volatilityhq.com Official Thread

[Djtux]

3 hours ago, mustafaoe said:

@DjtuxIs there a documentation of the web services you provide? I am asking myself if it is possible to read the scanner results daily into a program?

The documentation is a bit limited. Most of the features have been implemented after being requested by some members in this thread. I recommended reading this thread. Are you looking for something specifically?

You can download the csv file from the scanner page and import that. There is no api at this moment.

[mustafaoe]

1 hour ago, Djtux said:

The documentation is a bit limited. Most of the features have been implemented after being requested by some members in this thread. I recommended reading this thread. Are you looking for something specifically?

You can download the csv file from the scanner page and import that. There is no api at this moment.

Thx, I know, I am using the download as well. I was thinking to automize some of my activities. Therefore, the question regarding a web service. Do you plan to offer such stuff in future?

[Djtux]

9 hours ago, mustafaoe said:

Therefore, the question regarding a web service. Do you plan to offer such stuff in future?

When you say web service, do you mean an API that you could call from your program?

[mustafaoe]

14 hours ago, Djtux said:

When you say web service, do you mean an API that you could call from your program?

Yes, I mean an API.

[Djtux]

There was bad data coming from the data provider for 2019-08-02 (yesterday).

As such, i need to reimport the data, clear the internal cache, and rebuild the calculations to make sure all the numbers are correct.

Expect a slower website this weekend as i resolve this.

Thank you.

[Javier]

Among all Volatilityhq features never paid attention to Ratio Calculator tab. I cannot figure out how numerical matrix after etry-exit matrix works out. Any help please. Am sure it is very usefull for something.

[TrustyJules]

Djtux kindly impleme6my ratio calculation method with his historic data. So you can either bring it up in a table format or look at the larger table below it for all the crossings which by definition starts with the one with beat historic return.

 

So entry say d12 and ext de for a 60/90 delta ratio yields x%. The data on the actual values of the options are given because for more extreme deltas sometimes the mid price is unattainable.

[zxcv64]

@Djtux, can you pls have a look at the 'Weekly options introduced....' value for AABA - this doesn't seem right?

 

 

[Djtux]

12 minutes ago, zxcv64 said:

@Djtux, can you pls have a look at the 'Weekly options introduced....' value for AABA - this doesn't seem right?

Seems strange indeed.

The source i use is the OCC, and that's where the July 12th is coming from :

But you are right that they have disclaimer :

"This list is compiled from sources believed reliable, but certain Weeklys could be included in the list or omitted from the list in error. Also, changes in listing decisions by the exchanges may not be immediately known or reflected in the list. You should always check with your brokerage firm or an exchange directly if you have any questions about the availability of any particular Weekly Options Series."

[Gen88]

@Djtux Do you have a trial for your service? Thanks!

[Djtux]

3 minutes ago, Gen88 said:

@Djtux Do you have a trial for your service? Thanks!

Officially no there is no trial. You could subscribe 1 month and see how it goes. Note that my service is used my multiple members of this forum to place live trades and as such it has proven to be reliable. Making a single bad trade will probably make you lose more than the cost of 1 month.

Kind of the penny wise, pound foolish type of thinking.

However, from time to time i do make an exception to provide a trial if you have a specific feature you want to test.

[Gen88]

Thanks. As I see there’s quite a lot of discussion here but was looking into see if I try out the website first hand.

Appreciate the quick response.

[Djtux]

There were some errors returned by the website while i was deploying new code but that should be fixed now. Sorry about that, it wasn't expected. Let me know if you still see issues.

[Djtux]

There is an issue with the scanner, i'm investigating this right now.

[Djtux]

2 hours ago, Djtux said:

There is an issue with the scanner, i'm investigating this right now.

That should be fixed now.

[Arthur]

@DjtuxLooks like you've added 2 new columns to the Scanner: Call Calendar Current Price and Put Callendar Current Price, correct?

[Djtux]

9 minutes ago, Arthur said:

@DjtuxLooks like you've added 2 new columns to the Scanner: Call Calendar Current Price and Put Callendar Current Price, correct?

Yes i did, got that request by a member.

[craigsmith]

2 hours ago, Arthur said:

@DjtuxLooks like you've added 2 new columns to the Scanner: Call Calendar Current Price and Put Callendar Current Price, correct?

Something I requested, quick response as usual! Thanks @Djtux the website is great, and looking forward to more improvements. None of us could do our work without it.

[Djtux]

There are some delays in the data import today. I'm on it.

[JerryT]

@Djtux, when I try to do an export from the scanner I'm getting a screen lock/freeze. Is there step I'm missing or is something up with the system? Thanks

[Djtux]

54 minutes ago, JerryT said:

@Djtux, when I try to do an export from the scanner I'm getting a screen lock/freeze. Is there step I'm missing or is something up with the system? Thanks

I just tested with Chrome on desktop without addins/extensions, and i can export both excel and csv files from the scanner. Are you on a desktop ? Has it worked before ?

[JerryT]

Yes, it has worked (in Chrome) before. I just tried an export with MS Edge and it worked so I'll have to figure our what changed in my Chrome config. Are there any known add-ins that cause problems?

[FrankTheTank]

On 12/9/2019 at 2:48 PM, craigsmith said:

Something I requested, quick response as usual! Thanks @Djtux the website is great, and looking forward to more improvements. None of us could do our work without it.

@craigsmith @Djtux

How current is the "current price" ?  Are these real-time market prices and RVs?

Thanks

 

[FrankTheTank]

Just now, FrankTheTank said:

@craigsmith @Djtux

How current is the "current price" ?  Are these real-time market prices and RVs?

Thanks

 

Also, are the RV quotes in the charts real time or updated after market closes each day?   Thanks. 

[Djtux]

On 1/1/2020 at 11:43 AM, JerryT said:

Yes, it has worked (in Chrome) before. I just tried an export with MS Edge and it worked so I'll have to figure our what changed in my Chrome config. Are there any known add-ins that cause problems?

I don’t have more specifics as they are many addins.

59 minutes ago, FrankTheTank said:

@craigsmith @Djtux

How current is the "current price" ?  Are these real-time market prices and RVs?

Thanks

 

The current price on the website is coming from the previous EOD trading session.

59 minutes ago, FrankTheTank said:

Also, are the RV quotes in the charts real time or updated after market closes each day?   Thanks. 

After each market close, there is a delay of few hours. There is a column in the scanner that tells you the date of the latest available data.

It would be too expensive to have real time data on the website for licensing reason.

[FrankTheTank]

Hi @Djtux

Is there any way you could add a column for:

-Avg. RV current cycle (1 week put calendar)

-Min. RV current cycle (1 week put calendar)  - this would be the lowest the RV has been during the current earnings cycle

 

My theory is that looking at historical RV is only part of the decision process.  Usually some cycles are running high or running low RV and if you only compare current RV to past cycles you may miss out or may take a bad trade.   I would like to know where current RV is relative to this cycle.      This would be so awesome.

Thank you!

[Djtux]

1 hour ago, FrankTheTank said:

Hi @Djtux

Is there any way you could add a column for:

-Avg. RV current cycle (1 week put calendar)

-Min. RV current cycle (1 week put calendar)  - this would be the lowest the RV has been during the current earnings cycle

 

My theory is that looking at historical RV is only part of the decision process.  Usually some cycles are running high or running low RV and if you only compare current RV to past cycles you may miss out or may take a bad trade.   I would like to know where current RV is relative to this cycle.      This would be so awesome.

Thank you!

How about another way to achieve this "I would like to know where current RV is relative to this cycle" :

Some sort of a percentile between 0% and 100%. If the current RV percentile is 0% then it's the lowest it has been this cycle. If the current RV percentile is 100% then it's the highest it has been this cycle. A percentile of 50% mean that the current RV is roughly at the median.

It's a little bit like the idea of IV percentile, but in RV space instead.

Would it be more useful ?

[FrankTheTank]

6 minutes ago, Djtux said:

How about another way to achieve this "I would like to know where current RV is relative to this cycle" :

Some sort of a percentile between 0% and 100%. If the current RV percentile is 0% then it's the lowest it has been this cycle. If the current RV percentile is 100% then it's the highest it has been this cycle. A percentile of 50% mean that the current RV is roughly at the median.

It's a little bit like the idea of IV percentile, but in RV space instead.

Would it be more useful ?

Yes.  That would be super.   Thanks!

 

[FrankTheTank]

Is there a way to create a list of IV before earnings and IV after earnings come out?   Basically I am looking to open some short iron condors right before earnings comes out and close the next day.   If I could find the stocks that have the highest IV crush on a percentage basis that would be super helpful.

Thanks!

 

[Djtux]

On 1/5/2020 at 7:45 PM, FrankTheTank said:

Yes.  That would be super.   Thanks!

 

I've implemented both the 'min RV for the current cycle', as well as the average and the percentile.

It's there for the straddle and put calendars.

33 minutes ago, FrankTheTank said:

Is there a way to create a list of IV before earnings and IV after earnings come out?   Basically I am looking to open some short iron condors right before earnings comes out and close the next day.   If I could find the stocks that have the highest IV crush on a percentage basis that would be super helpful.

Thanks!

 

That doesn't exist for now. I can add that to my todo list, not sure when i will have time for that.

If someone else has the same need, please let me know by liking the post.

[FrankTheTank]

Thank you @Djtux   I am so impressed with your service.

 

No need to implement the IV crush feature on your website but if you had the data in an excel file or .csv file that shows IV levels at T-0 and T+1 for all stocks with weekly options I would love to play around with that to find the top 10 or 20 that have the biggest average IV crush.   Thanks!

 

 

[TrustyJules]

it could fit in this section:

[Yowster]

31 minutes ago, FrankTheTank said:

Thank you @Djtux   I am so impressed with your service.

 

No need to implement the IV crush feature on your website but if you had the data in an excel file or .csv file that shows IV levels at T-0 and T+1 for all stocks with weekly options I would love to play around with that to find the top 10 or 20 that have the biggest average IV crush.   Thanks!

 

 

If you are looking at options expiring the same week as earnings then I think this data will be pretty much useless, for a variety of reasons:

• The amount of IV crush will be very dependent on the day of week earnings falls on.  In much the same way as pre-earnings IV rise on Monday and Tuesday is typically less than IV rise on Wednesday or Thursday (more negative theta to compensate for the later in the week you get), the same will be true of post-earnings IV drop.   So a company with an earlier in the week earnings will see less of an IV drop than a company with later in the week earnings.   This will get even more confusing if the same company reports on different days of the week from one cycle to the next.
• Regardless of what the IV level is post-earnings, it will change very rapidly throughout the day - and more rapidly later in the week.

If you are referring to the IV of options expiring later than the end of earnings week, then that data is readily available in IV charts and the non-earnings IV displayed on both the VolHQ straddle and calendar RV charts.   I've found that baseline non-earnings IV to be a pretty accurate estimate of the IV level of long leg of a calendar trade held through earnings.

[FrankTheTank]

16 minutes ago, Yowster said:

If you are looking at options expiring the same week as earnings then I think this data will be pretty much useless, for a variety of reasons:

• The amount of IV crush will be very dependent on the day of week earnings falls on.  In much the same way as pre-earnings IV rise on Monday and Tuesday is typically less than IV rise on Wednesday or Thursday (more negative theta to compensate for the later in the week you get), the same will be true of post-earnings IV drop.   So a company with an earlier in the week earnings will see less of an IV drop than a company with later in the week earnings.   This will get even more confusing if the same company reports on different days of the week from one cycle to the next.
• Regardless of what the IV level is post-earnings, it will change very rapidly throughout the day - and more rapidly later in the week.

If you are referring to the IV of options expiring later than the end of earnings week, then that data is readily available in IV charts and the non-earnings IV displayed on both the VolHQ straddle and calendar RV charts.   I've found that baseline non-earnings IV to be a pretty accurate estimate of the IV level of long leg of a calendar trade held through earnings.

Thanks @Yowster  - I was mostly interested in IV from just T-0 (before earnings) to T+1 (opening IV immediately after earnings).   

For my one curiosity, are you saying the the long leg of a calendar held through earnings does not have much of an IV drop?   If so, how do the SO calendar trades make money where both legs expire after earnings?  Is it mostly a theta play?

 

 

[Yowster]

19 minutes ago, FrankTheTank said:

Thanks @Yowster  - I was mostly interested in IV from just T-0 (before earnings) to T+1 (opening IV immediately after earnings).   

For my one curiosity, are you saying the the long leg of a calendar held through earnings does not have much of an IV drop?   If so, how do the SO calendar trades make money where both legs expire after earnings?  Is it mostly a theta play?

 

From T-0 to T+1, with options expiring that same week, will have IV drop amount vary greatly by day of the week.   The closer you get to Friday and expiration, the more of the time value will evaporate.  I just don't see how that data is useful, as the raw IV% will vary practically minute by minute as you get later in the week.   We saw some large losing RICs a few years ago where earnings was on a Thursday that the value went close to zero right after earnings when the stock price didn't move.   Earlier in the week earnings will still have some time value.

 

Holding a calendar through earnings is also a trade where you want minimal stock price movement (assuming your calendar is ATM).   The IV of the short leg (expiring earnings week) is much higher than the long leg expiring later (and we know the time value of the short leg is going to zero at the end of earnings week), so the short leg will experience a bigger impact from the IV crush.   A calendar trade is the most common hold through earnings trade where you are looking for minimal stock price movement.   I've also seen write-ups of using your iron condor setup - but with the long (farther out) legs using options expiring later so the long legs hold more of their value through earnings.

[FrankTheTank]

19 minutes ago, Yowster said:

From T-0 to T+1, with options expiring that same week, will have IV drop amount vary greatly by day of the week.   The closer you get to Friday and expiration, the more of the time value will evaporate.  I just don't see how that data is useful, as the raw IV% will vary practically minute by minute as you get later in the week.   We saw some large losing RICs a few years ago where earnings was on a Thursday that the value went close to zero right after earnings when the stock price didn't move.   Earlier in the week earnings will still have some time value.

 

Holding a calendar through earnings is also a trade where you want minimal stock price movement (assuming your calendar is ATM).   The IV of the short leg (expiring earnings week) is much higher than the long leg expiring later (and we know the time value of the short leg is going to zero at the end of earnings week), so the short leg will experience a bigger impact from the IV crush.   A calendar trade is the most common hold through earnings trade where you are looking for minimal stock price movement.   I've also seen write-ups of using your iron condor setup - but with the long (farther out) legs using options expiring later so the long legs hold more of their value through earnings.

I was trying to keep it more simple than that.   I am not a fan of TT but they have a setup they called the "chicken iron condor" where you open an IC right before earnings are released and close the next morning.   They use this setup:

-spread width is just one strike wide (so one strike between longs and shorts)

-credit received should be close to 50% of the spread width

-set your strikes so that break evens should be at or very close to the expected move

 

Assuming you can get filled on these, your max. loss is 2x your credit received (assuming you hold to expiration).   Because most of the time the stock does not move more than the expected move, these trades 'should' have a positive expected value.  At least the handful of ones I back tested seemed to work out giving you a slight edge if you put on enough of them.    

 

My theory is that the stocks with the biggest IV crush would work best for this type of setup which is why I was looking for help finding a list of stocks with biggest IV crush after earnings.  

[Yowster]

27 minutes ago, FrankTheTank said:

My theory is that the stocks with the biggest IV crush would work best for this type of setup which is why I was looking for help finding a list of stocks with biggest IV crush after earnings.  

But by using options expiring earnings week, you know the time value is going to zero very soon so it doesn't really matter much about the exact percentage of IV drop.   If its a late in the week earnings then it'll be pretty much a binary event as most of time value will be gone after earnings.   For early in the week reports you'll have some remaining time value.     Higher IV stocks are higher IV for a reason - and that's because the stock price moves a lot.    More important that keying in on which stocks have the biggest IV drops is finding those who tend to stay within the implied move on earnings and don't have many of those 2x or 3x the implied move cycles.   Using longer dated options for the long legs (or a calendar or condor) is as simply choosing to be long options that will retain some of their value post earnings.

[FrankTheTank]

Sorry I am sure this has been asked before but I cant figure out how to search this thread.

 

How is the current T-X date calculated?  Does it take into account trading holidays?   I cant seem to figure out how LOW is 28 days from T-0.   Thanks. 

 

[Djtux]

1 minute ago, FrankTheTank said:

Sorry I am sure this has been asked before but I cant figure out how to search this thread.

 

How is the current T-X date calculated?  Does it take into account trading holidays?   I cant seem to figure out how LOW is 28 days from T-0.   Thanks. 

 

T-X is the number of trading days until the earning date. So it does not count weekends or holidays.

Look at the holidays here : https://www.nyse.com/markets/hours-calendars

There is MLK day and President's day.

For reference the dotted lines at -25, -21, -16, -11, -6, -2 are the fridays.

[FrankTheTank]

Thanks!

 

[Djtux]

I implemented a new feature that i'm still testing, but you could use if you are interested.

There is a new whitelist and blacklist of symbols.

 

The scanner has an option to apply the whitelist/blacklist or not :

You will see how many symbols were filtered :

You can configure the whitelist and blacklist in the new 'Settings' menu that is under your username on the top right.

[zxcv64]

Just used it and it works a treat. Thanks.

 

[Spread]

Hi @Djtux

Indeed works great. Very handy to copy and paste the candicate list into the white-list. 

 I do have a request , would it be possible to add a column with the base IV in the scanner. ( to quickly see the most suitable strategy )

Also the strike distance of the back month would be most convenient 

Thanks in advance

[Djtux]

2 hours ago, Hielke said:

I do have a request , would it be possible to add a column with the base IV in the scanner. ( to quickly see the most suitable strategy )

Actually i had that first and call it "non-earnings median implied volatility" and the column label is "NE. M. IV".

See https://steadyoptions.com/forums/forum/topic/3885-rv-charts-volatilityhqcom-official-thread/?do=findComment&comment=83524.

2 hours ago, Hielke said:

Also the strike distance of the back month would be most convenient 

What do you mean exactly ? Do you want the actual strike of the calendar ? Or the absolute difference between the stock price and the calendar strike ? Or the relative difference between the stock price and the calendar strike ?

[Spread]

15 hours ago, Djtux said:

Actually i had that first and call it "non-earnings median implied volatility" and the column label is "NE. M. IV".

See https://steadyoptions.com/forums/forum/topic/3885-rv-charts-volatilityhqcom-official-thread/?do=findComment&comment=83524.

What do you mean exactly ? Do you want the actual strike of the calendar ? Or the absolute difference between the stock price and the calendar strike ? Or the relative difference between the stock price and the calendar strike ?

Thanks for the first answer. To clarify the second question. I'm using XLQ and Excel to keep track of the current RV etc. I'm using a formula to construct the ATM put and call symbols.

 

To get the ATM strike I divide the current price of the underlying by the strike distance ( mostly 1, 2.5 or 5 ) round it down and multiply it by the strike distance. I noticed the strike distance of the back month is mostly larger as the front month. So I use the back month in the formula.

 

Now I look for strike distance in my broker platform, but it would be easier it was listed in the scanner

 

Edited January 21, 2020 by Hielke

[Spread]

Hello @Djtux I hope you don't mind answer another question. Could you please let me know which quote bundle you need for the desktop app ?  Currently I only have the free delayed data (and snapshots). 

 

The logging is listing errors like :

BrokerError: ID:100002 errorCode:354 errorMessage: Requested market data is not subscribed.Delayed market data is available.Error&BEST/OPT/Top&BEST/OPT/Top&BEST/OPT/Top&BEST/OPT/Top

 

 

 

[Djtux]

 

4 hours ago, Hielke said:

Thanks for the first answer. To clarify the second question. I'm using XLQ and Excel to keep track of the current RV etc. I'm using a formula to construct the ATM put and call symbols.

 

To get the ATM strike I divide the current price of the underlying by the strike distance ( mostly 1, 2.5 or 5 ) round it down and multiply it by the strike distance. I noticed the strike distance of the back month is mostly larger as the front month. So I use the back month in the formula.

 

Now I look for strike distance in my broker platform, but it would be easier it was listed in the scanner

 

I think the big problem with providing that 'strike distance' is that it can change for the same expiry.

See Boeing BA : the strike distance could be 2.5 or 5 depending on the level of the stock, so it's not as easy as you would think.

 

 

[Djtux]

15 minutes ago, Hielke said:

Hello @Djtux I hope you don't mind answer another question. Could you please let me know which quote bundle you need for the desktop app ?  Currently I only have the free delayed data (and snapshots). 

 

The logging is listing errors like :

BrokerError: ID:100002 errorCode:354 errorMessage: Requested market data is not subscribed.Delayed market data is available.Error&BEST/OPT/Top&BEST/OPT/Top&BEST/OPT/Top&BEST/OPT/Top

 

Good question,
I do have these :
US Securities Snapshot and Futures Value Bundle 
US Equity and Options Add-On Streaming Bundle

Some reference : https://ibkr.info/article/2840

Are you trading with IB ?

 

[Spread]

9 hours ago, Djtux said:

 

Good question,
I do have these :
US Securities Snapshot and Futures Value Bundle 
US Equity and Options Add-On Streaming Bundle

Some reference : https://ibkr.info/article/2840

Are you trading with IB ?

 

I use TOS for trading, but just opened an IB account. I'll try to get the market data settings right

[Spread]

On 1/21/2020 at 9:44 PM, Djtux said:

 

I think the big problem with providing that 'strike distance' is that it can change for the same expiry.

See Boeing BA : the strike distance could be 2.5 or 5 depending on the level of the stock, so it's not as easy as you would think.

 

 

Do you know when de exchange changes from $1 strikes to $2,5 to $5 ? I mean is there a default policy ?