volatilityhq.com Official Thread

[Djtux 548]

2 minutes ago, Andrew said:

Are the links in the URL column of the scanner supposed to go to the option specific straddle and calendar pages?  Right now they are all just going to the generic start page for straddles and calendars.  

BTW - just started using the scanner.  Really like how you've set it up, tons of useful info in one place.  

It used to be possible to click from the url in the scanner but i had to disable that for now as there are now too many options in both the straddle and calendar RV charts.

That made it difficult to maintain the url generation code.

I preferred to disable that until i find a better way to handle that in the code. Not ideal but i have to chose my battles.

And thank you for the support.

[Andrew 19]

On 8/27/2018 at 6:21 PM, Djtux said:

It used to be possible to click from the url in the scanner but i had to disable that for now as there are now too many options in both the straddle and calendar RV charts.

That made it difficult to maintain the url generation code.

I preferred to disable that until i find a better way to handle that in the code. Not ideal but i have to chose my battles.

And thank you for the support.

If you are able to get them working again I'd also love to have a link directly to the "straddle table" page for the specific stock.  

[Djtux 548]

On 8/17/2018 at 4:17 PM, Djtux said:

I'm going to do some maintenance on the website to be able to deploy new features.

I will need to do some maintenance starting tonight and into the weekend to be able to deploy some changes that requires me to flush out the caches and rebuild the cache.

This is necessary for me to add the VIX charts to the calendar RV page (it was already available on the straddle page).

 

[Arthur 32]

 

Hey @Djtux! Thanks for creating this powerful tool, it's amazing. I really like the scanner – I use it e.g. to find straddles with the lowest RV decay. (Unfortunately, there is no "sort by" function, so I just download the data into Excel and then sort it there by RV decay and other attributes).

Now my question is: would it be possible to create a similar scanner – for calendars? With columns like "RV rise", "Number of weeks between the calendar legs", "Short leg expiry before or after earnings", etc. It would help me to find suitable calendars much easier - I would just look for calendars with the highest RV rise (%) and then apply further restrictions.

Do you think it would be possible to create such a calendars scanner?

PS: just saw that Anderson317 had a similar request.

 

[samico 8]

18 minutes ago, Arthur said:

 

Hey @Djtux! Thanks for creating this powerful tool, it's amazing. I really like the scanner – I use it e.g. to find straddles with the lowest RV decay. (Unfortunately, there is no "sort by" function, so I just download the data into Excel and then sort it there by RV decay and other attributes).

Now my question is: would it be possible to create a similar scanner – for calendars? With columns like "RV rise", "Number of weeks between the calendar legs", "Short leg expiry before or after earnings", etc. It would help me to find suitable calendars much easier - I would just look for calendars with the highest RV rise (%) and then apply further restrictions.

Do you think it would be possible to create such a calendars scanner?

PS: just saw that Anderson317 had a similar request.

 

I second that! The scanner to calendars would be really a big HIT! Can you do it @DJTUX ?

[]'s Samico.

[Lazlo 111]

As a follow-up question, are their best practices on how to use the scanner? I searched all day long but could not find anything related to it. Kim seems to use optionslam to find candidates (might have changed?). Ideally, I want to only use volatilityhq for my SO routine. Is there someone how only uses the volatilityhq scanner to identify candidates?

 

 

[Djtux 548]

I've added the VIX hover and VIX chart to the calendar RV page.

I've also added the non-earning IV at the top of the RV charts (both for straddle and calendar). Should make it easier to know if a symbol is better suited for a hedged straddle or a calendar.

On 8/19/2018 at 10:46 AM, BlackBat said:

I think it would be nice to have the non-earnings (base) IV at the fingertips, right on the straddle/calendar RV chart, in the upper-left corner, for example.

On 8/17/2018 at 5:17 PM, cuegis said:

Will it also be in the hover on calendars?

[Djtux 548]

19 hours ago, Arthur said:

 

Hey @Djtux! Thanks for creating this powerful tool, it's amazing. I really like the scanner – I use it e.g. to find straddles with the lowest RV decay. (Unfortunately, there is no "sort by" function, so I just download the data into Excel and then sort it there by RV decay and other attributes).

Now my question is: would it be possible to create a similar scanner – for calendars? With columns like "RV rise", "Number of weeks between the calendar legs", "Short leg expiry before or after earnings", etc. It would help me to find suitable calendars much easier - I would just look for calendars with the highest RV rise (%) and then apply further restrictions.

Do you think it would be possible to create such a calendars scanner?

PS: just saw that Anderson317 had a similar request.

 

18 hours ago, samico said:

I second that! The scanner to calendars would be really a big HIT! Can you do it @DJTUX ?

[]'s Samico.

Yes it's in my todo-list. I'm not sure how i want to handle it, as the scanner has reached the maximum number of columns. If i add more, it's going to be really crammed, so i also need to figure out a way to display some of the columns more easily. Many members wants to see different things, so there are going to be multiple columns.

For the sort, hum yes i'm not sure the table library that i use support that.

 

[Arthur 32]

@Djtux Maybe the best would be to keep the current scanner as it is (and rename it "Straddle Scanner") - and create a separate "Calendar Scanner"?

[candreouTrade 59]

@Djtux, @Kim - i know this has come up a couple of times in the past, but i thought i might ask again as i am unclear on the answer. 

 

Is there any edge in trading our volatility trades on known important Macro Economic Events, to complement what we do currently with earning dates?

 

So how for example would a Spy or Fx calendar/straddle move 30 days prior to the Non Farm Payroll date?  

 

Edited September 3, 2018 by candreouTrade

[samico 8]

Does anyone here saw the double calendars marko of optionslam is doing lately? He calls them double eagle and explains Them here 

 

  

it has some similarity with Cuegis pre pre earnings cal.

Samico

[samico 8]

To summarize, basically what the guys over there are doing is that they are operating pre pre earnings calendars too, and placing a 1wk double calendar a few strikes away from the current underlying price, using as the short leg options expiring 1 week prior to the earnings week an buying the ones expiring right after the earning date. Entry usually is around 30 days or more from short expiration. The strategy seems to be delivering good results to them so far. 

Samico.

[craigsmith 357]

3 hours ago, samico said:

To summarize, basically what the guys over there are doing is that they are operating pre pre earnings calendars too, and placing a 1wk double calendar a few strikes away from the current underlying price, using as the short leg options expiring 1 week prior to the earnings week an buying the ones expiring right after the earning date. Entry usually is around 30 days or more from short expiration. The strategy seems to be delivering good results to them so far. 

Samico.

Can you expand a little bit on this. Is it always a 1wk double calendar? If entry is usually around 30 days, how so they handle stock price movement?

[samico 8]

7 hours ago, craigsmith said:

Can you expand a little bit on this. Is it always a 1wk double calendar? If entry is usually around 30 days, how so they handle stock price movement?

Seems like its not always a 1wk, depends on the stock. Also for the price movement, looks like a double calendar with strikes farther apart will hold it due to IV increase in the back expiration when vol shifts into it, if the stock does not move too much. They trade on unconfirmed dates too, which is dangerous as we know.

[cuegis 683]

2 hours ago, samico said:

Seems like its not always a 1wk, depends on the stock. Also for the price movement, looks like a double calendar with strikes farther apart will hold it due to IV increase in the back expiration when vol shifts into it, if the stock does not move too much. They trade on unconfirmed dates too, which is dangerous as we know.

I would like to be able to view this trade through the vol hq RV lens so that I can have some historical pricing basis about what it is that I am buying.

It is going to be very different depending on the stock.

This is not something that can just be used generically as a routine formula.

You need more pricing info and history to give some perspective to it.

I like the part about being long the 1st expiration following earnings far enough in advance to have any IV increase be felt.

But, I would prefer a longer time between expirations, like 3 or 4 weeks., not 1.

I just wouldn't feel comfortable buying something at a price that have no historical context as to whether it is cheap or expensive, and also, I would need to see some history, based on the individual stock, as to the RV slope, and whether it is a strong up trending slope where I am buying near some sort of low point.

[Djtux 548]

I've done some changes :

• There are some buttons that allow to show or hide groups of columns.
• The exports are now grouped under 'Export'

• I've added new calendar related columns, but it's not tested extensively, and doesn't address all the feedbacks i got, but it's a start. Let me know which additional columns related to calendars you would be interested in.

On 9/2/2018 at 1:49 PM, Arthur said:

(Unfortunately, there is no "sort by" function, so I just download the data into Excel and then sort it there by RV decay and other attributes).

The columns should be sortable now when you click on a column :

[Arthur 32]

@Djtux Thanks for adding the calendar features to the scanner, it was very useful!

You've asked which additional columns we would like to have, so here is my input:

As far as I understood, the current setup of the scanner allows to scan 'standard' calendars only (number of weeks: 'Auto' and earnings type: 'After'). I think it would be nice to be able to scan all possible calendars (weeks 1-5, earnings 'Before' and 'After'). Thus it would make sense to add two more columns to the scanner: 'Number of weeks between the calendar legs' and 'Short leg expiry before or after earnings'.

[Djtux 548]

9 hours ago, Arthur said:

I think it would be nice to be able to scan all possible calendars (weeks 1-5, earnings 'Before' and 'After'). Thus it would make sense to add two more columns to the scanner: 'Number of weeks between the calendar legs' and 'Short leg expiry before or after earnings'.

Thank you for taking the time to give a suggestion.

Not sure it's realistic because of the number of calculations to do, and the number of columns.

Right now there are 9 columns for a calendar. What you are proposing is 5*2*9 are 90 columns, the table would be enormous in size to download, and time consuming to produce, when in most case, i would expect people to look at the calendar with the monthly as the long leg for liquidity reason. Maybe 1 week calendar for some liquid names.

For the 'before' calendars (pre-pre earnings calendar), if i do it i would start with the 2 monthly legs, and see what other combination make sense.

[againstallodds 15]

@Djtux please look at JNPR as the calendar RV is odd with negative values (put calendar, start date 2017-01-15, all else default)

[Djtux 548]

6 hours ago, againstallodds said:

@Djtux please look at JNPR as the calendar RV is odd with negative values (put calendar, start date 2017-01-15, all else default)

If you look at the T-12 value for the cycle 2017-10-24, that is the Friday Oct 06 2017. If you hover to that point, the price in volatilityhq for the calendar is -0.54, which gives a negative RV.

If you compare with ThinkOrSwim Thinkback, you will see that it's the same.

I think the issue is due to the high bid-ask spread on the weekly expiries.

When i see negative RV on calendar, i know there is something wrong with the liquidity and bid-ask spread.

 

 

[Djtux 548]

I've added a new option to the Straddle and Calendar RV charts that allows you to configure the x-axis of the chart to allow you to see a little bit more history than by default.

[Djtux 548]

I've added the calendar in the return matrix, but it's slower than other strategies as i have not optimize the code and i have only done few tests.

 

 

If you hover into a cell of an individual cycle, you will see the expiries, strike and entry/exit price.

Also remember that everything is based on mid price, so the entry price might be higher than what we would typically pay based on RV.

Let me know if you see any bugs.

[samico 8]

On 21/09/2018 at 10:23 AM, Djtux said:

I've added the calendar in the return matrix, but it's slower than other strategies as i have not optimize the code and i have only done few tests.

 

 

If you hover into a cell of an individual cycle, you will see the expiries, strike and entry/exit price.

Also remember that everything is based on mid price, so the entry price might be higher than what we would typically pay based on RV.

Let me know if you see any bugs.

 @Djtux

Samico.

[samico 8]

Just now, samico said:

 

Please are this calendar using options expiring before or after the earnings? Can we change between the two styles? Its 1 week calendars? 

Thank you 

Samico.

[againstallodds 15]

Please could you explain what the "Reference T for relative calcs" does in the calendar configuration?

[Djtux 548]

3 minutes ago, againstallodds said:

Please could you explain what the "Reference T for relative calcs" does in the calendar configuration?

Sure, that flag allows you to override the default T selected for some of the charts that have a relative component like the RV in % (you need to divide the RV by the RV of a specific date T) or the stock price change in relative % chart.

For FB, the default T is T-12 which is the date of the latest available data.

The flag could let you change the reference to say T-20 if you prefer.

 

[Djtux 548]

On 9/30/2018 at 8:34 PM, samico said:

Please are this calendar using options expiring before or after the earnings? Can we change between the two styles? Its 1 week calendars? 

Thank you 

Samico.

Sorry missed your question, but from the screenshots you can see that the expiries of the 2 legs of the calendar are after the earning date.

For now, it's not possible to do calendars with the short legs before earnings because in that case you would want to look further than T-20, which complicates a little bit the code.

The length of the calendar is that the short leg is the first expiry after earnings and the long leg is the monthly after the short leg.

[Djtux 548]

12/05/2018 will be a non-trading day for options according to the OCC memo. I plan on marking that as a non-trading day on the website, so it will shift the T-X calculation. Does anyone have an objection ?

[Djtux 548]

On 3/1/2018 at 12:43 PM, Djtux said:

Just a quick update : I've done improvements in the code to support symbol changes like PCLN that is now under BKNG.

At this moment i have to enter manually in the database the mapping change, so if you are interested in a company that changed symbol, you can just point that out to me (either here, or PM, or by email to support(at)volatilityhq.com ).

I've also mapped BBRY to BB (Blackberry).

I've added the symbol change from KORS to CPRI that occured on Jan 2nd 2019.

https://www.theocc.com/webapps/infomemos?number=44304

Quote

 The Options Clearing Corporation (OCC) has been informed that Michael Kors Holdings Limited (KORS)
will change its name, trading symbol and CUSIP to Capri Holdings Limited (CPRI), CUSIP G1890L107. As
a result, option symbol KORS will also change to CPRI effective at the opening of business on January 2,
2019. 

 

[Djtux 548]

Data from 01/28 will be ingested on the website later today than usual due to some issues i'm fixing. Sorry about that.

[luxmon 233]

On 10/17/2018 at 9:03 PM, Djtux said:

Sorry missed your question, but from the screenshots you can see that the expiries of the 2 legs of the calendar are after the earning date.

For now, it's not possible to do calendars with the short legs before earnings because in that case you would want to look further than T-20, which complicates a little bit the code.

The length of the calendar is that the short leg is the first expiry after earnings and the long leg is the monthly after the short leg.

@Djtux The tool you have is fantastic, thank you for offering it.  I was just curious if you have given any more thought to adding this feature to the scanner (for being long the option after earnings and short the option before earnings)?  I can imagine the complications, but I think this tool could be extremely useful as I've been running across quite a few names (albeit too late to capture much theta) where the earnings IV is similar to the pre-earnings IV.  Best regards, Tim  

[cuegis 683]

15 minutes ago, luxmon said:

@Djtux The tool you have is fantastic, thank you for offering it.  I was just curious if you have given any more thought to adding this feature to the scanner (for being long the option after earnings and short the option before earnings)?  I can imagine the complications, but I think this tool could be extremely useful as I've been running across quite a few names (albeit too late to capture much theta) where the earnings IV is similar to the pre-earnings IV.  Best regards, Tim  

It is in the program...just go into settings and choose "before" for specifying when the short option expires.

[luxmon 233]

2 minutes ago, cuegis said:

It is in the program...just go into settings and choose "before" for specifying when the short option expires.

I realize it's in the Calendar backtesting tool, but I was referring to the Scanner tool.

[cuegis 683]

22 minutes ago, luxmon said:

I realize it's in the Calendar backtesting tool, but I was referring to the Scanner tool.

Sorry..I thought that's what you were looking for.

[Djtux 548]

4 hours ago, luxmon said:

@Djtux The tool you have is fantastic, thank you for offering it.  I was just curious if you have given any more thought to adding this feature to the scanner (for being long the option after earnings and short the option before earnings)?  I can imagine the complications, but I think this tool could be extremely useful as I've been running across quite a few names (albeit too late to capture much theta) where the earnings IV is similar to the pre-earnings IV.  Best regards, Tim  

Thank you for the support. I haven't started working on that. That might require some rework of code used by the scanner.

[luxmon 233]

@Djtux I've wondered about this - Is the data you use the exact end of day prices that one would see after hours in a brokerage platform?  Thanks.

[Djtux 548]

1 hour ago, luxmon said:

@Djtux I've wondered about this - Is the data you use the exact end of day prices that one would see after hours in a brokerage platform?  Thanks.

The data is the end of day data as defined by https://www.opradata.com/. It's typically the same data you see in ThinkOrSwim Thinkback if you have an account with TOS. Usually it's the last bid and ask of the day.

[luxmon 233]

@Djtux I realize you're probably inundated with requests with this tool, but would it be possible in the scanner to report the total open interest in the weekly expiration series?  

[Djtux 548]

12 hours ago, luxmon said:

@Djtux I realize you're probably inundated with requests with this tool, but would it be possible in the scanner to report the total open interest in the weekly expiration series?  

I can add that task to my todo list. No eta though.

[Anderson317 5]

@Djtux I'm sure its in here somewhere, but I can't find it. 

 

On the Scanner, the double calendar RV's, what Deltas are those based on?

[Djtux 548]

11 hours ago, Anderson317 said:

@Djtux I'm sure its in here somewhere, but I can't find it. 

 

On the Scanner, the double calendar RV's, what Deltas are those based on?

They are the atm call and put calendars.

[Anderson317 5]

@Djtux Another question: in the Straddle Table, what are the Returns based on (timing of entry and exit wise)?  Are they T-20 to T-0 or something else?

[Djtux 548]

2 hours ago, Anderson317 said:

@Djtux Another question: in the Straddle Table, what are the Returns based on (timing of entry and exit wise)?  Are they T-20 to T-0 or something else?

In that table the entry is the trading session just before the earning announcement and the exit is the following trading session.

So it's entry on T-0 and exit at T+1.

You are holding the strategy during earning.

[againstallodds 15]

@DjtuxCould you look at BRK.B ? I try to load the straddle graphs but nothing comes up.

[Djtux 548]

1 hour ago, againstallodds said:

@DjtuxCould you look at BRK.B ? I try to load the straddle graphs but nothing comes up.

You are right, that symbol is not supported as of this moment. The dot is causing problems. I will have to check to see what could be done to fix that.

[Javier 99]

Djtux, off the top of my head:

When parsing any graph (straddle, calendars,...) I use to check current line with average one firstly, hiding the rest, one by one, not to be disturbed. A "button" to hide and show them back all together would be a nice to have feature for me.

[Djtux 548]

13 minutes ago, Javier said:

Djtux, off the top of my head:

When parsing any graph (straddle, calendars,...) I use to check current line with average one firstly, hiding the rest, one by one, not to be disturbed. A "button" to hide and show them back all together would be a nice to have feature for me.

Try double-clicking to display just 1 line. Double-clicking again will show everything.

If you have 2 lines selected, double-click twice to show everything.

[Javier 99]

21 hours ago, Djtux said:

Try double-clicking to display just 1 line. Double-clicking again will show everything.

If you have 2 lines selected, double-click twice to show everything.

Sorry Sir, when checked yesterday I believed it worked my way, but now if I click twice in a line, it hides with the first click and shows back with the second click. I am trying to hide all but current and average lines in a certain graph with one (or fewer clicks than going one by one).

Maybe I do not catch You well. Could You elaborate? I do not see how to select two lines either.

Thanks in advance

[Javier 99]

3 hours ago, Javier said:

Sorry Sir, when checked yesterday I believed it worked my way, but now if I click twice in a line, it hides with the first click and shows back with the second click. I am trying to hide all but current and average lines in a certain graph with one (or fewer clicks than going one by one).

Maybe I do not catch You well. Could You elaborate? I do not see how to select two lines either.

Thanks in advance

I´ve checked back many times and it works randomly, maybe You have to double click in the legend in a certain spot.

[Djtux 548]

5 hours ago, Javier said:

Sorry Sir, when checked yesterday I believed it worked my way, but now if I click twice in a line, it hides with the first click and shows back with the second click. I am trying to hide all but current and average lines in a certain graph with one (or fewer clicks than going one by one).

Maybe I do not catch You well. Could You elaborate? I do not see how to select two lines either.

Thanks in advance

 

2 hours ago, Javier said:

I´ve checked back many times and it works randomly, maybe You have to double click in the legend in a certain spot.

This is the area where you should double click (a rapid double click with the mouse).

If there are more than 1 lines shown, then double clicking will select that line. Double clicking again will show everything.

If there is only 1 line selected, if you double click on that line (clicking in the legend), then all the lines should reappear.

Sorry if it's not obvious, not easy to explain.