volatilityhq.com Official Thread

[JoeA 9]

@Djtux  Is there a way to preserve the choices I make in the Advanced Options? I always want to set " Show stock price change" to "Relative Stock change", but it seems I have to reset that each time I return to the VolHQ website. I believe it defaults to "Hidden".   Thank you.

[zzprod 0]

12 minutes ago, JoeA said:

@Djtux  Is it possible learn the identities behind Source #1, #2, #3, etc? I prefer to follow the guidance given by OptionSlam and it would be helpful to which one it is.

I know 1 and 4 but i think the admins wouldn't like to expose the identity. If they say it is ok i will post

[TrustyJules 3,221]

Vol.HQ doesnt belong to SO but to @Djtux - I am pretty sure he will not share the sources but its his call.

[Djtux 549]

2 hours ago, JoeA said:

@Djtux  Is it possible learn the identities behind Source #1, #2, #3, etc? I prefer to follow the guidance given by OptionSlam and it would be helpful to which one it is.

I think it’s obvious that if it’s not named explicitly then it’s meant to be like that.

[Djtux 549]

On 10/9/2024 at 1:44 PM, krisbee said:

I tried searching MU again in Straddle section. I get this.

Sorry i didn’t the message before now. I just retested and i don’t see an error message.

[Djtux 549]

2 hours ago, JoeA said:

@Djtux  Is there a way to preserve the choices I make in the Advanced Options? I always want to set " Show stock price change" to "Relative Stock change", but it seems I have to reset that each time I return to the VolHQ website. I believe it defaults to "Hidden".   Thank you.

Only way would be to bookmark in your browser the url with the settings you like.

[equus 30]

@Djtux Is there any way to shift or offset the vertical pink line to the left or right in the chart? Today is T-15 for this symbol which is great for looking at potential Double Diagonal candidates, but usually this is not the case.

 

[Djtux 549]

21 hours ago, equus said:

@Djtux Is there any way to shift or offset the vertical pink line to the left or right in the chart? Today is T-15 for this symbol which is great for looking at potential Double Diagonal candidates, but usually this is not the case.

 

Have you tried this option “Reference T for relative calcs“ under the Advanced options?

 

[JoeA 9]

@Djtux  For the double calendars, what are the Deltas of the two calendars that are being used, and are they puts or calls?   Thank you so much.

[equus 30]

Yes, I did try. But it doesn't seem to change the way the chart is presented. For example, UBER is T-11 right now but with the T-20 setting it still shows the same chart stuck at T-11:

[Yowster 9,276]

3 minutes ago, equus said:

Yes, I did try. But it doesn't seem to change the way the chart is presented. For example, UBER is T-11 right now but with the T-20 setting it still shows the same chart stuck at T-11:

No, it changed.   The vertical line is just the current date.   Note in your chart how all cycles are now starting at the same point on T-20.

[equus 30]

2 minutes ago, Yowster said:

No, it changed.   The vertical line is just the current date.   Note in your chart how all cycles are now starting at the same point on T-20.

Oops, yes thank you.

[Djtux 549]

1 hour ago, JoeA said:

@Djtux  For the double calendars, what are the Deltas of the two calendars that are being used, and are they puts or calls?   Thank you so much.

It’s ATM call and put

[JoeA 9]

@Djtux  Can you please tell me how the Decay CD is calculated here? It says "Average RV percentage loss per calendar days remaining". The current Straddle RV is 4.95% The Straddle Median RV, T = 0, is 4.60% .  So I don't understand how the Scanner is calculating Decay CD as -1.85%.   Thank you.

[krisbee 1,994]

@Djtux below is GOOG return matrix for put calendar. Is the calculation right to see -472.73% for 7/23 expiration ?

That'll change the entire average of return matrix, I checked the chart line for 7/23rd earnings. it doesn't look like -400+%.

 

[Djtux 549]

32 minutes ago, krisbee said:

@Djtux below is GOOG return matrix for put calendar. Is the calculation right to see -472.73% for 7/23 expiration ?

That'll change the entire average of return matrix, I checked the chart line for 7/23rd earnings. it doesn't look like -400+%.

 

Here is the individual point that is problematic:

Entry price 0.27 but exit price is -1.03.

I don’t have access to desktop Thinkorswim right now to look at the historical option chain, but each time i had to double check those type of issues, it’s due to large bid/ask spread.

[Djtux 549]

On 10/19/2024 at 7:16 PM, JoeA said:

@Djtux  Can you please tell me how the Decay CD is calculated here? It says "Average RV percentage loss per calendar days remaining". The current Straddle RV is 4.95% The Straddle Median RV, T = 0, is 4.60% .  So I don't understand how the Scanner is calculating Decay CD as -1.85%.   Thank you.

(4.60% / 4.97% - 1.0) / 4 = - 1.86% it’s not exactly 1.85 because i use non-rounded rv, and in the screenshot you have only 2 decimals.

4 calendar days = last trading date (oct 21) - last data available date (which was friday 18 because you posted on saturday) + 1

 

Sorry about the late answer, i hope it helps.

[krisbee 1,994]

22 minutes ago, Djtux said:

Entry price 0.27 but exit price is -1.03.

Thanks for the quick check. Shouldn't the GOOG line chart reflect the same -1.03 in that case? For better visualization, I have only 7/23rd cycle line alone in this chart for GOOG.

You can see it doesn't match with the return matrix.

 

[Djtux 549]

6 minutes ago, krisbee said:

Thanks for the quick check. Shouldn't the GOOG line chart reflect the same -1.03 in that case? For better visualization, I have only 7/23rd cycle line alone in this chart for GOOG.

You can see it doesn't match with the return matrix.

The RV chart potentially uses a new strike every day, while the Return Matrix keep the same strike between entry and exit.

In the RV chart, if you hover on the T-6 and T-1 for the July 2023, you see strike 190 and 185.

[Djtux 549]

48 minutes ago, Djtux said:

exit price is -1.03.

I just double checked with Thinkorswim Thinkback and I see the same -1.03.

[krisbee 1,994]

27 minutes ago, Djtux said:

I just double checked with Thinkorswim Thinkback and I see the same -1.03.

Ok. 

Since the return matrix RED hot spots are critical in decision making, I have two things for you to consider/debug.

1. If the exit price is -1.03 why don't the calendar chart show that?

2. If Calendar exit price is negative number, can you consider it as 0% for the return matrix to show better median %?

 

Thanks!

[JoeA 9]

5 hours ago, Djtux said:

(4.60% / 4.97% - 1.0) / 4 = - 1.86% it’s not exactly 1.85 because i use non-rounded rv, and in the screenshot you have only 2 decimals.

4 calendar days = last trading date (oct 21) - last data available date (which was friday 18 because you posted on saturday) + 1

 

Sorry about the late answer, i hope it helps.

@Djtux    Thank you. That helps a lot. Just to be clear, I mentioned the Straddle Current RV, 4.95%, in my question, but you replied with the Straddle Median Current RV, 4.97%. Not trying to split hairs here, but I want to make sure I am using the correct column. So the Decay CD column is *not* using the Current RV of the current cycle, but rather the Median Current RV, i.e., the black line Current RV. Is that correct?  Thank you for your help.

Edited October 23 by JoeA
add tag

[Djtux 549]

13 hours ago, krisbee said:

Ok. 

Since the return matrix RED hot spots are critical in decision making, I have two things for you to consider/debug.

1. If the exit price is -1.03 why don't the calendar chart show that?

2. If Calendar exit price is negative number, can you consider it as 0% for the return matrix to show better median %?

 

Thanks!

1. At T-1, the calendar rv chart uses 185 strike while the return matrix enters at T-6 and exits at T-1 with strike 190. This is why you don’t see -1.03 on the calendar rv chart, it’s not the same strike.

2. Yes maybe i should put a blank return to ignore that one when the price is negative.

[krisbee 1,994]

On 10/9/2024 at 1:44 PM, krisbee said:

I tried searching MU again in Straddle section. I get this.

@Djtux I tried searching MU calendar. Last time also we had issue with "MU". Something wrong with MU data?

[Djtux 549]

8 minutes ago, krisbee said:

@Djtux I tried searching MU calendar. Last time also we had issue with "MU". Something wrong with MU data?

I can load properly the calendar page for MU with the default settings.

Can you try again with a new calendar rv page by clicking in the menu? Maybe there is one of the advanced settings that is causing the issue.

[krisbee 1,994]

3 minutes ago, Djtux said:

I can load properly the calendar page for MU with the default settings.

Can you try again with a new calendar rv page by clicking in the menu? Maybe there is one of the advanced settings that is causing the issue.

Found out. This URL, see the start date. This makes to bring 500 error. But interestingly it also automatically "log you out" of the portal. So subsequent search also gets error. You can try that URL. 

Anyway, problem is resolved now.

https://www.volatilityhq.com/backtester/calendar/?symbol=MU&start_date=2021-09-19&option_type=Put&short_leg_type=After&nbweeks=-1&average_or_median=median

[mccoyb53 809]

Hi @Djtux. I just sent you an email to support@volatilityhq.com. Please let me know if you received it. Many thanks.

[Djtux 549]

4 minutes ago, mccoyb53 said:

Hi @Djtux. I just sent you an email to support@volatilityhq.com. Please let me know if you received it. Many thanks.

Yes i just answered

[zzprod 0]

@Djtux Something is wrong with filtering "Only confirmed earnings dates" and "Only stocks with weekly options" in the scanner. when they are on it returns nothing. my scan is the widest possible with only min stock price set to 15 and no black or white lists. it worked great for about 2 years with the same setup until this weekend. 

[Djtux 549]

4 hours ago, zzprod said:

@Djtux Something is wrong with filtering "Only confirmed earnings dates" and "Only stocks with weekly options" in the scanner. when they are on it returns nothing. my scan is the widest possible with only min stock price set to 15 and no black or white lists. it worked great for about 2 years with the same setup until this weekend. 

Sorry i’m out of town until the new year and i tried to troubleshoot but it seems the issue is in the “only stocks with weekly options”. Somehow the website doesn’t retrieve that data properly. As a workaround, can you use this list? https://marketdata.theocc.com/weekly-options?action=download
 

[zzprod 0]

On 12/23/2024 at 2:37 PM, Djtux said:

Sorry i’m out of town until the new year and i tried to troubleshoot but it seems the issue is in the “only stocks with weekly options”. Somehow the website doesn’t retrieve that data properly. As a workaround, can you use this list? https://marketdata.theocc.com/weekly-options?action=download
 

Fixed