More tools to analyze the earnings trades: www.art-of.trading

[Christof+ 274]

Hi guys,

This is the address to a website I just finished (well, let's say it is in beta):

 

 

 

www.art-of.trading

 

 

 

It is helpful for those in search of an additional source of RV charts (and thank you for all encouragements I got).

 

 

 

What's this?

You can use it to simply and quite quickly depict the 'usual' RV graphs on straddles and calendars, as well as the underlying’s relative movement and IV. Most parts of the website were plugged together by me (you will notice in the grainy front picture).

It also has a page with a large table on upcoming earnings, the firm’s actual and historical IV and traded options volume in weeklies and monthlies. The goal was to plug all this information together in a more ‘trader-friendly’ way, better than on other known free website (the basic idea is to provide an answer to Kim's weekly Sunday mail about upcoming earnings trading candidates and the famous 'make sure they are liquid enough' sentence).

 

 

 

Do we really need another website with RV charts?

Well, honestly, I do not know. You will have to judge for yourself. I can only say that this is a fun project for me personally and I just could not help tackling this. Having spent some years in quant finance/institutional asset management and having fun doing quant stuff and building webpages I could not keep my fingers still and had come up with that website - despite what else might be there (and not even thinking in a particularly competitive way about it). It is very helpful for what we are doing. Technically not rocket science, although some parts still turned out taking more time than expected (I am still completely amazed, for example, about being taught all the legal implications of throwing a few figures on a website).

 

 

 

What’s your incentive in this? Will you keep this free?

What I like about this forum is that there are quite a few people who are really good - and who do not mind sharing their knowledge and their experience. I like this spirit and I want to support it.

Now, having said that, here is the money side: be clear that you need to spend some good amounts on data, hosting and development (the ones I would just be too slow to all do myself). Properly licensing your data, for example, is unfortunately much more expensive for a thing like this than for private research purposes (and of course more expensive than if you would simply scrape your data, but experience shows you want to stay clean on that one). Proper data has the nice side effect that you always have good and consistent data and finally that there is someone you can call if something goes wrong (f.e. Zacks I use is known as a good provider of earnings data).

So again, having said that, the answer is no, I will not be able to keep this for free. Costs and time should be covered. Be realistic, you will agree that anything else is simply not sustainable. Furthermore, being able to access up-to-date data on any company at any time has value.

 

 

 

So you plugged this site together, and what now??

While many people say a quant background can actually be a disadvantage in trading, I will still love to do more interesting data driven stuff, possibly in collaboration and discussion. And the useful stuff will of course go on the website. So, I am open and thankful for suggestions and discussions.

But I also want to add a cautioning word that in my experience it is often the very simple stuff which helps most. There can be an inherent danger to lose purpose when getting too carried away by shiny advanced methodologies and too much use of differential equation models. There is, however, a lot of basic stuff with seemingly little coverage here in the forum which could well value a look. For example, taking some simple company fundamentals like earnings growth, earnings volatility, even debt-to-equity, industry code, past surprises and plugging them into a simple regression to come up with a model to predict iv runup before earnings announcements. There is a good chance that this will lead to improvements with reasonable time spent on them.

 

 

 

The coming weeks will be a test run, the site will be freely accessible (in fact there is nothing in place on the page which would allow to charge anything right now). I would love to get some feedback and of course bug reports if you find funny data or anything not working as expected. So that is it, enjoy.

Edited March 19, 2019 by Christof+

[akito 184]

Very nice! I love the upcoming earnings page and that it shows whether the earnings are confirmed or not.

-Could you add in a way to filter the upcoming earnings page with multiple symbols? It seems like only one can be searched for at a time.

-The price, at around 20-25 usd, seems much more reasonable when compared to other sites. Nice.

-Is there a way to disable the smooth scrolling? (perhaps a setting?) The biggest issue with it is that it seems to scroll way too much with one notch of the scroll wheel on the mouse.

 

[Christof+ 274]

@akito, thank you, and glad you like it!

Smooth scrolling is off, good hint!

I am not aware how to search for multiple symbols (would probably need a js tweak). But narrowing down results using time range and min. weekly options volume is useful (I think I already filtered by weekly vol>0 before filling the table, otherwise there would be thousands of names appearing)

Edited September 20, 2017 by Christof+

[SBatch 3,123]

1 hour ago, Christof+ said:

Hi guys,

This is the address to a website I just finished (well, let's say it is in beta):

 

 

 

 

 

www.art-of.trading

 

 

 

 

 

It is helpful for those in search of an additional source of RV charts (and thank you for all encouragements I got).

 

 

 

 

 

What's this?

 

 

You can use it to simply and quite quickly depict the 'usual' RV graphs on straddles and calendars, as well as the underlying’s relative movement and IV. Most parts of the website were plugged together by me (you will notice in the grainy front picture).

 

 

It also has a page with a large table on upcoming earnings, the firm’s actual and historical IV and traded options volume in weeklies and monthlies. The goal was to plug all this information together in a more ‘trader-friendly’ way, better than on other known free website (the basic idea is to provide an answer to Kim's weekly Sunday mail about upcoming earnings trading candidates and the famous 'make sure they are liquid enough' sentence).

 

 

 

 

 

Do we really need another website with RV charts?

 

 

Well, honestly, I do not know. You will have to judge for yourself. I can only say that this is a fun project for me personally and I just could not help tackling this. Having spent some years in quant finance/institutional asset management and having fun doing quant stuff and building webpages I could not keep my fingers still and had come up with that website - despite what else might be there (and not even thinking in a particularly competitive way about it). It is very helpful for what we are doing. Technically not rocket science, although some parts still turned out taking more time than expected (I am still completely amazed, for example, about being taught all the legal implications of throwing a few figures on a website).

 

 

 

 

 

What’s your incentive in this? Will you keep this free?

 

 

What I like about this forum is that there are quite a few people who are really good - and who do not mind sharing their knowledge and their experience. I like this spirit and I want to support it.

 

 

Now, having said that, here is the money side: be clear that you need to spend some good amounts on data, hosting and development (the ones I would just be too slow to all do myself). Properly licensing your data, for example, is unfortunately much more expensive for a thing like this than for private research purposes (and of course more expensive than if you would simply scrape your data, but experience shows you want to stay clean on that one). Proper data has the nice side effect that you always have good and consistent data and finally that there is someone you can call if something goes wrong (f.e. Zacks I use is known as a good provider of earnings data).

 

 

So again, having said that, the answer is no, I will not be able to keep this for free. Costs and time should be covered. Be realistic, you will agree that anything else is simply not sustainable. Furthermore, being able to access up-to-date data on any company at any time has value.

 

 

However, I would expect 20-25 USD a month to be a reasonable and sustainable range, at least given enough interest. That’s for the start, let’s just see where it goes from here (that is for me personally one of the most exciting parts about such projects like this: you never know where you eventually will be carried to).

 

 

 

 

 

So you plugged this site together, and what now??

 

 

While many people say a quant background can actually be a disadvantage in trading, I will still love to do more interesting data driven stuff, possibly in collaboration and discussion. And the useful stuff will of course go on the website. So, I am open and thankful for suggestions and discussions.

 

 

But I also want to add a cautioning word that in my experience it is often the very simple stuff which helps most. There can be an inherent danger to lose purpose when getting too carried away by shiny advanced methodologies and too much use of differential equation models. There is, however, a lot of basic stuff with seemingly little coverage here in the forum which could well value a look. For example, taking some simple company fundamentals like earnings growth, earnings volatility, even debt-to-equity, industry code, past surprises and plugging them into a simple regression to come up with a model to predict iv runup before earnings announcements. There is a good chance that this will lead to improvements with reasonable time spent on them.

 

 

 

 

 

The coming weeks will be a test run, the site will be freely accessible (in fact there is nothing in place on the page which would allow to charge anything right now). I would love to get some feedback and of course bug reports if you find funny data or anything not working as expected. So that is it, enjoy.

 

 

Very nice work.  Intuitive and clean design.  A great addition would be to add to the Upcoming Earnings Announcements page the percentage movement of the underlying in the session after the earnings release in the previous cycle.

[akito 184]

1 hour ago, Christof+ said:

@akito, thank you, and glad you like it!

Smooth scrolling is off, good hint!

I am not aware how to search for multiple symbols (would probably need a js tweak). But narrowing down results using time range and min. weekly options volume is useful (I think I already filtered by weekly vol>0 before filling the table, otherwise there would be thousands of names appearing)

Can't you accept a comma separated string, parse the symbols within, and then filter out the results on the page? Not sure what tool/framework/extension/library you are using, but I can't imagine it to be too difficult. (unless you have some strange formatting/structuring on that page)

 

Yahoo does something similar (this is what I am using currently for upcoming earning dates as it allows searching/filtering for multiple symbols):

(unfortunately, it does not say if each earnings is confirmed, which your sites does)

https://finance.yahoo.com/calendar/earnings?symbol=aapl%2Cfdx&offset=0&sf=startdatetime&st=asc

[akito 184]

Also, the filter on your "confirmed" column does not seem to work. I tried to type in "yes" and it couldn't find any results even though many of the rows do indeed have a "yes" in them. (I also tried "no" and had the same results)

[Christof+ 274]

@SBatch, thanks, appreciate your feedback! Not a big thing. I would like to wait a few days what else will come and then see what is the most useful.

@akito, fixed the confirmed search (there is a hint to use '1' and '0', with which it works now). Let's see concerning multiple symbols for more feedback (I am of course sure you are not asking this for facilitating any scraping )  

[Kim 7,943]

Thank you @Christof+! this is a great addition to our resources!

[Mdahl 4]

Agree with others' comments.  Very helpful, thanks!

[dmeulmee 4]

Yep, me too @Christof+. The price range you mention seems reasonable too. I can't afford all those services (subscriptions) that are passing by on SO. But in this one Iam definitely interested.

[Maji 203]

Thank you @Christof+ 

Really appreciate your hard work.

Maji

 

[Christof+ 274]

On 20.9.2017 at 4:12 PM, SBatch said:

Very nice work.  Intuitive and clean design.  A great addition would be to add to the Upcoming Earnings Announcements page the percentage movement of the underlying in the session after the earnings release in the previous cycle.

You find a new column on the Upcoming Earnings Announcement page now with stock's maximum intraday move following last cycle's announcement, relative to pre-earnings close. For that I removed the IV rank (as used by tastytrade, drop me a message if you still found it useful. I left 12m average IV and actual IV though). As always welcome and happy about bug reports and ideas.

[Christof+ 274]

With a small tweak it could be even the average stock price reaction over, say, the last 4 previous cycles. But I think for us most relevant is the reaction to the latest cycle. Tell me if you think otherwise.

[SBatch 3,123]

2 hours ago, Christof+ said:

With a small tweak it could be even the average stock price reaction over, say, the last 4 previous cycles. But I think for us most relevant is the reaction to the latest cycle. Tell me if you think otherwise.

For our purposes, I believe the last cycle is most pertinent for this page.

[Christof+ 274]

After following this discussion

 

 

I tried to come up with some single number reflecting the 'normal, unelevated' IV of a stock, with which options are priced during non-earnings times. I termed it 'IV base' and added it to the upcoming earnings page (the idea is that it more or less matches with the 'baseline' IV on ivolatility IV charts). It might be helpful for choosing candidates and a good strategy.

Edited October 6, 2017 by Christof+

[Christof+ 274]

Slowly getting at least some practical idea about the SO way of trading things (thanks to members and mentors keeping repeating themselves),  I thought having some kind of better overview can actually be of great help in selecting candidates.

Particularly, I wanted to be able to compare candidates' current RV with one another and with historical averages and the RV going into earnings. And have some hard and handy numbers for the average daily loss you have to expect when entering a straddle in historical terms. So after removing all the clutter from the Upcoming Earnings page, I added fresh columns (will also change the table plugin at some point, this one is crap when it's getting just a little more serious):

The price is there to give an idea about contract numbers and hence commissions (thanks for the idea).

:

RV is the latest RV of the shortest to expiry straddle

RV rel is the distance to the average RV of previous cycles at this stage before earnings (to see if straddle is cheap compared to hsitory)

RV earn is the average RV on the last day before earnigns (implied move)

RV earnmin is the lowest RV going into earnings which ever occured in the (imported) history

Decay is the daily average loss (as percentage of value) a straddle endures in the weeks before earnings

Edited October 6, 2017 by Christof+

[Maji 203]

I can't seem to find MSFT (EA on 10/26/2017) in the earnings tables. Am I missing something or some symbols are not included?

Thank you.

[Christof+ 274]

1 hour ago, Maji said:

I can't seem to find MSFT (EA on 10/26/2017) in the earnings tables. Am I missing something or some symbols are not included?

Thank you.

Hi Maji, just tried it myself,  I got it immediately after entering 'MSFT'on top of the symbol column. MSFT is definitely a company which needs to be there. Maybe you queried in the second the table updated? I am in the jungle for one week,   so have very limited access . But it should be working Can you please try again? J

[Maji 203]

@Christof+ Found it this morning... maybe I did not see properly last night or maybe a glitch... 

Thank you for your help and enjoy the wilderness... maybe more enjoyable there than the wilderness in the markets

[Christof+ 274]

This morning art-of.trading was not reachable for a short while due to a redirecting mistake on my part. All is working again.
Please, as always, if you come across any issues, including a slow response, drop me a PM or post it here. Even though the website is monitored externally, it might take some time until I am aware of an issue.

This is especially pronounced now since - as soon as time permits - I will start working on larger changes to the site which cannot all be prepared in the dev environment alone.

[IgorK 111]

@Christof+ What is the meaning of Expiry after earnings  parameter?

[Christof+ 274]

25 minutes ago, IgorK said:

@Christof+ What is the meaning of Expiry after earnings  parameter?

@IgorK, this is the minimum number of business days between earnings announcement and the expiry of the options. So the options used for the calculation are from the nearest expiry after (announcement date + this parameter)

Edited December 14, 2017 by Christof+

[IgorK 111]

27 minutes ago, Christof+ said:

@IgorK, this is the minimum number of business days between earnings announcement and the expiry of the options. So the options used for the calculation are from the nearest expiry after (announcement date + this parameter)

Got it. Thank you.

[Kogelet 1]

Does RV mean a relative value of the straddle premium? Most of RV charts are decreasing. Could you please explain how we should interpret it?  

[Yowster 9,183]

2 hours ago, Kogelet said:

Does RV mean a relative value of the straddle premium? Most of RV charts are decreasing. Could you please explain how we should interpret it?  

@KogeletFor straddle RV, its the price of the ATM straddle divided by the stock price (its also called the implied move when you are really close to earnings day).  RV is a great technical measurement for our trades because it encompasses both IV increases and theta decline.   When looking at pre-earnings straddles, all RV charts will decrease on average (there will be days when it goes up, but in general the average line always goes down).   Its the downward slope that is important - things with a steeper slopes have little RV increases heading into earnings to offset the theta decay, and things with flatter slopes have IV increase that counteract a lot of the theta decay.   For our hedged straddle trades, we like to see the short strangle credits offset the typical RV decay - that way if we don't have gamma gains on stock price movement, we usually see the short strangle credits cover the straddle decline (or many times the short strangle credits exceed the long straddle decline)

[Christof+ 274]

Hi @Kogelet, welcome once more.

Nothing to add to @Yowster, despite maybe that these charts are also useful to compare todays straddle/calendar premium to previous cycles (which is possible because you compare the premium in terms of/relative to the underlying's price). While a cheap relative value will not give you any guarantee that it will not drop further (see FDX recently, for example), it will give you a better overall picture and help determine useful limits for entry and exit.

This thread will explain more details at length:

 

 

[Christof+ 274]

There was an issue with last night's update. Latest data should be available within few hours from now.

Edited January 23, 2018 by Christof+

[Christof+ 274]

All back to normal

[craigsmith 357]

Thank you!

[craigsmith 357]

Hi @Christof+ I'm trying to pull up some calendar information on your website, but it's not showing any data for this cycle of earnings, they are all last cycle. When you get a chance, can you take a look and make sure I'm not doing something wrong? No rush, just when you can.

 

Thanks!

[Christof+ 274]

Hi @craigsmith,  yes, I do see this problem. Will have a look into it...

[Christof+ 274]

@craigsmith The problem is fixed, thanks for reporting it!

[craigsmith 357]

Thanks, I appreciate it!

[Maji 203]

@Christof+ Thank you for fixing the issue promptly. 

[Arthur 32]

@Christof+ Thanks for creating such a great tool! I am currently looking at the Upcoming Earnings section, and I noticed that the RV column shows the RV of the shortest to expiry straddle. However, we are usually interested not in the options expiring next, but in the options expiring after the next earnings. Would it be possible instead to show the RV of the straddle expiring after the next earnings date (regardless of whether confirmed or not)? It would make the search for "cheap" straddles much easier...

[cuegis 683]

1 hour ago, Arthur said:

@Christof+ Thanks for creating such a great tool! I am currently looking at the Upcoming Earnings section, and I noticed that the RV column shows the RV of the shortest to expiry straddle. However, we are usually interested not in the options expiring next, but in the options expiring after the next earnings. Would it be possible instead to show the RV of the straddle expiring after the next earnings date (regardless of whether confirmed or not)? It would make the search for "cheap" straddles much easier...

If you are referring to volatility hq, that is what they are already showing.

The straddles default to the 1st expiration POST earnings.

[akito 184]

6 minutes ago, cuegis said:

If you are referring to volatility hq, that is what they are already showing.

The straddles default to the 1st expiration POST earnings.

FYI, this topic is for art-of.trading, so Arthur is most likely asking about art-of.trading.

[cuegis 683]

16 minutes ago, akito said:

FYI, this topic is for art-of.trading, so Arthur is most likely asking about art-of.trading.

When I saw the term "RV" I just assumed he was talking about vol hq, because, I thought they were the only one's doing anything on this calculation.

[Christof+ 274]

2 hours ago, Arthur said:

However, we are usually interested not in the options expiring next, but in the options expiring after the next earnings.

@Arthur, Thanks for your nice words! The upcoming earnings page on art-of.trading is showing the RV of the straddle first expiring after earnings. Well, at least that's how it should be. I cannot rule out that there is some bug of course. Therefore, it would be helpful if you could post or PM me an example where you found the two to differ?

Right now, when looking at RAD, they fit:

 

 

 

 

 

Edited June 26, 2018 by Christof+

[Christof+ 274]

Well, RAD is not a good example, since the next expiration is the one after the earnings announcement. But looking at DAL I also see the correct value:

 

 

 

 

 

 

 

Edited June 26, 2018 by Christof+

[cuegis 683]

Are you really interested in RAD?

It is a $2 stock.

Calendars are out.

So, the only possible thing to do would be straddles.

[Christof+ 274]

2 hours ago, Arthur said:

It would make the search for "cheap" straddles much easier...

@Arthur in general, while art-of.trading is still free it does not mean I am not open for suggestions. The opposite, I encourage you. Best is by PM. Often new members have good ideas since they have no fixed way of looking at things yet (just this week give me a day or so to answer since right now I am on vacation with my family).

Edited June 26, 2018 by Christof+

[Arthur 32]

@Christof+ I've sorted the Upcoming Earnings by the RV and got a bunch of impossibly cheap straddles (please see screenshot attached). Too good to be true

Anyway, enjoy your vacation!

[Djtux 548]

12 minutes ago, Christof+ said:

@Arthur, Thanks for your nice words! The upcoming earnings page on art-of.trading is showing the RV of the straddle first expiring after earnings. Well, at least that's how it should be. I cannot rule out that there is some bug of course. Therefore, it would be helpful if you could post or PM me an example where you found the two to differ?

A quick look shows some bugs like BIIB. They announced yesterday the next earnings date http://investors.biogen.com/news-releases/news-release-details/biogen-report-second-quarter-2018-financial-results-july-24-2018

Quote

 

BIOGEN TO REPORT SECOND QUARTER 2018 FINANCIAL RESULTS ON JULY 24, 2018
June 25, 2018 at 4:01 PM EDT
CAMBRIDGE, Mass., June 25, 2018 (GLOBE NEWSWIRE) -- Biogen Inc. (Nasdaq:BIIB) today announced it will report second quarter 2018 financial results on Tuesday, July 24, 2018, before the financial markets open.

Following the release of the financials, the Company will host a live webcast with Biogen management from 8:00-9:00 am ET. To access the live webcast, please go to the investors section of Biogen’s website at www.biogen.com/investors. Following the live webcast, an archived version of the call will be available on the website.

 

If you look at BIIB, it shows a current RV of 2.5% which is very attractive.

Now the 2.5% RV is puzzling because the RV charts are nowhere near that, and the RV charts don't show the next confirmed earning date :

 

 

 

[cuegis 683]

40 minutes ago, Djtux said:

A quick look shows some bugs like BIIB. They announced yesterday the next earnings date http://investors.biogen.com/news-releases/news-release-details/biogen-report-second-quarter-2018-financial-results-july-24-2018

If you look at BIIB, it shows a current RV of 2.5% which is very attractive.

Now the 2.5% RV is puzzling because the RV charts are nowhere near that, and the RV charts don't show the next confirmed earning date :

 

 

 

This continual, down trending line, in 1st , post earnings expiration straddles, is really just a graph of the short leg of a pre - earnings calendar, in effect.

[Christof+ 274]

Thank you guys, there was indeed a bug here. One after the other:

 

 

8 hours ago, Djtux said:

A quick look shows some bugs like BIIB.

 

@Djtux, this exactly I am not able to reproduce. Earnings are confirmed for BIIB, actual straddle RV is at 7.4%, 13% below the average at this point. Seems perfectly fine.

 

 

[Christof+ 274]

9 hours ago, Arthur said:

I've sorted the Upcoming Earnings by the RV and got a bunch of impossibly cheap straddles

This however I can reproduce. And I know why it has happened:

 

The RV shown in the upcomings earnings table is always the latest, most recent value which is calculated for the RV charts.

 

While the upcoming earnings table shows announcements dates for the next months to come, the charts themselves start only 20 trading days before each earnings announcements. So the mistake was actually simple: since the table has earnings dates which are not yet plotted on the chart (i.e., all more than 20 trading days into the future), the most recent value is the last value of the previous cycle. Normally one day after the announcement, for BIIB this was indeed around 2.5%.

 

This makes little sense of course. So the (quite obvious) fix for now is to allow RVs only from future earnings dates.

The sorted table now looks more reasonable (you will now have to put a '0' in the Minimum field to filter out all empty RVs) :

 

 

Once again thank you for putting my nose to it. Let me know if you find more.

[poseidolginko 325]

Thank you for this tool.  It's great!

[Christof+ 274]

Added SYY, thanks for the hint!

[Christof+ 274]

Just added 5 week calendars to art-of.trading. I by the way also increased the time range of the charts. Let me know in case you find unplausible data.

Edited July 26, 2018 by Christof+