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3 minutes ago, Djtux said:

Create an account on the website volatilityhq.com, you will receive an email to confirm your email address, click the link to confirm.

Then you can go to the subscribe page, enter your credit card, enter the coupon and click "apply coupon" and then subscribe.

When you enter your credit card, it will ask your address including your state. If you give a New York State as the billing zipcode, i have to collect sales tax.

@4REAL Thanks for the help !

 

I did setup an account, but have not subscribed yet.

I see a tab , on the top, that says "scanner".

When I click it, it won't take me there.

I just wanted to learn more about what this scanner does, and how it works before subscribing.

Is there anyplace , on your site, where there is some explanation of that function?

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4 minutes ago, cuegis said:

I did setup an account, but have not subscribed yet.

I see a tab , on the top, that says "scanner".

When I click it, it won't take me there.

I just wanted to learn more about what this scanner does, and how it works before subscribing.

Is there anyplace , on your site, where there is some explanation of that function?

Yes it's a subscriber restricted page.

There is what you can see on the scanner page right now, there are some config settings to filter the stocks.

 image.png

When you click submit, you get this page where it shows for each ticker different informations, like the earning date, how many days until earning, the different IVs, IV percentil, volume, etc. When you put the mouse on the column header, it gives you the description of the column.

You can also export the whole table to an excel file or csv file. This is where i extracted a spreadsheet that i sent you couple of months ago.

Is there anything you would like to see ?

image.png

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21 hours ago, Djtux said:

Yes correct.

Day 0 is the last trading session before the earning announcement. So if the announcement is after market close, then Day 0 is the same day. If the announcement is before market open, then Day 0 is the trading day before.

For straddle, the RV is almost going down. Depending on the stock, it could be less or more steep, sometimes there are some zones where it's more flat/less steep. But in general the straddle RV go down. This is why Yowster added the short strangle hedge component to try to not lose too much if the stock doesn't move while keeping some possible gamma gains if the stock moves.

For calendar, for some stocks it's a little bit different and there are some stocks where you see 2-3 weeks before earnings (typically after the earning date has been confirmed) the calendar RV going up. See the screenshot for the calendar RV below. You could zoom in on the website. You can see the earning date being confirmed around T-15, then then RV of the calendar goes up.

image.png

 

I was just thinking about these 2 things.

1- The fact that the straddle RV typically just continues to drift straight down in that 60 day period leading up to day 0. As in the CRM chart above.

2- The calendar is, sort of, the opposite. It reaches a point , depending on the stock, somewhere about 2 weeks before earnings, where it trends upward.

I was thinking of a way to put these 2 things together, and create something to take advantage of both of these factors.

Maybe something like a modified calendar. Or, really a diagonal calendar, where you sell the ATM ( or lean it slightly in one direction, if you choose) straddle, in the first expiration, post earnings, that has the highest IV. Then buy out of the money wings (puts below, calls above), in a further, much lower IV expiration.

It basically is a calendar that is diagonal.

Any thoughts on this?

And, of course, like any pre earnings trade, it is closed out before earnings.

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33 minutes ago, cuegis said:

I was just thinking about these 2 things.

1- The fact that the straddle RV typically just continues to drift straight down in that 60 day period leading up to day 0. As in the CRM chart above.

2- The calendar is, sort of, the opposite. It reaches a point , depending on the stock, somewhere about 2 weeks before earnings, where it trends upward.

I was thinking of a way to put these 2 things together, and create something to take advantage of both of these factors.

Maybe something like a modified calendar. Or, really a diagonal calendar, where you sell the ATM ( or lean it slightly in one direction, if you choose) straddle, in the first expiration, post earnings, that has the highest IV. Then buy out of the money wings (puts below, calls above), in a further, much lower IV expiration.

It basically is a calendar that is diagonal.

Any thoughts on this?

And, of course, like any pre earnings trade, it is closed out before earnings.

I see what you mean but i will have to let more experienced traders to answer that one. You might have better luck in another forum thread.

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On 5/31/2018 at 1:32 PM, 4REAL said:

the 1st post of this thread states :

"Link to the website : https://www.volatilityhq.com/payments/confirm/1/?coupon_code=SO5018Q2 (you need to create an account first).

For members of this forum, there is a 50% forever coupon is SO5018Q2 and must be redeemed by June, 30th2018. The 50% discount will be applied for as long as you keep your subscription (please make sure to update your credit card if it expires)."

I am trying to subscribe to the service.

I have input my CC info, and when I input the "forever coupon" code, it is telling me "invalid code".

So, I don't want to finish up , and confirm subscription, until the discount is recognized.

 

Never mind....I tried again, and it worked

 

Edited by cuegis

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2 minutes ago, cuegis said:

I am trying to subscribe to the service.

I have input my CC info, and when I input the "forever coupon" code, it is telling me "invalid code".

So, I don't want to finish up , and confirm subscription, until the discount is recognized.

 

Never mind....I tried again, and it worked

 

might be better to address this post to @Djtux

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There is a very valuable piece of data , that you must have, in order to create the charts you do.

So, with the data you already have, I'm hoping that maybe you can add this to your site.

I would like to see if others here would like to have this available.

I think it would be one of the most important things to view, with regard to pre earnings straddles.

I would really like to see the the evolution of the price of a specific straddle, NOT adjusted to be at the money, at the end of each day.

We can see, from the RV charts of straddles, that are ATM, tends to be a continuous line going down.

Sort of the opposite of calendars, which tend to reach a point where they start to turn up, and continually rise leading up until earnings.

But, since we are buying the straddle as a way to profit from the gamma of a move in the stock, I think it would be essential to track the price of a calendar, to see what happens to it as the price moves away from ATM.

Because that is the reason we are doing these trades.

You buy a $100 straddle, and price goes to $115.

The $115 straddle will probably be at a lower RV than the $100 was when you bought it but, because time has passed, but, what is the price of the thing that you bought. (the $100 straddle).

Without that information, you really cannot see the effect of what you are doing has on your position.

 

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@Djtux For the return scanner, if I wrote a quick macro (stuff I do every time I open the excel), would you be willing to implement on the download if you thought it was useful?

Primarily, it's freezing the top row (removing the nameplate row, though you could just freeze top two), and then adding some color coding to the different columns. I do very basic coding, if I wrote a macro that'd be permanent I'd add a bit more flare to it.

 

 

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1 hour ago, cuegis said:

 

There is a very valuable piece of data , that you must have, in order to create the charts you do.

So, with the data you already have, I'm hoping that maybe you can add this to your site.

I would like to see if others here would like to have this available.

I think it would be one of the most important things to view, with regard to pre earnings straddles.

I would really like to see the the evolution of the price of a specific straddle, NOT adjusted to be at the money, at the end of each day.

We can see, from the RV charts of straddles, that are ATM, tends to be a continuous line going down.

Sort of the opposite of calendars, which tend to reach a point where they start to turn up, and continually rise leading up until earnings.

But, since we are buying the straddle as a way to profit from the gamma of a move in the stock, I think it would be essential to track the price of a calendar, to see what happens to it as the price moves away from ATM.

Because that is the reason we are doing these trades.

You buy a $100 straddle, and price goes to $115.

The $115 straddle will probably be at a lower RV than the $100 was when you bought it but, because time has passed, but, what is the price of the thing that you bought. (the $100 straddle).

Without that information, you really cannot see the effect of what you are doing has on your position.

 

We discussed a little bit in private message, but to sum up :

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54 minutes ago, Sirion said:

@Djtux For the return scanner, if I wrote a quick macro (stuff I do every time I open the excel), would you be willing to implement on the download if you thought it was useful?

Primarily, it's freezing the top row (removing the nameplate row, though you could just freeze top two), and then adding some color coding to the different columns. I do very basic coding, if I wrote a macro that'd be permanent I'd add a bit more flare to it.

 

 

Yes I definitely would but, I'm embarrassed to say that I don't have excel.

I need to get it.

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53 minutes ago, Sirion said:

@Djtux For the return scanner, if I wrote a quick macro (stuff I do every time I open the excel), would you be willing to implement on the download if you thought it was useful?

Primarily, it's freezing the top row (removing the nameplate row, though you could just freeze top two), and then adding some color coding to the different columns. I do very basic coding, if I wrote a macro that'd be permanent I'd add a bit more flare to it.

I'm not against it, but 2 points :

  • i would prefer to not add macros in the excel spreadsheet downloadable from my website because personally i don't trust vba macro from the internet. There is a risk of virus and i would prefer to be on the safe side especially if members are using their computer to login to their trading platform.
  • the javascript library that i use to do the table and generate the excel file is very basic : https://datatables.net/reference/button/excel so it might require a major rewrite to find another solution to generate an excel file myself. Not impossible, i will think about it.

In any case, please send me your transform spreadsheet by private message and i will take a look.

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I just deployed a quick change to the website :

  • Removed the first row of the scanner excel export and the return scanner export. The first row was annoying and i found how to remove that (finally !). For the freeze panes, and the conditional formatting, i need to do additional research at a later time to see if it's possible.
  • Added 5 week calendar option for the calendar RV charts.

image.png

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58 minutes ago, Djtux said:

I just deployed a quick change to the website :

  • Removed the first row of the scanner excel export and the return scanner export. The first row was annoying and i found how to remove that (finally !). For the freeze panes, and the conditional formatting, i need to do additional research at a later time to see if it's possible.
  • Added 5 week calendar option for the calendar RV charts.

image.png

Thank you so much. I think this will be very helpful to everyone because, as you can see from this, these situations will pop up from time to time.

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Just now, cuegis said:

Thank you so much. I think this will be very helpful to everyone because, as you can see from this, these situations will pop up from time to time.

Thanks for the suggestion, i don't think anyone raised that before (or i missed it) and it was an easy thing to add.

And i receive some messages from other members that the 5 week was indeed useful. I learn every day.

I have other features/suggestions to implement that i have not forgotten but they are less easy to implement.

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4 minutes ago, Djtux said:

Thanks for the suggestion, i don't think anyone raised that before (or i missed it) and it was an easy thing to add.

And i receive some messages from other members that the 5 week was indeed useful. I learn every day.

I have other features/suggestions to implement that i have not forgotten but they are less easy to implement.

I think 5 weeks should cover almost every scenario. I can't think of a need for 6 weeks. 

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On 6/20/2018 at 11:13 AM, Djtux said:

I just deployed a quick change to the website :

  • Removed the first row of the scanner excel export and the return scanner export. The first row was annoying and i found how to remove that (finally !). For the freeze panes, and the conditional formatting, i need to do additional research at a later time to see if it's possible.
  • Added 5 week calendar option for the calendar RV charts.

image.png

Thanks for this :P every little thing helps

Looking to see if maybe people think a minor re-arrangement might be useful visually: Would you like to see columns arranged by time until earnings before delta? Specifically for calls, as they're the only one with multiples by default. (For example, 60DT10, 50DT10, 40DT10... 60DT5,50DT5,40DT5) etc

Personally, when I'm scanning the data, I feel like I'm mentally jumping columns to see a trend. 

Just a thought

 

 

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4 hours ago, Sirion said:

Thanks for this :P every little thing helps

Looking to see if maybe people think a minor re-arrangement might be useful visually: Would you like to see columns arranged by time until earnings before delta? Specifically for calls, as they're the only one with multiples by default. (For example, 60DT10, 50DT10, 40DT10... 60DT5,50DT5,40DT5) etc

Personally, when I'm scanning the data, I feel like I'm mentally jumping columns to see a trend. 

Just a thought

I see how it could be useful to reorder like you suggest. I also like to see 3 greens for the same strategy/delta for different entry time to check that it's consistent.

I could add a task to add some sort of option/flag to the return scanner to switch between the 2 column orders.

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1 hour ago, Djtux said:

There is an issue with the backend that i'm working to fix right now.

The import of today's data (2018-07-23) will be delayed.

Will keep you posted.

Data for today should be imported now.

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@Djtux is the beta return matrix handling errors in the data properly? 

For example, SHOP https://www.volatilityhq.com/backtester/return_matrix/?symbol=shop&start_date=2016-07-25&show_individual_matrix=No&strategy_type=LongCall&long_delta=0.4&submit=Run+backtest

there's a null data point in one of the early entry cycles (17-03), and I think it's throwing off the average calculation for the rest? Looks lower than it should be  - take a look at entry t-4, exit t-0.

 

Edit: additional note while I'm actually in the thread so I don't forget again, a filter for minimum number of cycles would be useful (honestly, this could just default to 4+)

Edited by Sirion

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3 minutes ago, Sirion said:

@Djtux is the beta return matrix handling errors in the data properly? 

For example, SHOP https://www.volatilityhq.com/backtester/return_matrix/?symbol=shop&start_date=2016-07-25&show_individual_matrix=No&strategy_type=LongCall&long_delta=0.4&submit=Run+backtest

there's a null data point in one of the early entry cycles (17-03), and I think it's throwing off the average calculation for the rest? Looks lower than it should be  - take a look at entry t-4, exit t-0.

The median return is 29.87% as the NaN/Null point is ignored.

image.png

Double-checking the median in excel :

image.png

The only bug is the return matrix for the earning cycle for 2017-07-31 :

image.png

The reason for that is that i select the expiry that is closest expiry to the earning date, and i select that as of the day before the announcement. But in this case SHOP added weekly options on 2017-07-26, which means that the weekly expiry didn't exist before T-2.

I haven't decided yet on the best way to handle that, but right now it's like you are ignoring part of 1 earning cycle.

 

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1 minute ago, Djtux said:

The median return is 29.87% as the NaN/Null point is ignored.

image.png

Double-checking the median in excel :

image.png

The only bug is the return matrix for the earning cycle for 2017-07-31 :

image.png

The reason for that is that i select the expiry that is closest expiry to the earning date, and i select that as of the day before the announcement. But in this case SHOP added weekly options on 2017-07-26, which means that the weekly expiry didn't exist before T-2.

I haven't decided yet on the best way to handle that, but right now it's like you are ignoring part of 1 earning cycle.

 

Fair enough, should have done the calculation myself instead of trying to eyeball it. My bad

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Just now, Sirion said:

Fair enough, should have done the calculation myself instead of trying to eyeball it. My bad

Nope you were right to report it. I'm sure someone else has the same question.

I like to double check as well, you never know if there is a bug and better be safe than sorry when it's a tool used to trade 'real' money.

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Just now, Djtux said:

Nope you were right to report it. I'm sure someone else has the same question.

I like to double check as well, you never know if there is a bug and better be safe than sorry when it's a tool used to trade 'real' money.

Honestly, this forced me to consider the choice of median. Personally, I like this underlying a little more having more closely looked at the underlying data.

Given the choice between only average or only median, median is a better rough tool given the theory behind the trade. Nonetheless, extreme positive returns are a pro.

I'll have to think on it for a bit. 

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2 minutes ago, Sirion said:

Honestly, this forced me to consider the choice of median. Personally, I like this underlying a little more having more closely looked at the underlying data.

Given the choice between only average or only median, median is a better rough tool given the theory behind the trade. Nonetheless, extreme positive returns are a pro.

I'll have to think on it for a bit. 

Yes there are different metrics possible : median, mean/average or something like the trimmed mean (https://en.wikipedia.org/wiki/Truncated_mean) which was used in the Libor calculation where we could remove for example the lower and highest return and compute the average on the remaining values.

No metric is perfect anyway.

I could perfectly add an option to switch between metrics.

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On 7/26/2018 at 2:52 PM, Djtux said:

Yes there are different metrics possible : median, mean/average

I added a new flag in the 'Return Matrix' to do that :

image.png

On 7/26/2018 at 2:39 PM, Djtux said:

 

image.png

The reason for that is that i select the expiry that is closest expiry to the earning date, and i select that as of the day before the announcement. But in this case SHOP added weekly options on 2017-07-26, which means that the weekly expiry didn't exist before T-2.

I haven't decided yet on the best way to handle that, but right now it's like you are ignoring part of 1 earning cycle.

I have fixed that as well for the 'Return Matrix'.

In case where weekly options are introduced in a ticker during an earning cycle, i will select the monthly expiration to fill the missing matrix, and keep selecting the weekly expiration when it's possible.

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I added a new option in the "Advanced Options" to select earning dates to ignore : the selected earning dates will appear in the charts but in dotted lines, won't be taken in the average calculation and won't be taken into account when calculating the 'zoom' of the chart. I don't have a better way to deal with this.

It will work for Straddle and Calendar RV pages.

image.png

 

On 5/2/2018 at 10:00 AM, Kim said:

@DjtuxSome charts have 1-2 outliers which makes it difficult to read the chart. For example:

Is there a way to remove some cycles, or at least to re-scale the chart (in this case I would like to see up to 0.40% RV)?

On 4/27/2018 at 1:18 AM, craigsmith said:

Something I would be interested in seeing in the future (if possible) is to remove a data set from the average line calculation. In this example, the 2-9-2017 (brown line) appears to be bad data and is "throwing off" the average line calculation. I know you can hide that data line, but it is still calculated in the average. Just something I would like to have in the future.

Here is an example with NVDA with the 2017-02-09 earning cycle ignored :

image.png

image.png

Here is an example with BKNG with the 2016-08-04 cycle removed :

image.png

 

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@Djtux quick minor bug report: when you have an open window and a "ignore cycle" selected (I was using BKNG), if you plug in a new underlying, it keeps the "ignore cycle" in memory (and will error unless you happen to be looking at an underlying with the same earnings cycle.

Don't know enough about web development to know how hard it is to avoid this, but preferably shouldn't have to deselect before going to a new underlying. 

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2 minutes ago, Sirion said:

@Djtux quick minor bug report: when you have an open window and a "ignore cycle" selected (I was using BKNG), if you plug in a new underlying, it keeps the "ignore cycle" in memory (and will error unless you happen to be looking at an underlying with the same earnings cycle.

Don't know enough about web development to know how hard it is to avoid this, but preferably shouldn't have to deselect before going to a new underlying. 

I'm aware of that bug, the only workaround i found for now is to click again on the 'run backtest' which should clear the 'error'.

I wanted to push the feature to production as soon as possible ;).

I think it is possible that i could clear the 'ignored cycles' when a user type in the symbol text box, but i haven't got the time to investigate that.

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2 hours ago, Sirion said:

@Djtux quick minor bug report: when you have an open window and a "ignore cycle" selected (I was using BKNG), if you plug in a new underlying, it keeps the "ignore cycle" in memory (and will error unless you happen to be looking at an underlying with the same earnings cycle.

Don't know enough about web development to know how hard it is to avoid this, but preferably shouldn't have to deselect before going to a new underlying. 

 

2 hours ago, Djtux said:

I'm aware of that bug, the only workaround i found for now is to click again on the 'run backtest' which should clear the 'error'.

I wanted to push the feature to production as soon as possible ;).

I think it is possible that i could clear the 'ignored cycles' when a user type in the symbol text box, but i haven't got the time to investigate that.

That bug should be fixed now. If you have some selected cycles in the 'ignored cycles', and you change the symbol in the textbox then the 'ignored cycles' is cleared out.

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@Djtux, I was trying to understand how the adjusted straddle RV (dashed blue horizontal line) is calculated in your charts.
It looks like the strangle credit obtained from the remaining strangle iterations (displayed on the left side by the vertical Strangle credit text) is being subtracted from yesterday's straddle RV and that's it. I have verified this on several different underlyings and turned out to be true every time. 

To my understanding, the correct way of calculating the adjusted straddle RV level would be to subtract (from yesterday's straddle RV) the strangle credit divided by the number of straddles that we have for each short strangle. Am I missing anything?
 

Later edit:
It then occurred to my mind that maybe the correct way of using the Advanced options form would be that in the Credit received per short strangle (in %) field we enter an amount which is already divided by the number of straddles we have for each short strangle. Please confirm whether that is the case.

Edited by BlackBat

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3 hours ago, BlackBat said:

@Djtux, I was trying to understand how the adjusted straddle RV (dashed blue horizontal line) is calculated in your charts.
It looks like the strangle credit obtained from the remaining strangle iterations (displayed on the left side by the vertical Strangle credit text) is being subtracted from yesterday's straddle RV and that's it. I have verified this on several different underlyings and turned out to be true every time. 

To my understanding, the correct way of calculating the adjusted straddle RV level would be to subtract (from yesterday's straddle RV) the strangle credit divided by the number of straddles that we have for each short strangle. Am I missing anything?
 

Later edit:
It then occurred to my mind that maybe the correct way of using the Advanced options form would be that in the Credit received per short strangle (in %) field we enter an amount which is already divided by the number of straddles we have for each short strangle. Please confirm whether that is the case.

The strangle credit is a % of the straddle price. It's around 5.5% by default to take into account that you will close the strangle for a small price.

And it's the %credit per straddle.

For example : https://steadyoptions.com/forums/forum/topic/4671-trades-wmt-august-2018-hedged-straddle/

 

There are 3 straddles at 4.06 and 1 strangle at 0.87.

(0.87/3)/4.06=7.14%

You receive 7.1% of credit from the strangle per unit of straddle.

So the adjusted RV displayed in the RV chart in the horizontal line is the last available RV (typically yesterday) from which i remove the strangle credit in %.

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1 hour ago, Djtux said:

You receive 7.1% of credit from the strangle per unit of straddle.

Ok, so the strangle credit is implicitly assumed to be per unit of straddle, then everything is ok, thank you!

One more question: why is the average one day stock move depicted as a level in the chart (the green dashed horizontal line)? Should we somehow compare this level to the current straddle RV level and draw some conclusions?

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9 minutes ago, BlackBat said:

One more question: why is the average one day stock move depicted as a level in the chart (the green dashed horizontal line)? Should we somehow compare this level to the current straddle RV level and draw some conclusions?

Some people like to double check the chart from https://www.volatilityhq.com/backtester/straddle_table/ to see if the previous cycles were high or not.

I display in the RV chart the 1d average move because i see it like the relationship between historical volatility and implied volatility. The 1d move after earning is related somewhat to the implied move priced in the straddle the day before earning.

Can you always make a decision based on the level of the RV and the 1d average move ? Not always, it's like HV and IV.

That's my interpretation as least.

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Like everyone else, I am really grateful for working on making this new function happen.

I know these things require a lot of work on your part.

I hate to lean on you even further but, the non earnings calendars that you posted a proto type of the other day, would be such an amazing tool to have.

Do you think you will be able to turn that into a reality anytime soon?

I am thinking of a novel idea of a "pre pre earnings calendar".

In a typical pre earnings calendar, you would be short the first expiry post earnings.

But, to create more opportunities, in non earnings periods, I'm thinking what it would look like to walk this trade back one generation.

It would involve being long the first expiry , following the next earnings, when there is a monthly to sell as the short leg.

In the case of GS,which you posted the proto chart of, this is a great example because they have pre announced the future earnings dates, so that uncertainty is now out of the equation.

We know, with certainty, that eventually, all of the money will be pouring in to the first expiry, post earnings.

This WILL be the expiry with the highest IV....eventually.

So, there is a sort of  "IV support", on this one expiration,and it is the one that we will be long.

We would sell the Sept monthly while there is still a lot of time, and premium, in it, but no "earnings interest", so it is a dud expiration, that we are short.

When this calendar runs it's course, then it will be time to revert to the normal pre earnings calendar ( short Oct/long Nov, monthlies).

In the RV chart that you posted, it showed that, in every prior cycle, the RV reached higher than 2.00, at T-20.

We are now, as you pointed out, at below .77 RV....as of today, closer to .70

This would be a best case example because they have pre announced the next earnings but, I would love to examine so many others....

Maybe, instead of trying to create too many choices, which would be an imposssible job for you, could you try to just create this one specific, pre pre earnings choice?

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@Djtux Now that market vol is jumping around quite a bit, I'm thinking it may be beneficial to show the VIX value for dates on the RV chart.   When I see something with elevated RV, I find myself looking at a VIX chart for that day to see what its value was.   This wasn't an issue last year because the VIX was so flat for so long, but now we are starting to see multiple periods with elevated VIX, and that can certainly factor into straddle RV.

 

I'm not sure how best to incorporate it, perhaps when you hover over a data point its one of the things that gets displayed?   Something for the wish list, as it would be a time saver.

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@cuegis I don't think its a valid comparison to compare the RV of a calendar where both options expire after earnings (as is the case on this chart) with one where the short leg expires prior to earnings.    Since it expires prior to earnings the Sept monthlies will certainly have a lower price and lower IV, so it makes perfect sense that this calendar would have a much higher IV compared to one where both legs expire after earnings.

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4 minutes ago, Yowster said:

@cuegis I don't think its a valid comparison to compare the RV of a calendar where both options expire after earnings (as is the case on this chart) with one where the short leg expires prior to earnings.    Since it expires prior to earnings the Sept monthlies will certainly have a lower price and lower IV, so it makes perfect sense that this calendar would have a much higher IV compared to one where both legs expire after earnings.

I'm confused.  The short Sept 21 monthly does expire before earnings, the long Oct 19 monthly after earnings (10/15)

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27 minutes ago, NikTam said:

I'm confused.  The short Sept 21 monthly does expire before earnings, the long Oct 19 monthly after earnings (10/15)

Yes, but the chart Cuegis cited shows Oct/Nov calendar - and both those expire after earnings. My point was that you can't use the 1% RV on that chart as a guide/target for a calendar where the short leg expires prior to earnings.

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53 minutes ago, NikTam said:

I'm confused.  The short Sept 21 monthly does expire before earnings, the long Oct 19 monthly after earnings (10/15)

I spent a lot of time writing my post , which is a few posts back, so I don't really want to bring up all of the points I made again.

I was presenting an idea that I thought could be of interest, and I was further encouraged by the chart that Djtux posted the other night, in an attempt to acommodate my idea.

Once again, I was theorizing about a "pre pre earnings " calendar, where the long leg is the 1st expiry after the next (already confirmed) earnings, and the short leg, is the previous monthly, non earnings related, expiration.

I explained all of the reasons why I thought this could be an interesting idea for a "non pre earnings" calendar.

So, all of the pre earnings RV charts would have no meaning in analyzing this trade.

This is why I was encouraging djtux to , hopefully, pursue having the ability to analyze this, very specific, type of calendar.

The chart you present has no relevance to what I was talking about.

Also, any RV, of any stock, is only relative to THAT stock, with that many weeks between expirations.

So, it dosn't even have any relevance to another pre earnings trade either.

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