volatilityhq.com Official Thread

[BW.SQL 0]

@Djtux Hey, I am relatively new to SO and new to your VolHQ site. If I add symbols to my white list, will I get notifications about them when they confirm earnings? Also, what is the symbols blacklist?

 

I am sorry if you already answered this is in the VolHq forum and I missed it!

[Bagelbean33 0]

Hello @Djtux (or anybody else who may know). Is there a way to see when an earnings announcement date was confirmed for previous cycles on VolHQ?

Thanks 

[Djtux 542]

On 3/29/2024 at 1:20 PM, BW.SQL said:

@Djtux Hey, I am relatively new to SO and new to your VolHQ site. If I add symbols to my white list, will I get notifications about them when they confirm earnings? Also, what is the symbols blacklist?

 

I am sorry if you already answered this is in the VolHq forum and I missed it!

This is mainly for the scanner to select which symbols you want to see or which symbols you want to exclude. No notifications.

1 hour ago, Bagelbean33 said:

Hello @Djtux (or anybody else who may know). Is there a way to see when an earnings announcement date was confirmed for previous cycles on VolHQ?

Thanks 

This is not available for the moment.

[User0071 1]

Hi,

Is the coupon still valid? I tried to sign up and it was an error.

[Djtux 542]

17 hours ago, User0071 said:

Hi,

Is the coupon still valid? I tried to sign up and it was an error.

Try SO502406

[Jerry F 7]

SO502406 doesn't work.  I just tried it a couple of times.  Unless I'm doing something wrong...it returns "Invalid Code"

[Djtux 542]

35 minutes ago, Jerry F said:

SO502406 doesn't work.  I just tried it a couple of times.  Unless I'm doing something wrong...it returns "Invalid Code"

Can you please try again? It should work now.

[Jerry F 7]

Update: I got it to work.  I went back to the first post in this thread and used that link and it automatically applied the code.  For whatever reason, it wouldn't apply the code using the normal subscribe process on the website.  (https://www.volatilityhq.com/payments/confirm/1/)

Thank you for your help...and the for the discount @Djtux

[kitsos 16]

Guys if someone could help me with this problem i have. I am currently learning a little python code, and tried to simulate the Straddle RV Charts. This is the AAPL RV chart for earnings date 2024-02-01 from volatilityHQ:

and this is my chart:

As you can see the differences are beyond obvious. My frustration is that although the data is checked and i think the calculations are correct (concerning the RV Calculation) I get totally different results. These are my calculations that resulted in my line chart. Does anybody notice something wrong here?

 

04/10/2024 09:04:10 PM - root - DEBUG - Closest expiration date identified: 2024-02-02
04/10/2024 09:04:10 PM - root - DEBUG - Closest expiration date after 2024-02-01: 2024-02-02
04/10/2024 09:04:10 PM - root - DEBUG - Filtered calls and puts for closest expiration date: 2024-02-02, Calls: 43, Puts: 43
04/10/2024 09:04:10 PM - root - DEBUG - Selected ATM Call: AAPL240202C00185000, ATM Put: AAPL240202P00185000
04/10/2024 09:04:10 PM - root - DEBUG - Calculated straddle cost: 9.81 for earnings date: 2024-02-01
04/10/2024 09:04:10 PM - root - DEBUG - Calculated RV: 0.05 for earnings date: 2024-02-01
04/10/2024 09:04:10 PM - root - DEBUG - AAPL Last Quote Price for T-20: 184.25 
Trading Date for T-20: 2024_01_03 
ATM Call Symbol for T-20: AAPL240202C00185000 
ATM Call Last Price for T-20: 4.98 
ATM Put Symbol for T-20: AAPL240202P00185000 
ATM Put Last Price for T-20: 4.83 
Straddle Cost for T-20: 9.81 
RV for T-20: 0.0532 

04/10/2024 09:04:10 PM - root - DEBUG - Processing trading day: 2024_01_04
04/10/2024 09:04:11 PM - root - DEBUG - Trading Date for T-19: 2024_01_04 
ATM Call Symbol for T-19: AAPL240202C00185000 
ATM Call Last Price for T-19: 3.75 
ATM Put Symbol for T-19: AAPL240202P00185000 
ATM Put Last Price for T-19: 5.8 
last  Quote Price for T-19: 181.91 
Straddle Cost for T-19: 9.55 
RV for T-19: 0.0525 

04/10/2024 09:04:11 PM - root - DEBUG - Processing trading day: 2024_01_05
04/10/2024 09:04:11 PM - root - DEBUG - Trading Date for T-18: 2024_01_05 
ATM Call Symbol for T-18: AAPL240202C00185000 
ATM Call Last Price for T-18: 3.23 
ATM Put Symbol for T-18: AAPL240202P00185000 
ATM Put Last Price for T-18: 6.25 
last  Quote Price for T-18: 181.18 
Straddle Cost for T-18: 9.48 
RV for T-18: 0.0523 

04/10/2024 09:04:11 PM - root - DEBUG - Processing trading day: 2024_01_08
04/10/2024 09:04:11 PM - root - DEBUG - Trading Date for T-17: 2024_01_08 
ATM Call Symbol for T-17: AAPL240202C00185000 
ATM Call Last Price for T-17: 5.33 
ATM Put Symbol for T-17: AAPL240202P00185000 
ATM Put Last Price for T-17: 4.0 
last  Quote Price for T-17: 185.56 
Straddle Cost for T-17: 9.33 
RV for T-17: 0.0503 

04/10/2024 09:04:11 PM - root - DEBUG - Processing trading day: 2024_01_09
04/10/2024 09:04:11 PM - root - DEBUG - Trading Date for T-16: 2024_01_09 
ATM Call Symbol for T-16: AAPL240202C00185000 
ATM Call Last Price for T-16: 5.0 
ATM Put Symbol for T-16: AAPL240202P00185000 
ATM Put Last Price for T-16: 4.15 
last  Quote Price for T-16: 185.14 
Straddle Cost for T-16: 9.15 
RV for T-16: 0.0494 

04/10/2024 09:04:11 PM - root - DEBUG - Processing trading day: 2024_01_10
04/10/2024 09:04:12 PM - root - DEBUG - Trading Date for T-15: 2024_01_10 
ATM Call Symbol for T-15: AAPL240202C00185000 
ATM Call Last Price for T-15: 5.5 
ATM Put Symbol for T-15: AAPL240202P00185000 
ATM Put Last Price for T-15: 3.65 
last  Quote Price for T-15: 186.19 
Straddle Cost for T-15: 9.15 
RV for T-15: 0.0491 

04/10/2024 09:04:12 PM - root - DEBUG - Processing trading day: 2024_01_11
04/10/2024 09:04:12 PM - root - DEBUG - Trading Date for T-14: 2024_01_11 
ATM Call Symbol for T-14: AAPL240202C00185000 
ATM Call Last Price for T-14: 5.03 
ATM Put Symbol for T-14: AAPL240202P00185000 
ATM Put Last Price for T-14: 3.8 
last  Quote Price for T-14: 185.59 
Straddle Cost for T-14: 8.83 
RV for T-14: 0.0476 

04/10/2024 09:04:12 PM - root - DEBUG - Processing trading day: 2024_01_12
04/10/2024 09:04:12 PM - root - DEBUG - Trading Date for T-13: 2024_01_12 
ATM Call Symbol for T-13: AAPL240202C00185000 
ATM Call Last Price for T-13: 4.8 
ATM Put Symbol for T-13: AAPL240202P00185000 
ATM Put Last Price for T-13: 3.65 
last  Quote Price for T-13: 185.92 
Straddle Cost for T-13: 8.45 
RV for T-13: 0.0454 

04/10/2024 09:04:12 PM - root - DEBUG - Processing trading day: 2024_01_16
04/10/2024 09:04:12 PM - root - DEBUG - Trading Date for T-12: 2024_01_16 
ATM Call Symbol for T-12: AAPL240202C00185000 
ATM Call Last Price for T-12: 3.8 
ATM Put Symbol for T-12: AAPL240202P00185000 
ATM Put Last Price for T-12: 4.65 
last  Quote Price for T-12: 183.63 
Straddle Cost for T-12: 8.45 
RV for T-12: 0.0460 

04/10/2024 09:04:12 PM - root - DEBUG - Processing trading day: 2024_01_17
04/10/2024 09:04:13 PM - root - DEBUG - Trading Date for T-11: 2024_01_17 
ATM Call Symbol for T-11: AAPL240202C00185000 
ATM Call Last Price for T-11: 3.35 
ATM Put Symbol for T-11: AAPL240202P00185000 
ATM Put Last Price for T-11: 5.2 
last  Quote Price for T-11: 182.68 
Straddle Cost for T-11: 8.55 
RV for T-11: 0.0468 

04/10/2024 09:04:13 PM - root - DEBUG - Processing trading day: 2024_01_18
04/10/2024 09:04:13 PM - root - DEBUG - Trading Date for T-10: 2024_01_18 
ATM Call Symbol for T-10: AAPL240202C00185000 
ATM Call Last Price for T-10: 6.55 
ATM Put Symbol for T-10: AAPL240202P00185000 
ATM Put Last Price for T-10: 2.45 
last  Quote Price for T-10: 188.63 
Straddle Cost for T-10: 9.00 
RV for T-10: 0.0477 

04/10/2024 09:04:13 PM - root - DEBUG - Processing trading day: 2024_01_19
04/10/2024 09:04:13 PM - root - DEBUG - Trading Date for T-9: 2024_01_19 
ATM Call Symbol for T-9: AAPL240202C00185000 
ATM Call Last Price for T-9: 8.45 
ATM Put Symbol for T-9: AAPL240202P00185000 
ATM Put Last Price for T-9: 1.54 
last  Quote Price for T-9: 191.56 
Straddle Cost for T-9: 9.99 
RV for T-9: 0.0522 

04/10/2024 09:04:13 PM - root - DEBUG - Processing trading day: 2024_01_22
04/10/2024 09:04:13 PM - root - DEBUG - Trading Date for T-8: 2024_01_22 
ATM Call Symbol for T-8: AAPL240202C00185000 
ATM Call Last Price for T-8: 10.25 
ATM Put Symbol for T-8: AAPL240202P00185000 
ATM Put Last Price for T-8: 1.03 
last  Quote Price for T-8: 193.89 
Straddle Cost for T-8: 11.28 
RV for T-8: 0.0582 

04/10/2024 09:04:13 PM - root - DEBUG - Processing trading day: 2024_01_23
04/10/2024 09:04:14 PM - root - DEBUG - Trading Date for T-7: 2024_01_23 
ATM Call Symbol for T-7: AAPL240202C00185000 
ATM Call Last Price for T-7: 11.1 
ATM Put Symbol for T-7: AAPL240202P00185000 
ATM Put Last Price for T-7: 0.7 
last  Quote Price for T-7: 195.18 
Straddle Cost for T-7: 11.80 
RV for T-7: 0.0605 

04/10/2024 09:04:14 PM - root - DEBUG - Processing trading day: 2024_01_24
04/10/2024 09:04:14 PM - root - DEBUG - Trading Date for T-6: 2024_01_24 
ATM Call Symbol for T-6: AAPL240202C00185000 
ATM Call Last Price for T-6: 10.6 
ATM Put Symbol for T-6: AAPL240202P00185000 
ATM Put Last Price for T-6: 0.8 
last  Quote Price for T-6: 194.5 
Straddle Cost for T-6: 11.40 
RV for T-6: 0.0586 

04/10/2024 09:04:14 PM - root - DEBUG - Processing trading day: 2024_01_25
04/10/2024 09:04:14 PM - root - DEBUG - Trading Date for T-5: 2024_01_25 
ATM Call Symbol for T-5: AAPL240202C00185000 
ATM Call Last Price for T-5: 10.15 
ATM Put Symbol for T-5: AAPL240202P00185000 
ATM Put Last Price for T-5: 0.83 
last  Quote Price for T-5: 194.17 
Straddle Cost for T-5: 10.98 
RV for T-5: 0.0565 

04/10/2024 09:04:14 PM - root - DEBUG - Processing trading day: 2024_01_26
04/10/2024 09:04:14 PM - root - DEBUG - Trading Date for T-4: 2024_01_26 
ATM Call Symbol for T-4: AAPL240202C00185000 
ATM Call Last Price for T-4: 8.58 
ATM Put Symbol for T-4: AAPL240202P00185000 
ATM Put Last Price for T-4: 1.03 
last  Quote Price for T-4: 192.42 
Straddle Cost for T-4: 9.61 
RV for T-4: 0.0499 

04/10/2024 09:04:14 PM - root - DEBUG - Processing trading day: 2024_01_29
04/10/2024 09:04:15 PM - root - DEBUG - Trading Date for T-3: 2024_01_29 
ATM Call Symbol for T-3: AAPL240202C00185000 
ATM Call Last Price for T-3: 8.03 
ATM Put Symbol for T-3: AAPL240202P00185000 
ATM Put Last Price for T-3: 1.08 
last  Quote Price for T-3: 191.73 
Straddle Cost for T-3: 9.11 
RV for T-3: 0.0475 

04/10/2024 09:04:15 PM - root - DEBUG - Processing trading day: 2024_01_30
04/10/2024 09:04:15 PM - root - DEBUG - Trading Date for T-2: 2024_01_30 
ATM Call Symbol for T-2: AAPL240202C00185000 
ATM Call Last Price for T-2: 5.4 
ATM Put Symbol for T-2: AAPL240202P00185000 
ATM Put Last Price for T-2: 2.29 
last  Quote Price for T-2: 188.04 
Straddle Cost for T-2: 7.69 
RV for T-2: 0.0409 

04/10/2024 09:04:15 PM - root - DEBUG - Processing trading day: 2024_01_31
04/10/2024 09:04:15 PM - root - DEBUG - Trading Date for T-1: 2024_01_31 
ATM Call Symbol for T-1: AAPL240202C00185000 
ATM Call Last Price for T-1: 3.3 
ATM Put Symbol for T-1: AAPL240202P00185000 
ATM Put Last Price for T-1: 3.75 
last  Quote Price for T-1: 184.16 
Straddle Cost for T-1: 7.05 
RV for T-1: 0.0383 

04/10/2024 09:04:15 PM - root - DEBUG - Processing trading day: 2024_02_01
04/10/2024 09:04:15 PM - root - DEBUG - Trading Date for T-0: 2024_02_01 
ATM Call Symbol for T-0: AAPL240202C00185000 
ATM Call Last Price for T-0: 4.23 
ATM Put Symbol for T-0: AAPL240202P00185000 
ATM Put Last Price for T-0: 2.43 
last  Quote Price for T-0: 186.86 
Straddle Cost for T-0: 6.66 
RV for T-0: 0.0356 

04/10/2024 09:04:15 PM - root - DEBUG - Processing trading day: 2024_02_02
04/10/2024 09:04:15 PM - root - DEBUG - Trading Date for T--1: 2024_02_02 
ATM Call Symbol for T--1: AAPL240202C00185000 
ATM Call Last Price for T--1: 0.9 
ATM Put Symbol for T--1: AAPL240202P00185000 
ATM Put Last Price for T--1: 0.02 
last  Quote Price for T--1: 185.85 
Straddle Cost for T--1: 0.92 
RV for T--1: 0.0050 
 

 

[kitsos 16]

Sorry if i overwhelmed you with info in my previous post. The main questions i have are:

1. is RV calculated as RV = Straddle cost / Stock Price ?
2. We define the distance from earnings date in trading days (T-xx), find the ATM Straddle of that day, and keep those options contracts constant throughout our calculations, till earnings date, and we only calculate the price changes of those specific contracts throughout the trading days? 

[Yowster 7,962]

12 minutes ago, kitsos said:

Sorry if i overwhelmed you with info in my previous post. The main questions i have are:

1. is RV calculated as RV = Straddle cost / Stock Price ?
2. We define the distance from earnings date in trading days (T-xx), find the ATM Straddle of that day, and keep those options contracts constant throughout our calculations, till earnings date, and we only calculate the price changes of those specific contracts throughout the trading days? 

RV charts use the ATM straddle each day, so the strike changes as the stock price moves.  Therefore the straddle RV chart is kind of a worst case picture because it doesn’t account for stock price movement.   Conversely, the calendar RV chart is a best case picture for the same reason on not accounting for stock price movement.   

[kitsos 16]

2 minutes ago, Yowster said:

RV charts use the ATM straddle each day, so the strike changes as the stock price moves.  Therefore the straddle RV chart is kind of a worst case picture because it doesn’t account for stock price movement.   Conversely, the calendar RV chart is a best case picture for the same reason on not accounting for stock price movement.   

But how is the RV chart, that we use and reference it every time in our trade selection, then being calculated? For example a line that is the evolution of a straddle during the course of an earnings date, are the contracts not constant during a specific earnings date, so that we can see how it behaves during the specific earnings cycle?

 

Do you mean that every trading day, from T-20 to T-0, we find a new ATM Straddle?

 

Because when i go to the straddle matrix https://www.volatilityhq.com/backtester/return_matrix/?symbol=aapl&metric_type=Median&start_date=2023-10-01&show_individual_matrix=Yes&strategy_type=Straddle&long_delta=0.4&nbweeks=-1&submit=Run+backtest

i can see that the strike price used for the calculations is constant (185)    

so i think that also in the line chart the same strike price (so the same contracts) are being used throughout a specific earnings cycle

[Yowster 7,962]

40 minutes ago, kitsos said:

But how is the RV chart, that we use and reference it every time in our trade selection, then being calculated? For example a line that is the evolution of a straddle during the course of an earnings date, are the contracts not constant during a specific earnings date, so that we can see how it behaves during the specific earnings cycle?

 

Do you mean that every trading day, from T-20 to T-0, we find a new ATM Straddle?

 

Because when i go to the straddle matrix https://www.volatilityhq.com/backtester/return_matrix/?symbol=aapl&metric_type=Median&start_date=2023-10-01&show_individual_matrix=Yes&strategy_type=Straddle&long_delta=0.4&nbweeks=-1&submit=Run+backtest

i can see that the strike price used for the calculations is constant (185)    

so i think that also in the line chart the same strike price (so the same contracts) are being used throughout a specific earnings cycle

The RV chart used the ATM stradfle each day, whose strike may change from day to day.   It’s a measure of how well the IV rise is counteracting negative theta. This is useful for determine downside risk if the stock price doesn’t move. However, the return matrix follows  the straddle opened on a given T-x day so it does account for the stock price movement.