volatilityhq.com Official Thread

[Djtux 484]

On 11/5/2020 at 10:42 AM, FrankTheTank said:

Did you change some of the columns around in the scanner?   It looks like the column for weekly is all set to False, even for stocks that have weeklies.   Thanks. 

That should be fixed since last Friday.

1 hour ago, gf58 said:

I'm getting an error when I try to add PTON to my whitelist...all other tickers that I've added seem to be fine though and I can pull up a straddle for PTON so the code seems fine.

That should be fixed as well. Thank you for the detailed steps to reproduce.

The list of valid stock symbols wasn't getting updated as i forgot to put that task on a period schedule to run it regularly.

[gf58 593]

4 minutes ago, Djtux said:

That should be fixed as well. Thank you for the detailed steps to reproduce.

The list of valid stock symbols wasn't getting updated as i forgot to put that task on a period schedule to run it regularly.

Lets just say I've 'translated' enough client->dev bug reports to last a lifetime. Thanks for the quick response!

[FrankTheTank 435]

@Djtux  Would you ever be willing to make some high level or meta data available for research purposes?   For example, it would be interesting to run a query to determine things like non-earnings IV impact on pnl of straddles vs. calendars.

I could even see this as a class project for some data science students (I work at a university and they are always looking for new/interesting projects).   Let me know what you think. 

 

 

[Djtux 484]

On 11/11/2020 at 6:00 PM, FrankTheTank said:

Would you ever be willing to make some high level or meta data available for research purposes?

For the moment, it’s a little complicated for the data usage permissions. If you have an academic usage, it might be cheaper and easier to go directly to an OPRA provider and get data.

[FrankTheTank 435]

15 hours ago, Djtux said:

For the moment, it’s a little complicated for the data usage permissions. If you have an academic usage, it might be cheaper and easier to go directly to an OPRA provider and get data.

Understood. I know we have a subscription to OptionMetrics which is like $10k per year.  Hopefully we can tap into that.

 

*Also, would you ever be able to add the return matrix (backtest) to the bottom of the straddle RV page for each stock?  It would save us time from flipping back and forth between the two pages.  Thanks!

 

 

[gf58 593]

@Djtux Has there been any interest in a maximum relative cumulative change return matrix? What Im sort of trying to proxy at the moment is if I project that a straddle requires +/- 5% to break even at expiry and +/-6.5% to make a 10% return how many cycles have touched/exceeded those points. Im fudging it at the moment using the relative stock move chart on the straddle page and manually counting but something like that in a return matrix would speed up the process (and make it a little more robust as the relative stock move is always as at the previous day not the current).

[Djtux 484]

On 11/18/2020 at 11:45 AM, gf58 said:

@Djtux Has there been any interest in a maximum relative cumulative change return matrix? What Im sort of trying to proxy at the moment is if I project that a straddle requires +/- 5% to break even at expiry and +/-6.5% to make a 10% return how many cycles have touched/exceeded those points. Im fudging it at the moment using the relative stock move chart on the straddle page and manually counting but something like that in a return matrix would speed up the process (and make it a little more robust as the relative stock move is always as at the previous day not the current).

I can add that to my long todo list

[gf58 593]

Thanks @Djtux.

 

Its a nice to have (a not-quite-exact but slow workaround exists) so unless anyone else ever thought it was useful I wouldn't want you ranking it too highly.

[gf58 593]

@Djtux I just noticed that the CLDR 2020-06-03 cycle seems to be missing from the straddle/calendar/return matrix.

 

Looks like the earnings was announced 6 May 2020 (https://investors.cloudera.com/news-and-events/news/press-release-details/2020/Cloudera-Sets-Date-to-Announce-First-Quarter-Fiscal-Year-2021-Results/default.aspx) and took place as planned on 3 June 2020 (https://investors.cloudera.com/news-and-events/news/press-release-details/2020/Cloudera-Reports-First-Quarter-Fiscal-2021-Financial-Results/default.aspx)

 

No impact on my end (NEIV too high for a straddle and moves to much for a calendar), just an FYI

[FrankTheTank 435]

On 11/19/2020 at 9:39 PM, Djtux said:

I can add that to my long todo list

While you are at it

Can you add at T-15  straddle returns to the Return Scanner and make the same T-X columns but for Put Calendar returns?   I honestly think this is the most useful and undervalued part of your website as we can use it to zero in on potential candidates that may be good for a straddle, ratio, etc.    Having it for calendar returns to would be huge.   Thanks!   

[rigulator 27]

@FrankTheTank @Djtux I strongly support this petition!

[zxcv64 312]

@Djtux, following on from Frank's request, mine's is on the same Return Scanner.

 

When I am on page 2 (or any page > 1) and I click on one of the hyperlink numbers, I am quite rightly taken to the Return Matrix page for that stock. However, when I press the 'back' arrow, I am always taken pack to page 1 of the Return Scanner. Is it possible to be returned to the same page that we are in when we called the Return Matrix? Or, if it's easier, then when we click on one of the hyperlink numbers, then open a new window, rather than show the Return Matrix in the same window as where the user current is??

 

Edited Thursday at 07:55 PM by zxcv64

[Djtux 484]

On 11/26/2020 at 9:55 AM, FrankTheTank said:

While you are at it

Can you add at T-15  straddle returns to the Return Scanner and make the same T-X columns but for Put Calendar returns?   I honestly think this is the most useful and undervalued part of your website as we can use it to zero in on potential candidates that may be good for a straddle, ratio, etc.    Having it for calendar returns to would be huge.   Thanks!   

I can that too to the todo list, it's definitely doable.

On 11/26/2020 at 2:54 PM, zxcv64 said:

@Djtux, following on from Frank's request, mine's is on the same Return Scanner.

 

When I am on page 2 (or any page > 1) and I click on one of the hyperlink numbers, I am quite rightly taken to the Return Matrix page for that stock. However, when I press the 'back' arrow, I am always taken pack to page 1 of the Return Scanner. Is it possible to be returned to the same page that we are in when we called the Return Matrix? Or, if it's easier, then when we click on one of the hyperlink numbers, then open a new window, rather than show the Return Matrix in the same window as where the user current is??

 

I don't think it's possible to do what you suggest with the 'back' button. The only possibility is to force the browser to open a new window when you left click a hyperlink.

[gf58 593]

@Djtux I noticed that FDX have confirmed their earnings but they are missing from the earning dates feed....not sure but I could have sworn I'd seen it in the list last week.

[Djtux 484]

1 hour ago, gf58 said:

@Djtux I noticed that FDX have confirmed their earnings but they are missing from the earning dates feed....not sure but I could have sworn I'd seen it in the list last week.

The earning date feed only stores 3 weeks of confirmation history. I know there are some limitations.

[gf58 593]

1 hour ago, Djtux said:

The earning date feed only stores 3 weeks of confirmation history. I know there are some limitations.

Ah right. I've been using the left hand table as a 'paste into my watchlist' to figure out what was confirmed.

 

Is there any feasibility to have the left chart store until they're past the announcement (or a separate table for all currently confirmed?) If it simplifies the feature only symbol, earnings date and earning time are useful; I dont need the confirmation date.

[gf58 593]

Actually, scratch that @Djtux

 

I realized that I just asked for the currently existing and fully featured Scanner. *face palm*