volatilityhq.com Official Thread

[jbthree 6]

23 minutes ago, Yowster said:

Yes, that is the most important to me.  I want to see that adjusted RV when factoring in short strangle sale(s) to look good when compared to prior cycles.  The biggest gains come from gamma so this gives the stock more days to move.   Turns out I probably entered by IBM trade a bit early, but if the stock happening to move during the past week then it would have paid off  - but my adjusted RV after multiple sales should get me in good shape when compared to prior cycles so I'm not panicking at this point. 

I probably learned it from you  This is what I would like the chart to do for me. In the end, each cycle will converge on 0%. At T-0, RV1=RV2, so the calculation would be 0/RV1.

[Djtux 548]

34 minutes ago, jbthree said:

If I wanted to do this now, I would hover over the date I am interested in, and get the RV (RV1) and then look at the RV at T-0 (or at final strangle expiration) (RV2), and then make the following calculation (RV1-RV2)/RV1 to get the percentage decrease from that date.

Thanks for the suggestion.

How would you handle the current cycle ? Obviously for the current cycle, the RV at T-0 is not known.

[jbthree 6]

4 minutes ago, Djtux said:

Thanks for the suggestion.

How would you handle the current cycle ? Obviously for the current cycle, the RV at T-0 is not known.

I have struggled with this as well. Really we would only need the ATM straddle price, to multiply by the expected %RV loss.

@Yowster What do you think?

[Yowster 9,174]

One idea would be to have an input box where the user can specify a "credit% received per short strangle" and then display somewhere what the adjusted RV would be at the expiration of the last short strangle (factoring in the number of possible short strangle iterations).  You could default to something like 6.5% per short strangle but let the user tweak that number.   This is the calculation I do all the time when looking at these charts, so nice if the tool would do it for me.

[jbthree 6]

I love it!

[Djtux 548]

On 9/19/2017 at 8:00 PM, Yowster said:

One idea would be to have an input box where the user can specify a "credit% received per short strangle" and then display somewhere what the adjusted RV would be at the expiration of the last short strangle (factoring in the number of possible short strangle iterations).  You could default to something like 6.5% per short strangle but let the user tweak that number.   This is the calculation I do all the time when looking at these charts, so nice if the tool would do it for me.

I deployed that on the website, let me know if that is what you had in mind.

I had to add 2 new options :

• Credit received per short strangle (in %): be default 6.5
• Minimum number of business days between trade date and the strangle expiry date: 2. Realistically, if we are at the end of the current week, we won't sell the strangle, so even if there is technically an expiry date during the current week, we have to ignore it.

[Djtux 548]

1 hour ago, Djtux said:

Minimum number of business days between trade date and the strangle expiry date: 2.

Hum actually i think 2 might not be the best number, maybe it should be 3 or 4.

[Yowster 9,174]

@DjtuxYes, this looks good, makes it easy to visualize.  Thanks for the quick response!    One question, and I'm not sure if this is a bug or not.   I noticed that the adjusted RV line can be below all prior points at T-0 on the main RV chart, yet on the RVin% chart some points are below the line at T-0.   This does not seem to make sense.   To see an example of this use HOG with 6.5% short strangle credit and 4 minimum days prior to expiry (agree that 2 is too low of a default, but as long as I can change this its not a big deal).

[Djtux 548]

9 minutes ago, Yowster said:

I noticed that the adjusted RV line can be below all prior points at T-0 on the main RV chart, yet on the RVin% chart some points are below the line at T-0.   This does not seem to make sense.   To see an example of this use HOG with 6.5% short strangle credit and 4 minimum days prior to expiry (agree that 2 is too low of a default, but as long as I can change this its not a big deal).

I think i see what you mean. I will have to double check when i have more time, but from a quick glance, it seems to me the effect of the definition of the "RV in %" chart as every lines is rescaled to 1.0 at the current date (T-18 today).

Or maybe in the RV in % chart, just dividing the RV in % by the number of strangles * 6.5% is not the correct way.

I feel like i'm missing something.

[Yowster 9,174]

22 minutes ago, Djtux said:

I think i see what you mean. I will have to double check when i have more time, but from a quick glance, it seems to me the effect of the definition of the "RV in %" chart as every lines is rescaled to 1.0 at the current date (T-18 today).

Or maybe in the RV in % chart, just dividing the RV in % by the number of strangles * 6.5% is not the correct way.

I feel like i'm missing something.

@DjtuxThe more I think about it, I think its mostly caused by things being rescaled as equal at today's date and because the adjusted RV line is based purely on the cost of the current cycle straddle.  So, when you see points below the line in the RVin% chart it means that some cycles had RV drops that would exceed the typical coverage of short strangle credits - and that is a good thing to show as it would basically indicate if the past trade would have been a winner or loser based purely on short strangle credits (no gamma).   An additional idea came to mind when looking at this -  It may be a nice feature to allow the user to specify what T-x day to use when rescaling the RVin% chart to 1.0 (default to current day).

 

Also factoring in, probably to a lesser degree, is that the top RV chart includes both the stock price and ATM straddle price in calculations - since it tracks RV percentage at each day, if the stock price moves then the ATM straddle cost is divided by a different stock price to compute the RV.  However, the RVin% chart only appears to track the ATM straddle price and computes percentage changes to that straddle price (not factoring in that the ATM strike may be changing along the way).

[Javier 99]

In my view, it wouldn't be bad to repeat (duplicate) y axes in the right side of the graph. Very useful when you picture many days.

.... And clarify in the second graph the content (fi. Adding the formula). A help or something is urgently needed to understand the graphs.

Edited September 21, 2017 by Javier

[jbthree 6]

8 hours ago, Yowster said:

@DjtuxYes, this looks good, makes it easy to visualize.  Thanks for the quick response!    One question, and I'm not sure if this is a bug or not.   I noticed that the adjusted RV line can be below all prior points at T-0 on the main RV chart, yet on the RVin% chart some points are below the line at T-0.   This does not seem to make sense.   To see an example of this use HOG with 6.5% short strangle credit and 4 minimum days prior to expiry (agree that 2 is too low of a default, but as long as I can change this its not a big deal).

I love it. In the chart below, for example, I see that there was only a single cycle when strangles didn't cover the cost of RV decay of the long straddle.

 

Edited September 21, 2017 by jbthree

[Djtux 548]

8 minutes ago, jbthree said:

I love it. In the chart below, for example, I see that there was only a single cycle when strangles didn't cover the cost of RV decay of the long straddle.

Thanks. In the chart you showed, there was a flaw i discussed above. Realistically, you would probably not sell the Sept 22 strangle today or yesterday because the expiry is too close and you would not decent credit.

So i think the option "Minimum number of business days between trade date and the strangle expiry date" should be 3 or 4 to prevent that.

[Djtux 548]

7 hours ago, Yowster said:

An additional idea came to mind when looking at this -  It may be a nice feature to allow the user to specify what T-x day to use when rescaling the RVin% chart to 1.0 (default to current day).

I can definitely look into this, and combine that option for other features that some members wanted (like the stock price change chart, or something to fix the straddle strike each day to see the 'return').

7 hours ago, Yowster said:

However, the RVin% chart only appears to track the ATM straddle price and computes percentage changes to that straddle price (not factoring in that the ATM strike may be changing along the way).

RV in % is using exactly the same data as the RV chart. The only difference is that for each cycle, i display RV(T)/RV(T-X) where X is the 'current' date.

So the RV in % should factor in the change in ATM strike along the way. If it wasn't the case, i think the chart would look like a mess.

45 minutes ago, Javier said:

In my view, it wouldn't be bad to repeat (duplicate) y axes in the right side of the graph. Very useful when you picture many days.

.... And clarify in the second graph the content (fi. Adding the formula). A help or something is urgently needed to understand the graphs.

Repeating the y axes on the right side, i will have to look into it if the charting library is use support that.

For adding the formula in the hover text of the 2nd chart (RV in % chart), i was thinking about that while taking my shower this morning .

As for a documentation, yes i have to do that.

[Yowster 9,174]

1 hour ago, Djtux said:

Thanks. In the chart you showed, there was a flaw i discussed above. Realistically, you would probably not sell the Sept 22 strangle today or yesterday because the expiry is too close and you would not decent credit.

So i think the option "Minimum number of business days between trade date and the strangle expiry date" should be 3 or 4 to prevent that.

@jbthreeIf you do decide to sell a short first week with only a couple of days until expiration, you can set this up by using the lower "minimum number of business days" value and by lowering the percentage value - for example if you sell a short week at 3% credit and then get 6% in weeks 2 and 3 then use a value of 5% in the credit received box (3%+6%+6% / 3 = 5%)

[jbthree 6]

1 hour ago, Djtux said:

Thanks. In the chart you showed, there was a flaw i discussed above. Realistically, you would probably not sell the Sept 22 strangle today or yesterday because the expiry is too close and you would not decent credit.

So i think the option "Minimum number of business days between trade date and the strangle expiry date" should be 3 or 4 to prevent that.

I agree. I didn't see any reason to repeat the comments already mentioned. So provided these issues are taken into account, I love it! I also like @Yowster's idea of selecting the "T" date used to calculate the % change in RV over time.

[jbthree 6]

1 minute ago, Yowster said:

@jbthreeIf you do decide to sell a short first week with only a couple of days until expiration, you can set this up by using the lower "minimum number of business days" value and by lowering the percentage value - for example if you sell a short week at 3% credit and then get 6% in weeks 2 and 3 then use a value of 5% in the credit received box (3%+6%+6% / 3 = 5%)

Thanks! I hadn't thought of that. Would it then sell a short the week of expiration, expiring after earnings? I can play with it this afternoon to check, if you don't know offhand.

[Yowster 9,174]

1 minute ago, jbthree said:

Thanks! I hadn't thought of that. Would it then sell a short the week of expiration, expiring after earnings? I can play with it this afternoon to check, if you don't know offhand.

@jbthreeNo, all short strangle sales expire prior to earnings week (look at the strangle dates shown in the blue text on left side of the graph).

[SBatch 3,123]

@Djtux This is an excellent addition, thanks to @Yowster for the suggestion.  IBM looks extremely compelling utilizing the new function with the 6% default:

 

Edited September 21, 2017 by SBatch

[jroback 5]

Djtux:  This is a really helpful enhancement to your already great site ! 

[Kim 7,943]

Thank you @Djtux, great enhancement!

2 comments regarding the default values (and I realize they can be changed by the user, but I like default values to be as realistic as possible):

1. 6.5% credit might be too optimistic. I know this is what we aim for, but many times we get less. And even more importantly, we usually don't let the shor strangles to expire worthless, but close them for ~0.03-0.05 per leg. That would reduce at least 10-5% from the credit (you sold the strangle for 0.65 and closed it for 0.09 means you get 5.5% and not 6.5%).
2. Two days should definitely be changed to at least 4. To me, selling strangle should be at least a week in advance, but Monday is the absolutely latest I would do it. Otherwise you just don't get enough credit, and it is better to go to the following week.

[Djtux 548]

3 hours ago, Kim said:

• 6.5% credit might be too optimistic. I know this is what we aim for, but many times we get less. And even more importantly, we usually don't let the shor strangles to expire worthless, but close them for ~0.03-0.05 per leg. That would reduce at least 10-5% from the credit (you sold the strangle for 0.65 and closed it for 0.09 means you get 5.5% and not 6.5%).
• Two days should definitely be changed to at least 4. To me, selling strangle should be at least a week in advance, but Monday is the absolutely latest I would do it. Otherwise you just don't get enough credit, and it is better to go to the following week.

I made that change. I believe it's better to set the default to be a little bit more conservative.

Obviously it can be changed for more advanced users, and i have a plan in the future to have a user 'profile' to store&change default values specific to each users.

[RapperT 336]

@Djtux maybe you answered this somewhere, how are you determining what straddle to plot as obviously there wont be a perfectly delta neutral straddle available each day.  DO you take the one closest to EOD price?

[Djtux 548]

4 minutes ago, RapperT said:

@Djtux maybe you answered this somewhere, how are you determining what straddle to plot as obviously there wont be a perfectly delta neutral straddle available each day.  DO you take the one closest to EOD price?

For the moment i select the closest strike to the EOD stock close price.

I already though about improving that by calculating the atm straddle by interpolating the IV on the vol smile and using an option pricer to calculate the price of that option.

I haven't tried that yet, although i can already foresee some potential cases where it's not that easy to compute the price (american feature, interest rate, dividends).

My background is both computer science and quant finance, and do that (pricing models, derivatives, even modelling/calibrating the equity vol surface) for a living, and sometimes a too complex modelling is not always better. That doesn't mean that we should not try to improve things for sure. 

[RapperT 336]

Thank you.  That helps  me understand the disparity in some of our charts at around t-1 into earnings 

 

keep up the great work, love the new additions 

Edited September 22, 2017 by RapperT

[Djtux 548]

Following the discussions here : https://steadyoptions.com/forums/forum/topic/4015-october-16-20-2017-trading-candidates/?do=findComment&comment=83476

9 minutes ago, Javier said:

I can figure out how to get this chart out of ivolatility too. My problem is that I load your scanner data into an MS Access database, and one of the filters I use is stocks with your Mean IV below 25%, and I see now the trigger is higher than intended. Can you do anything to provide the right IV figure in the You scanner?.

Yes i will  definitely look into it, i have to do some research to find a good metric so that it's displayed in the scanner.

I added a new page (https://www.volatilityhq.com/backtester/implied_volatility/) to show the IV but it doesn't solve your filtering problem.

[Javier 99]

Thank you, it will be a good help for me. I extract from your scanner shares with

1) Earnings date >7days and <30 days from current.

2) Mean  IV<25  (to discard medium/high volatility stocks)

3) current RV < current avge RV

4) (current RV - strangle profits ) current < smallest of the last RV cycles at T=0

4)  average IV at t=0 > 90% average RV current (little descendant slope)

 

[Djtux 548]

4 hours ago, Javier said:

Thank you, it will be a good help for me. I extract from your scanner shares with

1) Earnings date >7days and <30 days from current.

2) Mean  IV<25  (to discard medium/high volatility stocks)

3) current RV < current avge RV

4) (current RV - strangle profits ) current < smallest of the last RV cycles at T=0

4)  average IV at t=0 > 90% average RV current (little descendant slope)

 

That's interesting.

For point 4) i assume you are looking at the average RV at T=0.

For the non-earnings median implied volatilit, i've added a new column in the scanner : "NE. M. IV" which also contains a url link to the IV chart to double-check.

For IBM, it gives 14.90% which seems closer to the number we see in the IV chart.

Have a look and let me know.

[Javier 99]

13 hours ago, Djtux said:

That's interesting.

For point 4) i assume you are looking at the average RV at T=0.

For the non-earnings median implied volatilit, i've added a new column in the scanner : "NE. M. IV" which also contains a url link to the IV chart to double-check.

For IBM, it gives 14.90% which seems closer to the number we see in the IV chart.

Have a look and let me know.

Yes, of course that point 4) is "average"

 I just checked your new features, and seem quite promising. Don't bother too much if NE.M. IV is 14,9 or 15,1, it doesn't make much difference to decide if the name is a high or low volatility one. Thanks.

I see your site very very useful, and improving daily, at least for SO users.

PD. A nice to have feature would be the Straddle vs. Actual Price Effect chart that can be seen under the tab Earnings in marketchameleon.com site. It gives You a good flavor about RV tendency (fi: my bet for IBM next earnings is RV drifting up to a value >= 4,5% with that graph). The idea is to have most of the tools in the same site.

Bye and well done.

[Djtux 548]

2 minutes ago, Javier said:

I see your site very very useful, and improving daily, at least for SO users.

Thanks for the support.

3 minutes ago, Javier said:

A nice to have feature would be the Straddle vs. Actual Price Effect chart that can be seen under the tab Earnings in marketchameleon.com site.

That's a good idea, and it was already in my to-do list.

It will be useful with a longer history (>2Y).

I'm not really sure what's the best way to display it : I could for sure starts with a table (earning date, price effect, straddle RV).

[Javier 99]

On 5/10/2017 at 7:48 PM, Djtux said:

Thanks for the support.

That's a good idea, and it was already in my to-do list.

It will be useful with a longer history (>2Y).

I'm not really sure what's the best way to display it : I could for sure starts with a table (earning date, price effect, straddle RV).

Saw your straddle RV table and it is just what was needed. Thanks.

[SBatch 3,123]

@Djtux Would it be possible to add some type of earnings confirmation watchlist to your site?  For example, if I could create a watchlist of certain stocks and be notified by email when they confirm earnings that would be a great additional feature.

[Djtux 548]

2 hours ago, SBatch said:

@Djtux Would it be possible to add some type of earnings confirmation watchlist to your site?  For example, if I could create a watchlist of certain stocks and be notified by email when they confirm earnings that would be a great additional feature.

I had a variation on that in my todo list (yes it's true: "Email notification if a candidate confirmed its date"), but for the moment, i think i will start with a more simple implementation.

I'm thinking about a new page that looks like an activity feed but would provide a feed of the stocks with the earnings status changed from unconfirmed to confirmed.

Later on, i will add an email notification system with some user profile (like stocks that interest you, default settings), but i have to get up to speed with the law about emails (CAN-SPAM act).

Anyway i prefer to start with a simpler first version that is robust and reliable and then expand on that.

You don't want to receive hundreds of email notifications by mistake :).

[Djtux 548]

Just a notice to let you know that i'm aware of a bug in the 'straddle table' page, i will post update when i know more about why and when it's fixed.

The bug appears for some ticker, and right now it's occurring with MCD.

Sorry about that.

[Djtux 548]

1 hour ago, Djtux said:

Just a notice to let you know that i'm aware of a bug in the 'straddle table' page, i will post update when i know more about why and when it's fixed.

The bug appears for some ticker, and right now it's occurring with MCD.

Sorry about that.

Ok it's fixed and deployed to the production website.

[Djtux 548]

On 10/10/2017 at 4:06 PM, SBatch said:

@Djtux Would it be possible to add some type of earnings confirmation watchlist to your site?  For example, if I could create a watchlist of certain stocks and be notified by email when they confirm earnings that would be a great additional feature.

On 10/10/2017 at 6:39 PM, Djtux said:

I'm thinking about a new page that looks like an activity feed but would provide a feed of the stocks with the earnings status changed from unconfirmed to confirmed.

Just fyi, i implemented a crude earning feed page to track when a stock earning date is confirmed.

Obviously it's not exactly what you asked, but it's a step in that direction.

 

[MichiganWater 11]

Hi Djtux,

I've been exploring the scanner a bit, and I'd like to know if it's possible to change the number of cycles that the scanner uses.  For example, I'm interested in the "Decay BD" column, but I'd like to see what the results are for the past 4 cycles rather than the last 8.  Let me know if that's at all possible.  Thanks.

 

Also, on the subject of Decay BD, is the calculation correct?  There are fewer BD than CD, yet the decay/day is lower than for Decay CD, which is opposite of what I would expect.  More days should mean lower decay/day, yeah?  For example, WLL has a -4.78% decay/day for 5 CD, but -3.98% decay for 4 BD ("D.").

Edited October 20, 2017 by MichiganWater
Added a question on the Decay BD.

[Djtux 548]

7 hours ago, MichiganWater said:

I've been exploring the scanner a bit, and I'd like to know if it's possible to change the number of cycles that the scanner uses.  For example, I'm interested in the "Decay BD" column, but I'd like to see what the results are for the past 4 cycles rather than the last 8.  Let me know if that's at all possible.  Thanks.

I can't change the current columns as someone could rely on those, but i could add additional columns like the 2 decays, average current RV, average RV at T=0, lowest RV at T=0 for 4 cycles. I was also thinking of adding same type of columns but for a longer history like 3Y or maybe 5Y.

I will have to check how to deal with the number of columns as it's getting crowded.

7 hours ago, MichiganWater said:

Also, on the subject of Decay BD, is the calculation correct?  There are fewer BD than CD, yet the decay/day is lower than for Decay CD, which is opposite of what I would expect.  More days should mean lower decay/day, yeah?  For example, WLL has a -4.78% decay/day for 5 CD, but -3.98% decay for 4 BD ("D.").

You are perfectly right, and looking at the code it should be the case that BD<=CD but obviously it's not what we observe on the decay on some cases. I will have to debug the code to understand what's going on. Thanks for the feedback, it's a good catch.

[Djtux 548]

8 hours ago, MichiganWater said:

Also, on the subject of Decay BD, is the calculation correct?  There are fewer BD than CD, yet the decay/day is lower than for Decay CD, which is opposite of what I would expect.  More days should mean lower decay/day, yeah?  For example, WLL has a -4.78% decay/day for 5 CD, but -3.98% decay for 4 BD ("D.").

There is 2 issues i found :

1. The column decay BD dans decay CD was inverted, that's a stupid mistake on my part. I just deployed a fix on the website.
2. There is a 1 day offset difference between the BD and CD calculation. That can be seen in the D. and CD. column. I will have to double-check that and fix it.

[Javier 99]

Am sorry but I am not able to understand you Decay columns of the scanner. Can you give me a help. Let's see with an example:

HBAN

S. AVGE CUR RV.   6,00%

S. AVGE T=0           5,82%

D                              3

CD                           4

DECAY BD      (5,82-6,00)/3    =   - 0,06      Your table shows   -0,75%

DECAY CD      (5,82-6,00)/4    =   - 0.045     Your table shows  -0,60%

 

what am missing?

 

[Djtux 548]

1 hour ago, Javier said:

Am sorry but I am not able to understand you Decay columns of the scanner. Can you give me a help. Let's see with an example:

HBAN

S. AVGE CUR RV.   6,00%

S. AVGE T=0           5,82%

D                              3

CD                           4

DECAY BD      (5,82-6,00)/3    =   - 0,06      Your table shows   -0,75%

DECAY CD      (5,82-6,00)/4    =   - 0.045     Your table shows  -0,60%

 

what am missing?

 

Yep i know it is a little confusing.

The Average Cur RV and Average T=0 value was with the EOD value from yesterday so the D (business days between yesterday and the last trading date) is 4 and the CD is 5.

The D and CD columns that is in the scanner shows 3 and 4 respectively because it is calculated with the 'today' date UTC time.

Decay BD (5.82%/6.00%-1)/4 = -0.75%

Decay CD (5.82%/6.00%-1)/5 = -0.60%. 

Edited October 20, 2017 by Djtux

[Javier 99]

9 hours ago, Djtux said:

Yep i know it is a little confusing.

The Average Cur RV and Average T=0 value was with the EOD value from yesterday so the D (business days between yesterday and the last trading date) is 4 and the CD is 5.

The D and CD columns that is in the scanner shows 3 and 4 respectively because it is calculated with the 'today' date UTC time.

Decay BD (5.82%/6.00%-1)/4 = -0.75%

Decay CD (5.82%/6.00%-1)/5 = -0.60%. 

Ok understood the divisor, but IMO  that is not the daily decay, or average RV loss per "business/calendar" day, as it states when you hover your mouse, what it decays in a day is what decays in a period (just the difference) divided by the number of days. Your figure is more the average percent decay in the period day.

(ARVT=0 - ACRV) / ACRV / D, as in your formula, vs (ARVT=0 - ACRV) / D. In my humble opinion second simplest formula is more meaningful, but maybe a moot point.

 

 

Edited October 21, 2017 by Javier

[Djtux 548]

3 hours ago, Javier said:

average RV loss per "business/calendar" day, as it states when you hover your mouse, what it decays in a day is what decays in a period (just the difference) divided by the number of days. Your figure is more the average percent decay in the period day.

I can see your point. I guess my description wasn't precise enough. Thanks for going into the details.

It's like when you say : i made that trade and i loss X.

X could be absolute value (dollar amount) or in percentage (compared to the margin required for example).

In this case, because the decay in the scanner is primarily used to compare the decay between stocks, i believe it's better to have a number that is independent from the level of the RV.

(ARVT=0 - ACRV) / D would be dependent on the level of the RV : it's going to be difficult to compare the decay between a stock where the RV is 5% compare to another stock where the RV is 10%

(ARVT=0 - ACRV) / ACRV / D is independent of the level of the RV, and gives a rough idea on the percentage loss per day of the average RV between current T and T=0.

Let me know if that makes sense. I think the percentage version is better to use as a filter between stocks.

I can at least change the hover text description to say 'percentage'.

[Javier 99]

3 hours ago, Djtux said:

I can see your point. I guess my description wasn't precise enough. Thanks for going into the details.

It's like when you say : i made that trade and i loss X.

X could be absolute value (dollar amount) or in percentage (compared to the margin required for example).

In this case, because the decay in the scanner is primarily used to compare the decay between stocks, i believe it's better to have a number that is independent from the level of the RV.

(ARVT=0 - ACRV) / D would be dependent on the level of the RV : it's going to be difficult to compare the decay between a stock where the RV is 5% compare to another stock where the RV is 10%

(ARVT=0 - ACRV) / ACRV / D is independent of the level of the RV, and gives a rough idea on the percentage loss per day of the average RV between current T and T=0.

Let me know if that makes sense. I think the percentage version is better to use as a filter between stocks.

I can at least change the hover text description to say 'percentage'.

Thanks in advance, "Both" ways make sense when you know what is under the waters, after all We talk of difference, thus independent of the stock RV rate.

In your 5% or 10% example, the other end would be in the 5,xx% or in the 10,yy%, and difference is 0,xx% vs 0,yy%, is fully comparable as well.

Whatever you use is good provided you know what is behind.

 

Edited October 21, 2017 by Javier

[MichiganWater 11]

On 10/20/2017 at 5:15 AM, Djtux said:

I can't change the current columns as someone could rely on those, but i could add additional columns like the 2 decays, average current RV, average RV at T=0, lowest RV at T=0 for 4 cycles. I was also thinking of adding same type of columns but for a longer history like 3Y or maybe 5Y.

I will have to check how to deal with the number of columns as it's getting crowded.

You are perfectly right, and looking at the code it should be the case that BD<=CD but obviously it's not what we observe on the decay on some cases. I will have to debug the code to understand what's going on. Thanks for the feedback, it's a good catch.

I like how you have it set up with the "Column visibility" button that can be used to select which ones are of most interest.  Even if they are initially hidden, having the option to display 4-cycle columns (or selectable n-cycle columns) would be great.

Thanks for considering my request.  I'm finding your tool to be very useful.

 

[Djtux 548]

On another note, i made a change so that the RV charts always show the RV from T-30 to T+1, whereas before there were some minimum between T-11 and T+1.

T-30 is 30 business days before the earnings, so it should be plenty of time to see trends which could be difficult to spot before when the charts started at T-11.

Let me know that you prefer that or not.

 

On 10/21/2017 at 1:56 PM, MichiganWater said:

I like how you have it set up with the "Column visibility" button that can be used to select which ones are of most interest.  Even if they are initially hidden, having the option to display 4-cycle columns (or selectable n-cycle columns) would be great.

Thanks for considering my request.  I'm finding your tool to be very useful.

Thanks. I will come back to you when i have something to show.

[MichiganWater 11]

I just had a thought about the table and columns issue.  Perhaps it would be better to just have an option to be able to generate the table using a selectable number of cycles, rather than add a new column to the present table that's set for 8 cycles.  I don't know if that would be easier, but it's a thought.

[Djtux 548]

On 10/20/2017 at 12:26 AM, MichiganWater said:

I've been exploring the scanner a bit, and I'd like to know if it's possible to change the number of cycles that the scanner uses.  For example, I'm interested in the "Decay BD" column, but I'd like to see what the results are for the past 4 cycles rather than the last 8.  Let me know if that's at all possible.  Thanks.

That is now available live on the website.

There is a new input to select the 'number of historical years' to take into account to compute the columns like Average RV at T, Average RV at T=0, Min RV at T, Min RV at T=0 and the decays.

Let me know if that meets your need.

[MichiganWater 11]

Looks great.  Thanks for implementing that option!

[Christof+ 274]

On 21.10.2017 at 1:48 AM, Djtux said:

The D and CD columns that is in the scanner shows 3 and 4 respectively because it is calculated with the 'today' date UTC time.

Decay BD (5.82%/6.00%-1)/4 = -0.75%

@Djtux, I am thankful for your useful comment on art-of.trading, here a constructive remark on the decay calculation above:

If your goal is to convey an idea about the actual daily percentage decay of a position held in the straddle (f.e. for the short theta you would need on any day to offset the effect), a simple average will not do the trick. Returns compound. Since the basis of the percentage calculation changes every day, they are not additive. For a correct calculation you would have to use the geometric mean (either by using 1 + total_decay = (1 + daily_decay)^ nbr_days, or by simply converting to continuous/log returns which are additive). I would argue that for very small decays this is an academic exercise with not much practical value. Unfortunately, RV decays can be quite large. For example, for an RV losing 50% over 20 days, the daily decay you as a straddle holder would be exposed to is 3.41%, while the simple average is just 2.50%.

A simple daily average will always underestimate the true value (I have no access to your site but I would expect your values to be generally smaller than mine). Additionally, the error grows exponentially with an increase in total decay (rendering comparative statements like 'RV of YY decays twice as fast as the one of ZZ' incorrect).