volatilityhq.com Official Thread

BW.SQL · March 29

@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 · April 4

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 · April 4

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 · April 5

Hi,

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

Djtux · April 6

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 · April 7

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

Djtux · April 7

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 · April 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 · April 10

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 · April 11

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

is RV calculated as RV = Straddle cost / Stock Price ?
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 · April 11

12 minutes ago, kitsos said:

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

is RV calculated as RV = Straddle cost / Stock Price ?

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 · April 11

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 · April 11

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 · May 14

@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 · May 15

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 · May 15

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 · May 21

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 · May 21

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 · May 22

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 · May 27

Thanks @FrankTheTankI think that was MRVL...

Edited May 27 by Bdw77

zzprod · June 28

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 · July 14

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 · July 14

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 · July 19

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

TraderSL · July 19

@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 · July 20

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 · Monday at 04:53 PM

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 · Monday at 09:54 PM

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

JoeA · Monday at 09:58 PM

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?

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