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I've tried to sign up the last couple days. I get "Site not found; refuse to connect" error.

This typical? Pinging the site delivers a response, so the route from my location to hqv is open..

Is this routine site maintenance? Something else?

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3 minutes ago, tod said:

I've tried to sign up the last couple days. I get "Site not found; refuse to connect" error.

This typical? Pinging the site delivers a response, so the route from my location to hqv is open..

Is this routine site maintenance? Something else?

Website is working on my side.

Can you try to login using an incognito tab? Maybe you have a plugin that blocks something.

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Thank you for the quick response.

I checked my side and found the problem. It was me. Your site is coming through great, now!

I'm glad I asked. I've received this error for several days and figured you were deep in site maintenance, so I used the time to practice patience.

But the problem was on my end the whole time. Ready to rock and roll.

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@Djtux  I am not sure if this is an error or just weird data from your provider.    

I am interested in modeling the IV of options that expire before earnings and options that expire after earnings (i.e. the old traditionally earnings calendars).   I have noticed a few weird things that appear to happen on all of the tickers I have modeled:

1. The chart is graphing IV even after those particular options expire.  In my example below for WFC, the short leg expires on January 7, 2022 (Friday) but the chart is attempting to model the IV of the short leg on the following Monday after they have expired.

2. The IV is drastically off for the short leg.   IV should be at zero at expiration but these charts always show high IV levels at expiration (even increasing levels).   I assume that is because of the data you get and even ONE shows these IVs all over the place at expiration but I wonder if you could force your program to use a 0 IV at expiration or use Black Scholes to get better IV levels?  

 

Thanks in advance!  

image.png

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7 minutes ago, FrankTheTank said:

@Djtux  I am not sure if this is an error or just weird data from your provider.    

I am interested in modeling the IV of options that expire before earnings and options that expire after earnings (i.e. the old traditionally earnings calendars).   I have noticed a few weird things that appear to happen on all of the tickers I have modeled:

1. The chart is graphing IV even after those particular options expire.  In my example below for WFC, the short leg expires on January 7, 2022 (Friday) but the chart is attempting to model the IV of the short leg on the following Monday after they have expired.

2. The IV is drastically off for the short leg.   IV should be at zero at expiration but these charts always show high IV levels at expiration (even increasing levels).   I assume that is because of the data you get and even ONE shows these IVs all over the place at expiration but I wonder if you could force your program to use a 0 IV at expiration or use Black Scholes to get better IV levels?  

 

Thanks in advance!  

I believe you talk about the black median line. It is just the median of the iv. It doesn't truncate the line after the T-X where the current short leg would expire.

Notice that the different cycles have different earning days, so the last trading day for each cycle has some offset in its T-X compared to the other cycles.

Also there is no IV displayed for the day of the expiry, because i display the end of day (day) data for each day, and at expiry the option expired already, so it's not like there is no volatility anymore, and i believe that putting 0.0 as the volatility the day of expiry is going to throw off all the median calculation and skew it.

Also you can't use any model like Black Scholes exactly at expiry date, because the time to expiry is 0.0.

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25 minutes ago, Djtux said:

I believe you talk about the black median line. It is just the median of the iv. It doesn't truncate the line after the T-X where the current short leg would expire.

Notice that the different cycles have different earning days, so the last trading day for each cycle has some offset in its T-X compared to the other cycles.

Also there is no IV displayed for the day of the expiry, because i display the end of day (day) data for each day, and at expiry the option expired already, so it's not like there is no volatility anymore, and i believe that putting 0.0 as the volatility the day of expiry is going to throw off all the median calculation and skew it.

Also you can't use any model like Black Scholes exactly at expiry date, because the time to expiry is 0.0.

Okay thanks.  I think the whole thing is just confusing because I would expect to see IV declining from T-10 to T-0 since these options expire before earnings but in many of the charts it looks like IV is increasing going into their expiration.   Does that make sense or am I missing something?  

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@Djtux

Is it correct that this "E.IV" field is current IV of the expiration after earnings as pulled from your data provider?

If so, could we get a new column for the historical median IV at T-0 and historical median IV at current date for the expiration immediately  after earnings?    

Rational - it is fairly simple for us to find the current IV just by looking at our own option chain or pulling in the data through Excel so this column does not offer much value.  What is valuable is knowing what the historical IV is at the current T-X and at T-0.

Again - I would be happy to pay you extra for custom query of your database if you are ever up for that.  Just let me know.  

Thank you in advance.  🙏

 

image.png

Edited by FrankTheTank

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@Djtux Looking at the scanner I notice that the Urls column has the straddle link in every row but the calendar link on only some. What is the criteria for the Calendar link to appear and is it indicative of the chosen tickers unsuitability for a Calendar if it doesn't appear? Thanks.

image.png

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On 1/7/2022 at 6:27 PM, FrankTheTank said:

Is it correct that this "E.IV" field is current IV of the expiration after earnings as pulled from your data provider?

Yes that is correct. I had to look up the code to check.

On 1/7/2022 at 6:27 PM, FrankTheTank said:

If so, could we get a new column for the historical median IV at T-0 and historical median IV at current date for the expiration immediately  after earnings?    

Yes makes sense. Some might argue that it's better to look at RV rather than IV, but it's another discussion.

 

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16 hours ago, ParadigmAU said:

@Djtux Looking at the scanner I notice that the Urls column has the straddle link in every row but the calendar link on only some. What is the criteria for the Calendar link to appear and is it indicative of the chosen tickers unsuitability for a Calendar if it doesn't appear? Thanks.

image.png

Most likely there are no weeklies option available for that symbol. i don't even try to create calendars for those.

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1 hour ago, Djtux said:

Yes that is correct. I had to look up the code to check.

Yes makes sense. Some might argue that it's better to look at RV rather than IV, but it's another discussion.

 

Thanks!   Agree about RV vs. IV and I go back and forth on this myself trying to decide what is better.   The advantage to using IV is that is applicable to all strategies as opposed to reporting separate straddle RV or  Calendar RV, etc.   I guess if we were to use RV it would be nice to have a common metric that is used consistently such as RV of the ATM put expiring at the closest expiration after earnings.   That way we could always be comparing apples to apples and by charting that you can see what option chains are cheap vs. expensive historically.  

 

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9 minutes ago, FrankTheTank said:

Thanks!   Agree about RV vs. IV and I go back and forth on this myself trying to decide what is better.   The advantage to using IV is that is applicable to all strategies as opposed to reporting separate straddle RV or  Calendar RV, etc.   I guess if we were to use RV it would be nice to have a common metric that is used consistently such as RV of the ATM put expiring at the closest expiration after earnings.   That way we could always be comparing apples to apples and by charting that you can see what option chains are cheap vs. expensive historically.  

 

Here's the main problem with using IV, IMO....When dealing with options that expire earnings week, IV can change by the minute - especially the later in the week you get.    And IV rise and ultimate level on T-0 will vary greatly if you have a Tuesday earnings one cycle and and Thursday earnings the next cycle.   Focusing on RV avoids a lot of that mess since it encompasses both IV and theta changes.    For earnings trades, if I didn't have to use the IV adjust toggle in PnL charting (using the IV change that correlates to the RV behavior) I would never even look at IV - I would only need to look at RV for the trade analysis.     Of course, for non-earnings trades, using IV is useful and necessary.

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15 hours ago, Yowster said:

Here's the main problem with using IV, IMO....When dealing with options that expire earnings week, IV can change by the minute - especially the later in the week you get.    And IV rise and ultimate level on T-0 will vary greatly if you have a Tuesday earnings one cycle and and Thursday earnings the next cycle.   Focusing on RV avoids a lot of that mess since it encompasses both IV and theta changes.    For earnings trades, if I didn't have to use the IV adjust toggle in PnL charting (using the IV change that correlates to the RV behavior) I would never even look at IV - I would only need to look at RV for the trade analysis.     Of course, for non-earnings trades, using IV is useful and necessary.

Good point.  For my own personal use I guess I would like to see both IV and RV but using some consistent metric for RV like the RV of an ATM put.   The reason I like to see IV changes as you noted is to use those values and plot out pnl changes in option risk graphs.

 

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1 hour ago, rygittins said:

How do you redeem the 50% coupon/  I am not seeing an option on the website?  Thank you.

You need to create an account, confirm your email, then add your credit card. Only then you will see the coupon textbox while in the checkout page.

The direct link is also on the first page of this thread.

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A newbie question:

Are there any explanations for the charts displayed in the Straddle and the Calendar pages?

I can guess some from chart titles, but I'm not sure if my understandings are correct.

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Really enjoying using this fantastic software and have a question. 

Would there be any way to include RV charts for long calls and puts for pre-earnings trades for perhaps 50 delta, 40 delta, and perhaps 20 delta? If that is too cumbersome perhaps 50 delta long calls and puts? Thanks so much in advance!

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1 minute ago, FrankTheTank said:

Along the same lines as @cimat post, what is the formula for calculating RV%?    Percent of what?   

image.png

It's the RV(T-x) / RV(reference T).

So you take the RV of the current day, divided by a constant RV at a reference date.

Here you can see that the reference date is T-4. You should see the RV in % at 100% at that date.

Then if you look at another date, if the RV in % is 110%, then you know that the RV increased by 10% between T-4 and the date you are looking at.

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On 1/28/2022 at 10:16 PM, Mudjud said:

Would there be any way to include RV charts for long calls and puts for pre-earnings trades for perhaps 50 delta, 40 delta, and perhaps 20 delta? If that is too cumbersome perhaps 50 delta long calls and puts? Thanks so much in advance!

I will have to think about it.

The reason why i like the RV charts like they are is that it is model independent.

The RV is just the option price / underlying stock at the strike closest to the underlying stock price.

There is no model.

If you introduce a delta, it is model-dependent.

First you select your model, say a lognormal process / Black Scholes model.

Then you select how you want to model the rates and the dividends. There is a never-ending literature being published about that. Do you model with a dividend yield, or cash dividends ? How do you forecast the dividend ?

Then for some stocks you might want to take into account the borrow rate, in case some stocks are hard to short.

Only then can you compute the volatility from the option price.

Once you have the volatility, then you can compute the delta.

 

But it's worth a try.

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Wow; Thanks so much for the thoughtful response. I hadn’t even considered most of your points which I obviously quite valid.

What about atm long calls and puts? Would that be easier?

Thanks again! 

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7 minutes ago, Djtux said:

But it's worth a try.

Why is it that simple seeming things always end up being not so simple, LoL.  I like the idea, but for simplification, how about settling for just the ATM call or put.  While it's not perfect, you can use it to make a judgement call on where the further out or in strikes would be.

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Historical ATM IV or RV data for ATM puts or calls would be nice for the expirations before and after earnings.  We could use that as a gauge for "cheap" vs. "expensive" for all the different earnings strategies.  

You don't really need RV or IV at other deltas unless you think there is some temporary inefficiency between the strikes.

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1 hour ago, Djtux said:

I will have to think about it.

The reason why i like the RV charts like they are is that it is model independent.

The RV is just the option price / underlying stock at the strike closest to the underlying stock price.

There is no model.

If you introduce a delta, it is model-dependent.

First you select your model, say a lognormal process / Black Scholes model.

Then you select how you want to model the rates and the dividends. There is a never-ending literature being published about that. Do you model with a dividend yield, or cash dividends ? How do you forecast the dividend ?

Then for some stocks you might want to take into account the borrow rate, in case some stocks are hard to short.

Only then can you compute the volatility from the option price.

Once you have the volatility, then you can compute the delta.

 

But it's worth a try.

 

The simple way to construct your forward of the stock price for the model input would be using one yield curve and calibrate it to the atm synthetic traded in the market for each expiry. Dividend forecasts are not really reflecting the dividend traded in synthetics (market), as they are often priced with a tax factor. Hence entering a cash dividend will leave you with a call put parity that is off.   

But be aware, even using only one yield curve to calibrate your forward instead of rate, div yield and borrow curve, it is still a lot of work to maintain. Especially for the entire stock universe you are providing date for.

Think the question is rather what is the benefit of this for real treading. It will anyway only be for information purpose as its based on closing prices that are sometimes misleading as well due to wide spreads. And the closer to expiry you get if the stock is not exactly atm and you need to use a strike above or below, this will give date that is far off, especially with low vol stocks, with straddles this data is smother as one leg has intrinsic value.

Basically if a straddle RV is low, the atm call and/or put will be low as well. But if you don’t delta hedge your call, the RV doesn’t really matter after one move in the market compared to straddles where you have a more neutral position that is more vol dependant.

 

 

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Can we modify RV to be "normalized RV" or "nRV" in the charts which takes into account the number of days between earnings and option expiration?   This impacts all trades but is especially important for monthly expirations.   It is very misleading to look at an RV chart like this one for HLT and assume each RV lines is showing the same thing.  In this current cycle the options expire the same week as earnings whereas in the cycle prior options expired 3 weeks later.

 

Maybe at the most simple level nRV should be 

nRV = (option spread price / stock price) / D

D = days between earnings and option expiration


image.png

 

Would love to get @Djtux @Yowster and @TrustyJules comments on this.   

Edited by FrankTheTank

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15 minutes ago, FrankTheTank said:

Can we modify RV to be "normalized RV" or "nRV" in the charts which takes into account the number of days between earnings and option expiration?   This impacts all trades but is especially important for monthly expirations.   It is very misleading to look at an RV chart like this one for HLT and assume each RV lines is showing the same thing.  In this current cycle the options expire the same week as earnings whereas in the cycle prior options expired 3 weeks later.

 

Maybe at the most simple level nRV should be 

nRV = (option spread price / stock price) / D

D = days between earnings and option expiration


image.png

 

Would love to get @Djtux @Yowster and @TrustyJules comments on this.   

This is indeed very important - and not only in options that only have monthlies.

 

To add to this, in the RV calculation that GF58 shared the exact DTE is essential to the calculation. As you saw in that prior trade the difference with standard vol.HQ RV can be large

Edited by TrustyJules

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@FrankTheTank  It would depend on how accurate a normalized RV statistic would be, but I don't consider it a requirement.   For the short-term straddle trades I tend to look at the relative RV behavior (ie. how well the RV tends to holds up) instead of looking at an absolute RV level.    For the hedged straddle trades (with much more time for RV to decline) I do tend to look at absolute RV levels in that I want the adjusted RV down to a level that compares well to prior cycles at short expiration - but for these trades I only look at stocks that have weeklies available.

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1 hour ago, StephaneBenichou said:

Hi @Djtux I have one question please. Do you account for week end in you DTE calculation or you just count only trading days. Because it seems you have continuous dte from t-30 to t0 but options loose value during week ends.

Thanks

I just count the trading days.

I don't think that debate is settled. Some may say that the friday afternoon price already accounts for the weekend.

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6 minutes ago, StephaneBenichou said:

Ok Thank you So say we have earnings on tuesday and monday is closed, in friday it will be t-1?

 

Depends on if the earning is before market open or after market close.

If BMO Tuesday, then friday is T-0.

If AMC Tuesday, then friday is T-1 and tuesday is T-0

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@Djtux

This is the last 3 days of MQ Straddle values. See the BLUE tool tip, straddle value is calculated for the price $10. How is the line chart 2.30 (T-4 day) value RV data point is lower than the T-3 with the same stock price 10$ ? Similarly T-3 data point is lower than T-2 for the same straddle price $10.

 

image.png.b7dc82a7600612c618ce55c48162b1a9.pngimage.png.f6895ec4dd0a3bbbe617ad41873b4948.pngimage.png.a7c8ea22f2ba71bfcdba121a285dba90.png

 

 

Full RV chart (see the upward trend in BLUE line for last 3 days)

image.thumb.png.236f045218e6cb7c4133bddd33014061.png

 

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4 minutes ago, krisbee said:

@Djtux

This is the last 3 days of MQ Straddle values. See the BLUE tool tip, straddle value is calculated for the price $10. How is the line chart 2.30 (T-4 day) value RV data point is lower than the T-3 with the same stock price 10$ ? Similarly T-3 data point is lower than T-2 for the same straddle price $10.

 

image.png.b7dc82a7600612c618ce55c48162b1a9.pngimage.png.f6895ec4dd0a3bbbe617ad41873b4948.pngimage.png.a7c8ea22f2ba71bfcdba121a285dba90.png

 

 

Full RV chart (see the upward trend in BLUE line for last 3 days)

image.thumb.png.236f045218e6cb7c4133bddd33014061.png

 

The K mean strike in the popup. That the usual notation in quant finance, and the underlying would be S for spot or F for forward. But i understand that it's not explicit.

Here is the manual calculation :

image.png

You can see that the straddle rv (straddle price / stock price) is increasing.

To see the stock price, you could enable the "Show stock price change" in the Advanced Settings :

image.png

image.png

image.png

 

 

The selected strike is always 10.0 because the only available strikes around the stock price (for that expiry) are : 5.0, 7.5, 10, 12.5, 15.

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50 minutes ago, krisbee said:

@Djtux BEST straddle chart doesn't show RV line for current cycle. Can you please check if it's working?

I’m not able to access my laptop right now, but it seems that the stock is almost a penny stock and it seems there is no volume in the option market.

I suspect that i don’t even have the option data for that stock on certain days.

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