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10 hours ago, FrankTheTank said:

What is the formula for Call Cal RV Rise and Put Cal. RV Rise?    I cannot seem to match these numbers up with the charts.  Here is DIS as an example which shows Put Cal. RV Rise as negative 32.41% making me think it would be a bad trading candidate but looking at the charts it seems to have a positive RV rise.   Thanks.

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It's the change from T-15 and T-14 for the current cycle.

See https://steadyoptions.com/forums/forum/topic/3885-volatilityhqcom-official-thread/?do=findComment&comment=142956

and https://steadyoptions.com/forums/forum/topic/3885-volatilityhqcom-official-thread/?page=9&tab=comments#comment-122923

It was asked to monitor the RV of a calendar that dropped by a lot from the previous day to check if the stock could be cheaper.

A different metric would be needed to get the slope of the median RV rise by fitting with a linear regression for example. I don't have that yet.

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8 hours ago, cuegis said:

Having the strangle expire before earnings is one way. Another way is to have both expirations post earnings, similar to earnings calendar dates.

There is always a give and take. You give up some gamma and receive high IV, post earnings, premiums to offset RV declines.

I don't know how this would play out which is why I was looking for data to test the idea.

I thought there might be a date adjustment that could be made to have a look.

For example, in the calendar section, you provide the ability to choose "before" and "after" for the short leg.

 

Is it question about the https://www.volatilityhq.com/backtester/non_earning_income_calculator/ ?

Or are you talking about RV charts ? The RV chart for straddle account for the strangle by reducing the RV of the straddle by 5.5% (for example) per strangle cycle. It's a sort of rule of thumb but it's not looking at real actual strangle data.

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@Djtux I've been using the "Return Scanner" to look for straddles, which recently has worked pretty good.  Until the last week or so.  But I have yet to come up with a technique for using it to hunt for calendars.  I've tried looking for big losers on the 50D calls or puts and a few other things but none of them correlated to a good return matrix when I looked them up the way the straddles often do.  Any suggestions?

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1 hour ago, FrankTheTank said:

@Djtux

Can you check on your calculations for Put calendar median RV at T-0 for GPS?  This is what I see in the scanner:

 

This is what I see in the chart:

 

 

Thank you.

 

 

You need to select only the earnings cycle for the last 2 years.

image.png

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4 minutes ago, Yowster said:

It's part of the straddle suite of charts, but you have to enable it via "adavanced options"...

image.thumb.png.7c3330baa2f1557f3cf978ccdfa31fd2.png

Aha.. I knew it must be somewhere in Straddle suite but I was not able to find it. It was hiding in a drop down!  Thanks.

Now I can see why you are expecting BBY to increase by T-0.

 

image.png

 

 

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@Djtux

I am sorry it took me this long to get you a mockup of what I was asking for a few weeks ago.   Basically I find the most value in hunting for underpriced low RV calendars and the scanner tool is great but it defaults to the monthly expiration so some of the results may be 1-week calendar spreads and some may be 4 week spreads and we are often missing some truly good/underpriced calendars because of this feature.   

 

Here is a rough example of what I was hoping for: 

image.png

 

The formatting does not really matter and if calculating current RV is a problem it would be great just to have the terminal T-0 RVs for each calendar spread.

 

I believe you already have all of this data in your database because we can generate these 1, 2, 3 week calendar spreads even before earnings are announced.   If we could get a new reporting tool under the beta section to show something like this it would be super helpful or even added to the very end of the existing scanner would work too.  Whatever is easier for you.  

 

I am happy to pay more for this or start up a collection around here :)

 

Thanks

Edited by FrankTheTank

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@Djtux, as if you haven't already got enough on your plate, I'd like to throw another item on your to-do list, when you have time :

 

On the 'Earnings Feed' page, we see a dump of all the tickers which have recently announced/confirmed earnings :

image.png

 

Is it possible to add some filters on this page like the ones you have on the Scanner page so that we can reduce the above data to only those tickers that meet our criteria (eg have weeklies etc) :

image.png

Edited by zxcv64

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5 hours ago, zxcv64 said:

Is it possible to add some filters on this page like the ones you have on the Scanner page so that we can reduce the above data to only those tickers that meet our criteria (eg have weeklies etc) :

Do the 2 columns below fit your need ? First one says if the earning date is confirmed, second one gives the date when it was first confirmed.
 

image.png

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18 hours ago, Djtux said:

Do the 2 columns below fit your need ? First one says if the earning date is confirmed, second one gives the date when it was first confirmed.

Yes, I didn't think of using these - this would work just fine (if these columns are updated as soon as the 'Earnings feed' page is updated with the latest confirmations).

 

Thanks.

 

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