volatilityhq.com Official Thread

[BW.SQL 10]

@Djtux Hey, I am relatively new to SO and new to your VolHQ site. If I add symbols to my white list, will I get notifications about them when they confirm earnings? Also, what is the symbols blacklist?

 

I am sorry if you already answered this is in the VolHq forum and I missed it!

[Bagelbean33 3]

Hello @Djtux (or anybody else who may know). Is there a way to see when an earnings announcement date was confirmed for previous cycles on VolHQ?

Thanks 

[Djtux 545]

On 3/29/2024 at 1:20 PM, BW.SQL said:

@Djtux Hey, I am relatively new to SO and new to your VolHQ site. If I add symbols to my white list, will I get notifications about them when they confirm earnings? Also, what is the symbols blacklist?

 

I am sorry if you already answered this is in the VolHq forum and I missed it!

This is mainly for the scanner to select which symbols you want to see or which symbols you want to exclude. No notifications.

1 hour ago, Bagelbean33 said:

Hello @Djtux (or anybody else who may know). Is there a way to see when an earnings announcement date was confirmed for previous cycles on VolHQ?

Thanks 

This is not available for the moment.

[User0071 0]

Hi,

Is the coupon still valid? I tried to sign up and it was an error.

[Djtux 545]

17 hours ago, User0071 said:

Hi,

Is the coupon still valid? I tried to sign up and it was an error.

Try SO502406

[Jerry F 7]

SO502406 doesn't work.  I just tried it a couple of times.  Unless I'm doing something wrong...it returns "Invalid Code"

[Djtux 545]

35 minutes ago, Jerry F said:

SO502406 doesn't work.  I just tried it a couple of times.  Unless I'm doing something wrong...it returns "Invalid Code"

Can you please try again? It should work now.

[Jerry F 7]

Update: I got it to work.  I went back to the first post in this thread and used that link and it automatically applied the code.  For whatever reason, it wouldn't apply the code using the normal subscribe process on the website.  (https://www.volatilityhq.com/payments/confirm/1/)

Thank you for your help...and the for the discount @Djtux

[kitsos 66]

Guys if someone could help me with this problem i have. I am currently learning a little python code, and tried to simulate the Straddle RV Charts. This is the AAPL RV chart for earnings date 2024-02-01 from volatilityHQ:

and this is my chart:

As you can see the differences are beyond obvious. My frustration is that although the data is checked and i think the calculations are correct (concerning the RV Calculation) I get totally different results. These are my calculations that resulted in my line chart. Does anybody notice something wrong here?

 

04/10/2024 09:04:10 PM - root - DEBUG - Closest expiration date identified: 2024-02-02
04/10/2024 09:04:10 PM - root - DEBUG - Closest expiration date after 2024-02-01: 2024-02-02
04/10/2024 09:04:10 PM - root - DEBUG - Filtered calls and puts for closest expiration date: 2024-02-02, Calls: 43, Puts: 43
04/10/2024 09:04:10 PM - root - DEBUG - Selected ATM Call: AAPL240202C00185000, ATM Put: AAPL240202P00185000
04/10/2024 09:04:10 PM - root - DEBUG - Calculated straddle cost: 9.81 for earnings date: 2024-02-01
04/10/2024 09:04:10 PM - root - DEBUG - Calculated RV: 0.05 for earnings date: 2024-02-01
04/10/2024 09:04:10 PM - root - DEBUG - AAPL Last Quote Price for T-20: 184.25 
Trading Date for T-20: 2024_01_03 
ATM Call Symbol for T-20: AAPL240202C00185000 
ATM Call Last Price for T-20: 4.98 
ATM Put Symbol for T-20: AAPL240202P00185000 
ATM Put Last Price for T-20: 4.83 
Straddle Cost for T-20: 9.81 
RV for T-20: 0.0532 

04/10/2024 09:04:10 PM - root - DEBUG - Processing trading day: 2024_01_04
04/10/2024 09:04:11 PM - root - DEBUG - Trading Date for T-19: 2024_01_04 
ATM Call Symbol for T-19: AAPL240202C00185000 
ATM Call Last Price for T-19: 3.75 
ATM Put Symbol for T-19: AAPL240202P00185000 
ATM Put Last Price for T-19: 5.8 
last  Quote Price for T-19: 181.91 
Straddle Cost for T-19: 9.55 
RV for T-19: 0.0525 

04/10/2024 09:04:11 PM - root - DEBUG - Processing trading day: 2024_01_05
04/10/2024 09:04:11 PM - root - DEBUG - Trading Date for T-18: 2024_01_05 
ATM Call Symbol for T-18: AAPL240202C00185000 
ATM Call Last Price for T-18: 3.23 
ATM Put Symbol for T-18: AAPL240202P00185000 
ATM Put Last Price for T-18: 6.25 
last  Quote Price for T-18: 181.18 
Straddle Cost for T-18: 9.48 
RV for T-18: 0.0523 

04/10/2024 09:04:11 PM - root - DEBUG - Processing trading day: 2024_01_08
04/10/2024 09:04:11 PM - root - DEBUG - Trading Date for T-17: 2024_01_08 
ATM Call Symbol for T-17: AAPL240202C00185000 
ATM Call Last Price for T-17: 5.33 
ATM Put Symbol for T-17: AAPL240202P00185000 
ATM Put Last Price for T-17: 4.0 
last  Quote Price for T-17: 185.56 
Straddle Cost for T-17: 9.33 
RV for T-17: 0.0503 

04/10/2024 09:04:11 PM - root - DEBUG - Processing trading day: 2024_01_09
04/10/2024 09:04:11 PM - root - DEBUG - Trading Date for T-16: 2024_01_09 
ATM Call Symbol for T-16: AAPL240202C00185000 
ATM Call Last Price for T-16: 5.0 
ATM Put Symbol for T-16: AAPL240202P00185000 
ATM Put Last Price for T-16: 4.15 
last  Quote Price for T-16: 185.14 
Straddle Cost for T-16: 9.15 
RV for T-16: 0.0494 

04/10/2024 09:04:11 PM - root - DEBUG - Processing trading day: 2024_01_10
04/10/2024 09:04:12 PM - root - DEBUG - Trading Date for T-15: 2024_01_10 
ATM Call Symbol for T-15: AAPL240202C00185000 
ATM Call Last Price for T-15: 5.5 
ATM Put Symbol for T-15: AAPL240202P00185000 
ATM Put Last Price for T-15: 3.65 
last  Quote Price for T-15: 186.19 
Straddle Cost for T-15: 9.15 
RV for T-15: 0.0491 

04/10/2024 09:04:12 PM - root - DEBUG - Processing trading day: 2024_01_11
04/10/2024 09:04:12 PM - root - DEBUG - Trading Date for T-14: 2024_01_11 
ATM Call Symbol for T-14: AAPL240202C00185000 
ATM Call Last Price for T-14: 5.03 
ATM Put Symbol for T-14: AAPL240202P00185000 
ATM Put Last Price for T-14: 3.8 
last  Quote Price for T-14: 185.59 
Straddle Cost for T-14: 8.83 
RV for T-14: 0.0476 

04/10/2024 09:04:12 PM - root - DEBUG - Processing trading day: 2024_01_12
04/10/2024 09:04:12 PM - root - DEBUG - Trading Date for T-13: 2024_01_12 
ATM Call Symbol for T-13: AAPL240202C00185000 
ATM Call Last Price for T-13: 4.8 
ATM Put Symbol for T-13: AAPL240202P00185000 
ATM Put Last Price for T-13: 3.65 
last  Quote Price for T-13: 185.92 
Straddle Cost for T-13: 8.45 
RV for T-13: 0.0454 

04/10/2024 09:04:12 PM - root - DEBUG - Processing trading day: 2024_01_16
04/10/2024 09:04:12 PM - root - DEBUG - Trading Date for T-12: 2024_01_16 
ATM Call Symbol for T-12: AAPL240202C00185000 
ATM Call Last Price for T-12: 3.8 
ATM Put Symbol for T-12: AAPL240202P00185000 
ATM Put Last Price for T-12: 4.65 
last  Quote Price for T-12: 183.63 
Straddle Cost for T-12: 8.45 
RV for T-12: 0.0460 

04/10/2024 09:04:12 PM - root - DEBUG - Processing trading day: 2024_01_17
04/10/2024 09:04:13 PM - root - DEBUG - Trading Date for T-11: 2024_01_17 
ATM Call Symbol for T-11: AAPL240202C00185000 
ATM Call Last Price for T-11: 3.35 
ATM Put Symbol for T-11: AAPL240202P00185000 
ATM Put Last Price for T-11: 5.2 
last  Quote Price for T-11: 182.68 
Straddle Cost for T-11: 8.55 
RV for T-11: 0.0468 

04/10/2024 09:04:13 PM - root - DEBUG - Processing trading day: 2024_01_18
04/10/2024 09:04:13 PM - root - DEBUG - Trading Date for T-10: 2024_01_18 
ATM Call Symbol for T-10: AAPL240202C00185000 
ATM Call Last Price for T-10: 6.55 
ATM Put Symbol for T-10: AAPL240202P00185000 
ATM Put Last Price for T-10: 2.45 
last  Quote Price for T-10: 188.63 
Straddle Cost for T-10: 9.00 
RV for T-10: 0.0477 

04/10/2024 09:04:13 PM - root - DEBUG - Processing trading day: 2024_01_19
04/10/2024 09:04:13 PM - root - DEBUG - Trading Date for T-9: 2024_01_19 
ATM Call Symbol for T-9: AAPL240202C00185000 
ATM Call Last Price for T-9: 8.45 
ATM Put Symbol for T-9: AAPL240202P00185000 
ATM Put Last Price for T-9: 1.54 
last  Quote Price for T-9: 191.56 
Straddle Cost for T-9: 9.99 
RV for T-9: 0.0522 

04/10/2024 09:04:13 PM - root - DEBUG - Processing trading day: 2024_01_22
04/10/2024 09:04:13 PM - root - DEBUG - Trading Date for T-8: 2024_01_22 
ATM Call Symbol for T-8: AAPL240202C00185000 
ATM Call Last Price for T-8: 10.25 
ATM Put Symbol for T-8: AAPL240202P00185000 
ATM Put Last Price for T-8: 1.03 
last  Quote Price for T-8: 193.89 
Straddle Cost for T-8: 11.28 
RV for T-8: 0.0582 

04/10/2024 09:04:13 PM - root - DEBUG - Processing trading day: 2024_01_23
04/10/2024 09:04:14 PM - root - DEBUG - Trading Date for T-7: 2024_01_23 
ATM Call Symbol for T-7: AAPL240202C00185000 
ATM Call Last Price for T-7: 11.1 
ATM Put Symbol for T-7: AAPL240202P00185000 
ATM Put Last Price for T-7: 0.7 
last  Quote Price for T-7: 195.18 
Straddle Cost for T-7: 11.80 
RV for T-7: 0.0605 

04/10/2024 09:04:14 PM - root - DEBUG - Processing trading day: 2024_01_24
04/10/2024 09:04:14 PM - root - DEBUG - Trading Date for T-6: 2024_01_24 
ATM Call Symbol for T-6: AAPL240202C00185000 
ATM Call Last Price for T-6: 10.6 
ATM Put Symbol for T-6: AAPL240202P00185000 
ATM Put Last Price for T-6: 0.8 
last  Quote Price for T-6: 194.5 
Straddle Cost for T-6: 11.40 
RV for T-6: 0.0586 

04/10/2024 09:04:14 PM - root - DEBUG - Processing trading day: 2024_01_25
04/10/2024 09:04:14 PM - root - DEBUG - Trading Date for T-5: 2024_01_25 
ATM Call Symbol for T-5: AAPL240202C00185000 
ATM Call Last Price for T-5: 10.15 
ATM Put Symbol for T-5: AAPL240202P00185000 
ATM Put Last Price for T-5: 0.83 
last  Quote Price for T-5: 194.17 
Straddle Cost for T-5: 10.98 
RV for T-5: 0.0565 

04/10/2024 09:04:14 PM - root - DEBUG - Processing trading day: 2024_01_26
04/10/2024 09:04:14 PM - root - DEBUG - Trading Date for T-4: 2024_01_26 
ATM Call Symbol for T-4: AAPL240202C00185000 
ATM Call Last Price for T-4: 8.58 
ATM Put Symbol for T-4: AAPL240202P00185000 
ATM Put Last Price for T-4: 1.03 
last  Quote Price for T-4: 192.42 
Straddle Cost for T-4: 9.61 
RV for T-4: 0.0499 

04/10/2024 09:04:14 PM - root - DEBUG - Processing trading day: 2024_01_29
04/10/2024 09:04:15 PM - root - DEBUG - Trading Date for T-3: 2024_01_29 
ATM Call Symbol for T-3: AAPL240202C00185000 
ATM Call Last Price for T-3: 8.03 
ATM Put Symbol for T-3: AAPL240202P00185000 
ATM Put Last Price for T-3: 1.08 
last  Quote Price for T-3: 191.73 
Straddle Cost for T-3: 9.11 
RV for T-3: 0.0475 

04/10/2024 09:04:15 PM - root - DEBUG - Processing trading day: 2024_01_30
04/10/2024 09:04:15 PM - root - DEBUG - Trading Date for T-2: 2024_01_30 
ATM Call Symbol for T-2: AAPL240202C00185000 
ATM Call Last Price for T-2: 5.4 
ATM Put Symbol for T-2: AAPL240202P00185000 
ATM Put Last Price for T-2: 2.29 
last  Quote Price for T-2: 188.04 
Straddle Cost for T-2: 7.69 
RV for T-2: 0.0409 

04/10/2024 09:04:15 PM - root - DEBUG - Processing trading day: 2024_01_31
04/10/2024 09:04:15 PM - root - DEBUG - Trading Date for T-1: 2024_01_31 
ATM Call Symbol for T-1: AAPL240202C00185000 
ATM Call Last Price for T-1: 3.3 
ATM Put Symbol for T-1: AAPL240202P00185000 
ATM Put Last Price for T-1: 3.75 
last  Quote Price for T-1: 184.16 
Straddle Cost for T-1: 7.05 
RV for T-1: 0.0383 

04/10/2024 09:04:15 PM - root - DEBUG - Processing trading day: 2024_02_01
04/10/2024 09:04:15 PM - root - DEBUG - Trading Date for T-0: 2024_02_01 
ATM Call Symbol for T-0: AAPL240202C00185000 
ATM Call Last Price for T-0: 4.23 
ATM Put Symbol for T-0: AAPL240202P00185000 
ATM Put Last Price for T-0: 2.43 
last  Quote Price for T-0: 186.86 
Straddle Cost for T-0: 6.66 
RV for T-0: 0.0356 

04/10/2024 09:04:15 PM - root - DEBUG - Processing trading day: 2024_02_02
04/10/2024 09:04:15 PM - root - DEBUG - Trading Date for T--1: 2024_02_02 
ATM Call Symbol for T--1: AAPL240202C00185000 
ATM Call Last Price for T--1: 0.9 
ATM Put Symbol for T--1: AAPL240202P00185000 
ATM Put Last Price for T--1: 0.02 
last  Quote Price for T--1: 185.85 
Straddle Cost for T--1: 0.92 
RV for T--1: 0.0050 
 

 

[kitsos 66]

Sorry if i overwhelmed you with info in my previous post. The main questions i have are:

1. is RV calculated as RV = Straddle cost / Stock Price ?
2. We define the distance from earnings date in trading days (T-xx), find the ATM Straddle of that day, and keep those options contracts constant throughout our calculations, till earnings date, and we only calculate the price changes of those specific contracts throughout the trading days? 

[Yowster 8,683]

12 minutes ago, kitsos said:

Sorry if i overwhelmed you with info in my previous post. The main questions i have are:

1. is RV calculated as RV = Straddle cost / Stock Price ?
2. We define the distance from earnings date in trading days (T-xx), find the ATM Straddle of that day, and keep those options contracts constant throughout our calculations, till earnings date, and we only calculate the price changes of those specific contracts throughout the trading days? 

RV charts use the ATM straddle each day, so the strike changes as the stock price moves.  Therefore the straddle RV chart is kind of a worst case picture because it doesn’t account for stock price movement.   Conversely, the calendar RV chart is a best case picture for the same reason on not accounting for stock price movement.   

[kitsos 66]

2 minutes ago, Yowster said:

RV charts use the ATM straddle each day, so the strike changes as the stock price moves.  Therefore the straddle RV chart is kind of a worst case picture because it doesn’t account for stock price movement.   Conversely, the calendar RV chart is a best case picture for the same reason on not accounting for stock price movement.   

But how is the RV chart, that we use and reference it every time in our trade selection, then being calculated? For example a line that is the evolution of a straddle during the course of an earnings date, are the contracts not constant during a specific earnings date, so that we can see how it behaves during the specific earnings cycle?

 

Do you mean that every trading day, from T-20 to T-0, we find a new ATM Straddle?

 

Because when i go to the straddle matrix https://www.volatilityhq.com/backtester/return_matrix/?symbol=aapl&metric_type=Median&start_date=2023-10-01&show_individual_matrix=Yes&strategy_type=Straddle&long_delta=0.4&nbweeks=-1&submit=Run+backtest

i can see that the strike price used for the calculations is constant (185)    

so i think that also in the line chart the same strike price (so the same contracts) are being used throughout a specific earnings cycle

[Yowster 8,683]

40 minutes ago, kitsos said:

But how is the RV chart, that we use and reference it every time in our trade selection, then being calculated? For example a line that is the evolution of a straddle during the course of an earnings date, are the contracts not constant during a specific earnings date, so that we can see how it behaves during the specific earnings cycle?

 

Do you mean that every trading day, from T-20 to T-0, we find a new ATM Straddle?

 

Because when i go to the straddle matrix https://www.volatilityhq.com/backtester/return_matrix/?symbol=aapl&metric_type=Median&start_date=2023-10-01&show_individual_matrix=Yes&strategy_type=Straddle&long_delta=0.4&nbweeks=-1&submit=Run+backtest

i can see that the strike price used for the calculations is constant (185)    

so i think that also in the line chart the same strike price (so the same contracts) are being used throughout a specific earnings cycle

The RV chart used the ATM stradfle each day, whose strike may change from day to day.   It’s a measure of how well the IV rise is counteracting negative theta. This is useful for determine downside risk if the stock price doesn’t move. However, the return matrix follows  the straddle opened on a given T-x day so it does account for the stock price movement. 

[FrankTheTank 839]

@Djtux

I am looking at IV for CRM which seems to show IV at 102 on the Friday before the Feb. 28 earnings which would be Friday Feb. 23.

 

 

However, I don't see any IV higher than 68 even near the close on that Friday as shown below:

 

 

I am trying to figure out why the VolHQ IV numbers are so different from ONE and TOS historical data for that Friday before earnings.   In the past I had messed up with the trading days (T-X dates) but because this is a Wed. AMC release same as in Feb. I think the x-axis is not correct somehow.   This is not the first time I have seen this so I am trying to make sure I am reading the charts correctly or if there is a global error somewhere.

Thank you.  

[Djtux 545]

15 hours ago, FrankTheTank said:

I am looking at IV for CRM which seems to show IV at 102 on the Friday before the Feb. 28 earnings which would be Friday Feb. 23.

T-0 would be Wednesday. T-1 Tuesday EOD. T-2 would be Monday EOD.

Can you check what ONE give for monday EOD ?

[FrankTheTank 839]

Thanks for looking into the @Djtux.    I am part of a discord group that says you cannot use the IV numbers from VolHQ so I am trying to confirm if what they are saying is accurate.   

Here is what I see for Monday Feb. 26, 2024 EOD  (T-2)




Also, if T-2 is Monday then the x-axis and label is shifted wrong because it shows T-2 as Friday.    Can VolHQ adjust automatically based on earnings being EOD or BMO?

[Bdw77 0]

Hi. I am new to VolHQ.

In the return matrix section I am searching for a Long Call 40 Delta. If I am buying the 40 delta call which expiration would I be looking at ...the 1st one available right after the earnings?

 

Thanks, Brenden

[FrankTheTank 839]

4 minutes ago, Bdw77 said:

Hi. I am new to VolHQ.

In the return matrix section I am searching for a Long Call 40 Delta. If I am buying the 40 delta call which expiration would I be looking at ...the 1st one available right after the earnings?

 

Thanks, Brenden

Yes.  First one after earnings which is mostly likely the weekly Friday expiration but for lower volume stocks it could be the monthly expiration.  What stock is this by the way?

[wguan 1]

Hi, I just want to confirm when I am looking at Calendar RV charts from say t-14 days to t+1 days, the charts show ATM calendar every single day right? So if prices changes every day, each day the calendar strikes may be different? This is to simulate how well IV and Theta interact when keeping the underlying price constant right?

[Bdw77 0]

Thanks @FrankTheTankI think that was MRVL...

Edited May 27 by Bdw77

[zzprod 0]

SLB has 2 confirmed dates. Source #4 has it on July 19, 2024 BMO and source #6 (I always wondered which site is that. can somebody give me a hint?) has it on July 30, 2024 BMO. which one is correct?

 

 

[Bagelbean33 3]

Hi all. Does anybody know the entry/exit dates for the returns in the below screenshot. Is it holding T-0 -> T+1? 

Thanks

[Yowster 8,683]

2 hours ago, Bagelbean33 said:

Hi all. Does anybody know the entry/exit dates for the returns in the below screenshot. Is it holding T-0 -> T+1? 

Thanks

• Grey bar on chart is the closing price of the ATM straddle on T-0.
• Price effect (middle bar on chart) is the based on the closing price on T+1
• Max move (right bar on chart) is the largest move away from ATM straddle price on T+1

[Yowster 8,683]

@Djtux Looks like most RV charts have not been updated for a day or two.

[TraderSL 189]

@Yowster I sent an email to VolHQ support last night. @Djtux is currently traveling and won't be able to debug the code until Sunday. 

[Djtux 545]

11 hours ago, TraderSL said:

@Yowster I sent an email to VolHQ support last night. @Djtux is currently traveling and won't be able to debug the code until Sunday. 

I managed to get a chance to debug what is going on, and the main problem is that my data provider was missing some data which is causing issues. I'm trying to resolve that and reimporting everything.

Normally I have some health check that I receive everyday but it did not detect that missing data, so I missed that.

At least I'm not blaming crowd strike :).

Sorry about the inconvenience.

[JoeA 4]

When clicking on a Straddle link for a stock in the Scanner, is it possible to change the default setting for the charts that appear from "Median" to "Average"? I prefer "Average" and can't find a way to make that the normal way of displaying chart information. Thank you.

[Canuck_Dave 81]

@JoeA click on advanced settings to provide some parameters including the one you want

[JoeA 4]

3 minutes ago, Canuck_Dave said:

@JoeA click on advanced settings to provide some parameters including the one you want

I do that but it does not "stick". I have to redo the selection for every chart I run. Does it "stick" for you?

[kitsos 66]

On 4/11/2024 at 3:37 PM, Yowster said:

RV charts use the ATM straddle each day, so the strike changes as the stock price moves.  Therefore the straddle RV chart is kind of a worst case picture because it doesn’t account for stock price movement.   Conversely, the calendar RV chart is a best case picture for the same reason on not accounting for stock price movement.   

So @Yowster would you change something in this charts to make them more realistic? I mean if the Straddle RV chart is the worst case scenario, then i think it is a useful chart, But if Calendar RV chart shows us only the best case scenario, how could we modify it to show us the worst case scenarios, so that we can find a good RV entry, or at least make it more useful for historical analysis? Maybe keeping the contracts during the T-x days constant so that we take into consideration the stock price changes? 

[Yowster 8,683]

15 minutes ago, kitsos said:

But if Calendar RV chart shows us only the best case scenario, how could we modify it to show us the worst case scenarios, so that we can find a good RV entry, or at least make it more useful for historical analysis? Maybe keeping the contracts during the T-x days constant so that we take into consideration the stock price changes? 

I think you look at both the calendar RV chart and the historical returns.   If you find a stock with nice calendar RV rise you also look to the historical returns to see if they look good - if not then the stock price might move too much and therefore counteract the RV rise.    You can also look to enter calendars for these stocks on RV dips and then look to exit quicker for more moderate gains (as @krisbee just did with multiple ADBE trades).

[ex3y7s 134]

One thought is the charts could indicate somehow the number of different ATM strikes that each cycle comprises.

[Yowster 8,683]

8 minutes ago, ex3y7s said:

One thought is the charts could indicate somehow the number of different ATM strikes that each cycle comprises.

you can see this by hovering your cursor over each data point in the plot.

[ex3y7s 134]

9 minutes ago, Yowster said:

you can see this by hovering your cursor over each data point in the plot.

Right but there's no way to get a quick aggregate view right? Like "this cycle was 8 different strikes over the pictured time period".

[Yowster 8,683]

2 minutes ago, ex3y7s said:

Right but there's no way to get a quick aggregate view right? Like "this cycle was 8 different strikes over the pictured time period".

Correct, but if you enable the "show stock price movement" chart, then you can see how much the stock price movement in prior cycles.    Also, counting how many strikes were used has its own problems - for a high dollar stock, that strike probably changes almost daily, but if the percentage stock price move is small it really doesn't mean that much.   I think the percentage stock price move is more important, and that is what the stock price movement chart gives you.

[kitsos 66]

2 minutes ago, Yowster said:

I think you look at both the calendar RV chart and the historical returns.   If you find a stock with nice calendar RV rise you also look to the historical returns to see if they look good - if not then the stock price might move too much and therefore counteract the RV rise.    You can also look to enter calendars for these stocks on RV dips and then look to exit quicker for more moderate gains (as @krisbee just did with multiple ADBE trades).

So we want a Calendar RV rise, and compare it to the move of the stock price, if it was constrained inside the calendar Break Even points? 

[Yowster 8,683]

1 minute ago, kitsos said:

So we want a Calendar RV rise, and compare it to the move of the stock price, if it was constrained inside the calendar Break Even points? 

Calendar break-even points are not 100% accurate as the short and long IV will be rising at much different rates, we generally use the ATM +/- implied move as a quick reference for how much stock price movement is too much.   Calendars are typically entered for 2 scenarios:

• steadily rising calendar RV heading into earnings.
• current RV is cheap based on prior cycles.

Good if both are true, but either one can be a sign for a good entry point.

[kitsos 66]

Just now, Yowster said:

Calendar break-even points are not 100% accurate as the short and long IV will be rising at much different rates, we generally use the ATM +/- implied move as a quick reference for how much stock price movement is too much.   Calendars are typically entered for 2 scenarios:

• steadily rising calendar RV heading into earnings.
• current RV is cheap based on prior cycles.

Good if both are true, but either one can be a sign for a good entry point.

Ok. So we check the Calendar RV chart, to see where the current RV is compared with the Median Calendar RV, or check the highest and lowest RV for the current T-x date we currently are, and aim for an RV of 1/3 of the distance for example? Also if 1 week is rising but also 2 week and 3 week, how do we decide which calendar expiration distance is the best?

[Yowster 8,683]

2 minutes ago, kitsos said:

to see where the current RV is compared with the Median Calendar RV, or check the highest and lowest RV for the current T-x date we currently are, and aim for an RV of 1/3 of the distance for example?

If calendar RV is steadily rising you'd like the RV to be in-line or below prior cycles (you don't want it sky high).   If calendar RV is flat then you only want to enter if current RV is very low compared to prior cycles.   I'm not sure what you mean by 1/3 of the distance?

4 minutes ago, kitsos said:

Also if 1 week is rising but also 2 week and 3 week, how do we decide which calendar expiration distance is the best?

short leg is always earnings week, the long leg is usually the next monthly expiration out for better liquidity.   However, it if is a very high dollar stock we'll use 1-week calendars to keep the price lower.

 

[kitsos 66]

Quote

I'm not sure what you mean by 1/3 of the distance?

For example if at T-21 the lowest RV is 0.15% and the highest is 0.35% then 1/3 of total distance between them = 0.21% . So maybe this would be a good target RV for entry instead of the Median RV?

[Yowster 8,683]

11 minutes ago, kitsos said:

For example if at T-21 the lowest RV is 0.15% and the highest is 0.35% then 1/3 of total distance between them = 0.21% . So maybe this would be a good target RV for entry instead of the Median RV?

Yes, that could make sense.   Another thing to do is to track the calendar price over the last few days in 5-15 minute intervals, see how much it moves around, and then try to enter at a low point.

[alwaysprepared 32]

@Djtux I'm having problems running the Calendar RV chart on MO.  It comes back showing that it can't find multiple options expirations...  the weird thing is if you run it with Auto selected in the 'Number of weeks between calendar legs' it comes back with no errors, but it sets the week spread to 7 weeks!  What's up with that??  Any manual setting from 1 to 5 gives the error, by the way...  And the Straddle RV chart for MO works fine...

[Djtux 545]

57 minutes ago, alwaysprepared said:

@Djtux I'm having problems running the Calendar RV chart on MO.  It comes back showing that it can't find multiple options expirations...  the weird thing is if you run it with Auto selected in the 'Number of weeks between calendar legs' it comes back with no errors, but it sets the week spread to 7 weeks!  What's up with that??  Any manual setting from 1 to 5 gives the error, by the way...  And the Straddle RV chart for MO works fine...

MO earnings are oct 31. It’s too far away.

The options expiring after the earnings are Nov 1, Dec 20.

As time progress, there will be more expiries.

[alwaysprepared 32]

2 minutes ago, Djtux said:

MO earnings are oct 31. It’s too far away.

The options expiring after the earnings are Nov 1, Dec 20.

As time progress, there will be more expiries.

OK.  That makes sense....  I guess the weird error saying it couldn't find expirations that were obviously there threw me off and I didn't research the issue myself very well....

Thanx for your response!