request would be to please not do it. Automatically excluding cycles within certain time frames would screw up a lot of calculations I make that rely on all of the presented data being available. If you start automatically cutting out a cycle or cycles from every underlying then different parts of the data will be removed for different underlyings making them much harder to compare to each other. I understand that it is a question of either way somebody has to go and manually select or deselect elements of the dataset they want to see or hide, but the default should remain that all the available data is presented unless the user selects otherwise.

Note that I'm not saying to remove the data, to me this is simply something to make the straddle RV chart more viewable when it first appears.   Right now, when you pull up a straddle RV chart it is dominated by the cycles when VIX was 40+ and all the data you really care about is scrunched up at the bottom because the Y-axis includes those sky high VIX cycle(s).   The data would still shows up as a dotted line and you could easily unexclude it.   Maybe a compromise would be to include the data but don't factor it into the y-axis scale calculation.

 

When looking at straddle RV, that data from sky high VIX is such an outlier that it has zero bearing on current cycle RV analysis.   If others are using that data then I'm ok with withdrawing my request and continuing to do my manual exclusion every time.   That said, I'd be interested in hearing how somebody is using data from when VIX was 40, 50 or 60 to analyze a current trade setup now that market volatility is getting back to more normal levels.

[cuegis 683]

Would it be possible to have the return matrix run something that was changed in advanced inputs?

Specifically, under calendars, when you go into advanced inputs and change "short leg expiry" to "before" earnings.

Can those results be viewed in the return matrix?

[YVRFlyGuy 31]

5 minutes ago, Yowster said:

Note that I'm not saying to remove the data, to me this is simply something to make the straddle RV chart more viewable when it first appears.   Right now, when you pull up a straddle RV chart it is dominated by the cycles when VIX was 40+ and all the data you really care about is scrunched up at the bottom because the Y-axis includes those sky high VIX cycle(s).   The data would still shows up as a dotted line and you could easily unexclude it.   Maybe a compromise would be to include the data but don't factor it into the y-axis scale calculation.

 

When looking at straddle RV, that data from sky high VIX is such an outlier that it has zero bearing on current cycle RV analysis.   If others are using that data then I'm ok with withdrawing my request and continuing to do my manual exclusion every time.   That said, I'd be interested in hearing how somebody is using data from when VIX was 40, 50 or 60 to analyze a current trade setup now that market volatility is getting back to more normal levels.

Not everyone is using the data being presented in the same ways. Every time you make an entry the webpage creates a dataset that is then used to generate the charts you see. Some users will be more interested in the data itself rather than how the specific charts are presented. The dataset that is generated is changed by each of the selections relating to the advanced options available. If the user wants the data to be generated from a fixed date forward or for a fixed T-x period that can be selected once in the advanced options and will then be fixed for any future queries during a session. But if the system were to automatically exclude certain cycles then for every query that would require the user to go in manually and scroll through the list of cycles to find the excluded cycles and then reselect them. I agree that that is the problem whether the question is if you want to see the cycles or you don't, I just don't think that the default should be that some variable portion of the data should be excluded unless the user intervenes to get it included.

[rasar 1,998]

19 minutes ago, Yowster said:

Maybe a compromise would be to include the data but don't factor it into the y-axis scale calculation.

Yes, that would be good.

[Paul 328]

I agree, the charts are hard to read.  A solution would be appreciated.

[Djtux 548]

Thank you all for the feedbacks, that helps.

Just for my knowledge of what's expected : how would you define the automatic filter ?

• Hide a cycle if the VIX is above a level (say 40 that could be configured) at any time during that cycle ?
• Do you want to just hide that cycle ? Or also remove that cycle from the average RV and the median RV ? Or support both behavior ?

Note that i can do a combinaison of default "advanced" settings in the RV chart page to override the default behaviour that we decide.

Also i can potentially add a default settings in the user profile page so that each user has its own preference.

[Yowster 9,180]

In thinking about this more, I think a permanent "user profile" would resolve this for everyone.  Have some of the advanced settings saved per user, things like median vs average or "show stock price change"  - that way you wouldn't have to change things each time you login.  If this were available, a date range (or VIX range) to exclude by default could then be another user profile option that is saved.

 

This discussion also makes me curious about something, I'd like to know some use cases where people are using the straddle data from the sky high VIX cycles?    Other than showing how high prices can get when the VIX goes wild, or how big the spikes up/down can be when VIX gets to those high levels, I don't really see how that data can be used in the analysis of current trades you are thinking about putting on.   To me, when doing current trade analysis, those cycles work against me by skewing RV tendencies to make them look much better or much worse than what to expect during periods of normal market volatility.   As backtesting data I see how you would want to include that data as down market scenarios, but I'm more interested in seeing if anyone is using that data to analyze a trade they are looking at putting on now.

[Djtux 548]

7 minutes ago, Yowster said:

In thinking about this more, I think a permanent "user profile" would resolve this for everyone. 

That was my thinking as well.

The only problem i see is that the scanner is done for everyone using the same default settings.

I can't run the scanner with all the combinations, it's too time consuming.