Historical Data on Option Spreads/Combos

[cuegis 683]

I trade through Interactive Brokers and I create the various spreads, that I plan on trading ( calendars, butterflies etc), and put them on my quote screen.

If I create a new one, and right click on it, then choose "charts", to see a graph of where this spread has traded over the past few weeks, theoretically, a correct chart should be brought up, so that I can view this.

But, consistently, this dosn't even come close to providing any kind of accurate chart of the correct prices where any of these spreads have traded at.

So, I cannot achieve this goal by using the TWS platform.

I wanted to know if anyone knows of a service, or any other way I can get this information?

For example, when earnings season is coming up, and I want to do a particular calendar, I would like to see where it has been trading up until now, so that I have a reference point as to where I would be entering, if I choose to get in now.

This is what I am trying to achieve.

Any thoughts , or knowledge of other sources of this sort of historical information would be appreciated.

And, it would be helpful to all of us.

Edited April 15, 2018 by cuegis

[Djtux 543]

By default that chart will show the 'trades' of that spread. So if you look at say a 5min chart, there is most likely not that many trades so the chart is not useful.

What i do is to set the 'mid' instead of the 'trades' in the chart properties. There is also an option to show the bid and ask.

That helps to get a feel for possible entry prices especially for calendars.

[cuegis 683]

9 minutes ago, Djtux said:

By default that chart will show the 'trades' of that spread. So if you look at say a 5min chart, there is most likely not that many trades so the chart is not useful.

What i do is to set the 'mid' instead of the 'trades' in the chart properties. There is also an option to show the bid and ask.

That helps to get a feel for possible entry prices especially for calendars.

That's right...I forgot to do that. It must have defaulted to "trades".

It's strange. They will not provide any spreads in daily, or longer, format.

So, to get anything, you have to start at least at 4 hour charts, then work you way down from there.

[cuegis 683]

16 minutes ago, Djtux said:

By default that chart will show the 'trades' of that spread. So if you look at say a 5min chart, there is most likely not that many trades so the chart is not useful.

What i do is to set the 'mid' instead of the 'trades' in the chart properties. There is also an option to show the bid and ask.

That helps to get a feel for possible entry prices especially for calendars.

I tried it again.

I set it to 4 hours, and "midpoint", now the chart say's "attempting to retrieve data", and has been frozen on that for 15 minutes.

[Christof+ 272]

@cuegis personally, choosing a chart 8 or 10 days back in the dropdown, with 'bid and ask' to display proofs the most useful to me. It allows you to see intraday what was going on over a time span relevant for a trade.

Together with the end-of-day calendar RV charts this should give you a good grip of where might be good spots for placing limits... is it indeed anything else that you are missing?

[Christof+ 272]

3 minutes ago, cuegis said:

I tried it again.

I set it to 4 hours, and "midpoint", now the chart say's "attempting to retrieve data", and has been frozen on that for 15 minutes.

Yes, it can take a while. But seldomly longer than 2/3 min for me.

[cuegis 683]

12 minutes ago, Christof+ said:

Yes, it can take a while. But seldomly longer than 2/3 min for me.

You have to use "Mid", you cannot use "bid/ask".

I'm looking back around 1 week, at the NFLX 4 week calendars, between 390-420.

I have been following them closely, and know that they have been trading from a low of $3.90, up to $4.80.

If you use "mid" it does give a somewhat accurate accounting , that are close to these prices. And, it accurately shows them rising everyday.

But, when I tried "bid/ask", it just shows bars with a range of - 15 - + 15, and a point in the middle that is not even remotely near where these have been.

So,  "mid" is the only choice to use.

But, depending on the liquidity of what you are looking at, you could get numbers that are way out of whack.

So the only way to know if it is , at least somewhat, reflecting what has been happening, you would have needed to have been watching them yourself, at some point.

But, it's better than nothing.

[Christof+ 272]

@cuegis, try chosing 'line', it should work well

 

[cuegis 683]

20 minutes ago, Christof+ said:

@cuegis, try chosing 'line', it should work well

 

I tried a "1 week line". I cannot find any place where there is a choice for an "8 day" line.

This appears to accurately reflect the activity of the past week.

 

Edited April 15, 2018 by cuegis

[cuegis 683]

This is interesting. It is a 1 week, line chart of a 3 week calendar of AMZN 1435 strike.

I used this strike because that is where AMZN is now..

But, over the past week, AMZN started at $1350, and wound up at $1435.

So, the chart makes perfect sense.

It began as a calendar that was $85 out of the money, and ended right ATM.

So,this is exactly what you would expect.

A calendar is always the lowest price ATM, and continually rises as you move away from ATM.

It also, shows how risky an AMZN calendar is right now. Even though earnings are still 10 days away.

 

It also shows that, right now a 3 week ATM calendar in AMZN is around $12. But ATM can move $85 in a few days.

Edited April 15, 2018 by cuegis