Chartaffair.com - RV Charts & Backtesting for Steady Options

[Christof+]

 

Most members will know www.art-of.trading, an open website I run with the purpose of easy plotting RV charts.

Now I have some bad news to convey. But there is some good news also.

 

First the bad news:
I will discontinue www.art-of.trading. After running it and offering its content for free for more than a year now I will not maintain the webservice longer in its current form. Daily updates will continue for now but the site will not be accessible anymore within some short period of time.

Now here is the good news:
There will be a replacement - a good one. Taking the essence of numerous discussions here on Steady Options and my personal take-aways and learnings from running art-of.trading I am up to offer an entirely new service for providing tools for trading the Steady Options way (in the same breath I should add a big thank you for all remarks and positive feedback I have gotten over the entire period. That is what made me take that route. On top I see that Steady Options continues to be a unique community on the web for trading options, with very good people and quality content - reason enough to stick around).

 

I invite you to take a look at https://www.chartaffair.com

 

Currently the site is working but open only to beta testers and not 'officially' released yet. Am still looking for some more beta testers. If you want to have early access I invite you to PM me for a free invitation code. Beta testers will get free access for some time once the site launches officially.

 

Technically chartaffair.com is a more professional approach to running a webservice. And I have completely redesigned its code base. It uses a new data architecture, specifically targeted at handling and serving from large amounts of data. This together with fast hosting hardware and the use of new web technologies allows for two things:

 

1) Greatly increase available information
You will find much more tables and graphs for each symbol with all information needed for trading the SO way: Historical implied move vs. actual move (as graphs and tables), credit needed for hedging straddle decay, actual performance of straddles around earnings. But also basic stuff like the next dividend ex-date or how long before the actual earnings announcement the announcement date gets confirmed (more details on specific features in later posts). Also, you will find practically any symbol now which comes at least with some traded options volume.

 

2) All information for a symbol aggregated on one single page
Having all information in one place elminates the need to jump back and forth between different pages and websites, having to reenter the same symbol again and again (which I understood is an issue). A side bar allows for easy and fast navigation up and down on the page.

 

All features came out of discussions and from my own experiences while trading. I believe they will be helpful. I will introduce some in greater detail in a couple of follow-up posts in this thread. On top of that there are a couple more pages to be added to this site. They are in planning and partly already in implementation. They will be added in the course of the next weeks/months.

 

Chartaffair will be a paid service after the beta phase (it is not possible elsewise. But it will be worth it.) Now, if you found art-of.trading helpful over the course of last year, I invite you to sign up to chartaffair.com when the beta phase is completed. You will find it even more helpful.

 

[Christof+]

Some usability features:

On the earningscharts page use the navigation bar on the left side (avoids death-by-scrolling - the page is long with all content)

 

The symbols on the earnings chart page are links - a click opens the symbol's details.

Edited March 21, 2019 by Christof+

[Stanislav]

@Christof+, sad to hear you decided to discontinue www.art-of.trading - it is really good free service for evaluating SO strategies. But it is nice to hear you finally ready to provide a professional paid service!

[Christof+]

 

A few improvements I tried to do on RV charts:

 

When there are (or were in earlier times) no weekly options available, the next monthly expiry used in RV calculation we know can be further out than one week. Further out options have higher intrinsic value, leading to higher RV which can suggest that your (weekly) straddle candidate is a bargain when in fact it is not. Therefore, such 'further out' straddles are now plotted using dotted lines to indicate that their maturity is longer out than what is selected in the dropdown:

 

 

[Christof+]

Two more things on RV charts:

 

Line Thickness depending on Market IV

To get a better feeling for the actual line with regard to the market IV regime in comparison to other cylces, the line thickness on the RV chart now corresponds to the market IV during the respective cycle (while each day's exact VIX value is contained in the hover legend):

 

 

The line thickness is currently determined as follows:
0% - 14% VIX -> 1 pt.
14% - 23% VIX -> 2 pt.
23% - 30% VIX -> 3 pt.
>30% -> 4pt.

Possibly other values make more sense. Let me know - it can be changed easily. Line thickness can easily be overlooked if you are not aware of it (thanks @ales19 for pointing it out).

 

 

Mean and Median

On every RV chart it is possible now to chose between the mean (as we had it before) and the median value as the average for the black line. Both will respect the excluded cycles from the dropdown (the average will recalculate when you add or delete a cycle in the dropdown, but not when you 'only' click on it in the legend)

 

 

 

 

 

 

 

 

 

Edited March 25, 2019 by Christof+

[Christof+]

In the Historical Earnings Announcement section I have added a bar chart to compare the implied against the actual earnings move (intraday in lighter color, and at day end in stronger color graphically, and for a longer history in a table).

 

The blue dots represent VIX values, should help to see in one glance how the overall market IV may have influenced the implied move.

 

 

The pink numbers represent the remaining life of the options used to calculate the implied move at the time of the earnings announcement (TTM = time to maturity. If the TTM is further out, the implied move (IM) might be inflated).

 

 

So in the CCL example, you see in the top table that weekly options started trading in February 2017, which corresponds with the longer TTM values prior to 2017-03 in the chart above.

 

 

 

The pink numbers have caused some confusion, and I agree one needs to get used to it. I tried to add a '?' with tooltips everywhere. But if you still have a better idea please let me know.

 

Edited March 27, 2019 by Christof+

[trader212]

@Christof+

 

 

When I export to CSV or Excel from upcoming earnings page, it dumps European number formats which my Excel doesn't process correctly ... is there a way to choose American number formatting?

 

 

[Christof+]

@trader212 Thanks for the hint. I changed the number format to US (which is probably more consistent anyway). Should work when you try next time.

[Christof+]

On the upcoming earnings page, I tried to come up with some additional numbers for trading calendars:

1) The average calendar RV rise over the last 8 cycles (CAL rise)

2) The 'volatility' of RV within cycles (we often use to go in and out several times during one cycle when trading a calendar. This should work better the more 'bouncy' a calendar is, i.e. you see higher and lower RV values taking turns within just a few days. CAL vola tries to capture this behaviour and make it comparable)

 

 

 

As before all columns can be filtered and sorted. This can help you for example when looking at sorted average straddle decay numbers when looking for candidates.

[poseidolginko]

Hello @Christof+.  The new site is great.  Would it be possible to show the last dividend paid as well as the date it was paid and the dividend frequency?  Thanks in advance.

[Christof+]

@poseidolginko Thanks ! I get the idea (and even already own this data). Will put it on the todo list/add it to the survey. However, it might take a little as there is a lot of other stuff to add first.

 

[trader212]

@Christof+

Calendar charts went down sometime this morning ... is it just me, or is it a web site issue?

 

[Christof+]

@trader212  that is me, I am implementing some changes at the moment (normally I add a banner with some short info. Will do it next time again).

[Christof+]

Thanks for all the careful feedback I am getting! To three suggestions I could respond rather quickly:

1) straddle and calendar graphs have now week markers (thanks @mimbe)

 

2) The IV over time graph now shows the trailing 2 years to display IV during different market environments (thanks @Yowster)

 

3) The filters on the upcoming earnings table are now above the table and the table will update only with pressing 'Search' (thanks Steve)

 

 

 

There is more to come but now need to take care of a seminar next week. Looks like I will be able to add some more pages to the site faster than expected. So will just let the beta phase continue for now...

[trader212]

@Christof+

 

two questions about rescaling straddle and calendar charts:

 

1.
How do we rescale y-axis after eliminating unwanted outliers that make the chart hard to read?

 

2.
How do we set a user-defined y-axis range, mostly for charts where the after-earnings action is so extreme that the pre-earnings part is hard to read?

 

 

 

[Christof+]

Hi @trader212

1. & 2. Simply click and hold the left mouse button:  you can zoom in and maginfy any area of the chart you like
(a double click anywhere on the chart canvas will bring you back to full view)

 

Remember that by clicking on a line's legend entry this line is simply hidden on the chart. The graph itself does not recaluclate, and the average for instance (mean or median) will still be displayed including this line. It is only when you select one or more cycles in the 'Exclude individual EAs' dropdown that the chart data reloads, including the 'corrected' avg.

[trader212]

@Christof+

Perfect, thanks ... now I remember doing that before.

 

[Alan]

On ‎4‎/‎8‎/‎2019 at 1:25 PM, Christof+ said:

Hi @trader212

1. & 2. Simply click and hold the left mouse button:  you can zoom in and maginfy any area of the chart you like
(a double click anywhere on the chart canvas will bring you back to full view)

 

Remember that by clicking on a line's legend entry this line is simply hidden on the chart. The graph itself does not recaluclate, and the average for instance (mean or median) will still be displayed including this line. It is only when you select one or more cycles in the 'Exclude individual EAs' dropdown that the chart data reloads, including the 'corrected' avg.

@Christof+ Any chance that the decay rate could be recalculated after removing cycles in 'Exclude individuals EAs from graph'?

[poseidolginko]

Hi @Christof+.  Any chance you can update the BIDU earnings date?  It has been confirmed for May 16 after close:  http://ir.baidu.com/phoenix.zhtml?c=188488&p=irol-newsArticle&ID=2395105

Thanks in advance.

[Christof+]

@poseidolginko thanks for the hint. It should update automatically as soon as any of the data providers carries it.

Am travelling home right now, will have a look what's going on as soon as I get to my laptop.

[Christof+]

@Alan sorry for my late reply. While the 'black line' as the graphical representation updates automatically when you remove a cycle (either as mean or median, whichever you chose) it it not possible to update the plain decay number in an easy way. But having both, the decay over the last 4 and the last 8 cycles will hopefully help in getting some 'grip' on the actual behaviour (will hiwever note it for possible future engancements)

[Christof+]

@poseidolginko All data is updated (BIDU is confirmed on May 16th three times)

 

 

[Christof+]

Some news on the beta phase you might welcome:

 

The site is running pretty stable so far with some minor hickups still here and there. As announced it would be time to roll out the rest and start regular operations.

 

However: Things have started moving here with some projects, I now have the opportunity to do something I wanted to do since long (something I was not sure I would be able to do before my son actually starts school): I will take my family on an RV and sailing tour through Canada for the entire month of June. With a lot of nature and a lot of sailing - and often with little to no internet connectivity. So while I am looking forward to it, I have also chartaffair to take care.

 

You guys gave good feedback on the 'premium character' of chartaffair. I also expect it to continue running smoothly without me babysitting it during June. Even if not, I have a team of highly skilled people looking daily and being ready to jump in and help. But there might be situations I cannot ask from them to solve all by themselves, since I am still the one knowing the site best. In short, although unlikly, I cannot guarantee that in June there will not be a few days without failing updates etc.

 

Now, because I do not feel it is right to charge for a period which I cannot guarantee full functioning, and frankly also because I simply do not want to worry while traveling, I decided to give all beta testers one and a half months more of free access to the site as it is now. Also rolling out the final pages will be after I will be back.

 

[FrankTheTank]

Hi @Christof+  I really like the new site so far.   Good work.    Please enjoy your vacation and you can respond to this once you return.

(1) Can you separate out the straddle heat map for days T+1 and T+2 or give them their own heatmap format with different colors?   I have noticed these often have very large % increases which then distort the way the average returns are reported for days -20 through 0.   See image below where there are some decent straddle returns in day 0 but these are showing up in blue because the very large returns from T1+1 and T+2 are so large.

(2) Also, can you add a table for "median" return?  The average number is also distorted when you have one very large win or loss.

 

Thank you.

 

 

[Djtux]

12 minutes ago, FrankTheTank said:

Hi @Christof+  I really like the new site so far.   Good work.    Please enjoy your vacation and you can respond to this once you return.

(1) Can you separate out the straddle heat map for days T+1 and T+2 or give them their own heatmap format with different colors?   I have noticed these often have very large % increases which then distort the way the average returns are reported for days -20 through 0.   See image below where there are some decent straddle returns in day 0 but these are showing up in blue because the very large returns from T1+1 and T+2 are so large.

(2) Also, can you add a table for "median" return?  The average number is also distorted when you have one very large win or loss.

 

Thank you.

 

 

This is something that i introduced on my website last year, i don't think anyone else did heatmap :https://steadyoptions.com/forums/forum/topic/3885-rv-charts-volatilityhqcom-official-thread/?do=findComment&comment=95365

Here is what the median return would show.

[Christof+]

@FrankTheTank Thanks for your nice words, glad the code worked (at the moment from a laundry shop, currently about to leave the Rockies).

 

My goal with Chartaffair is to 'empower' especially small traders - who might not be so quant-savvy - with useful and high-quality tools. And I will add whatever serves this purpose.

 

Since you asked: Heatmaps have been asked for a lot for. So yes, of course I will add a heatmap section and more useful stuff after returning (in fact they are practically ready, not much is missing. What I can see already is that despite the large amounts of data page load times will be very good - just like the rest of the site has been so far).

 

I can see the issues you point to. It should be possible to change to median return and get the colors more defined. I need to add that the heatmap you can see now on the page, however, is basically only a toy to give a first impression, nothing more.

[Christof+]

I just added a new backtest section with two pages to the website:

It allows to plot heatmaps (for straddles and different long call deltas for a start) of Returns...

 

... plus the Standard Deviation of Returns to show return variability across cycles...

 

... plus the Drawdown you would be exposed being invested in the strategy...

 

 

...drawdown can be plotted for being long and being short the strategy.

Edited August 22, 2019 by Christof+

[FrankTheTank]

Looks beautiful.  Thanks for the update!

 

Any chance we could get a heat map for calendars?
 

 

[Christof+]

There is also a screener page in the section to compare returns across symbols.  The time range of the backtest and the in and out days can be set freely:

 

Edited August 22, 2019 by Christof+

[Christof+]

@FrankTheTank The code for calendars is written, probably by tomorrow.

[Djtux]

1 hour ago, Christof+ said:

How do you define the drawdown ? If you enter at T-20 and exit at T-19, that's a 1 day holding. There are 3 losses with return -5.12%, -8.19% and -3.08%, i don't see how an average drawdown could be around -2.0%.

1 hour ago, Christof+ said:

...drawdown can be plotted for being long and being short the strategy.

Do you use margin to calculate the return when you have a short position ? Or you calculate the return based on the credit received ?
Here at SO, we typically calculate the return based on the margin, not the credit received.

[Christof+]

Started to roll out 2019 of the first Calendar backtests.

 

Let me know in case you see funny data, this is still beta.

Edited August 23, 2019 by Christof+

[Christof+]

@Djtux correct, bug fixed.

[FrankTheTank]

@Christof+   Can you add a column in the backtest screener that shows RVrel so we can see which straddles may be cheap or expensive?   That would be super helpful.

 

 

[poseidolginko]

This is great, thanks @Christof+.  Would you be able to include long puts as part of your backtest as well?  Really liking the site!

[Christof+]

@FrankTheTank I have added RVrel, and with it also the next earnings announcement date.

[Christof+]

Thank you @poseidolginko. Yes, should be doable (am travelling right now, will need a little though)

 

[FrankTheTank]

Great work.   

Can you add a feature to toggle on/off the T-0 through T-2?     I would like to focus on just pre-earnings trades but the results for after earnings are so large they skew the heat map colors

 

[Francois]

@frank the tank What does that mean exactly < they skew> ?  In your last comment.

Since we close are trades before earnings I simply did not pay to much attention to those numbers. 

But

I notice some nice numbers at T-0 to T-2 on certain stock’s. And I was wondering why?

tank’s

[FrankTheTank]

What I meant was they impact the intensity of the colors.   For example, if you were only interested in pre-earnings, in the chart I posted the T-3 to T-2 should have a higher intesity of green because those had the highest returns pre-earnings but in my image they only show up as light green because the T-2 at 298 (which is likely a mistake) is so large that it messes with the intensity scale.

 

Its a minor feature request and I am sure Christof has more urgent things to work on

 

 

[Francois]

@frank the tank A1 , Tank’s

[Christof+]

11 hours ago, FrankTheTank said:

Great work.   

Can you add a feature to toggle on/off the T-0 through T-2?     I would like to focus on just pre-earnings trades but the results for after earnings are so large they skew the heat map colors

@FrankTheTank Put it on the list. I will come up with something.

[FrankTheTank]

5 hours ago, Christof+ said:

@FrankTheTank Put it on the list. I will come up with something.

Thanks.   While you are at it.... 

The backtest screener is a great addition but I find it hard to use practically.    One idea may be to have a custom screen called "Today's Opportunities" or  "This Week's Opportunities" which would be a pre-built custom screen showing all potential trades with:

-min. weekly volume of 500 contracts

-avg. return greater than 5%

-median return greater than 5%

-RVrel is less than +5%

-opening date (T-X) is Today or This week dedpending on the screen and regardless of exit date

 

This would show you quickly if there are any potential trades to be opened today or this week 

Thanks again.  

 

 

  

[Christof+]

 

I just added a new menu item 'Email Notification'.

 

You are invited to try it out and give feedback.

I need to add though that this is quite an early beta and bit of an adventure testing the waters, as I have no clue if providers will actually relay these automated mails.

Please also double check all information received

 

Edited August 26, 2019 by Christof+

[rasar]

14 minutes ago, Christof+ said:

I just added a new menu item 'Email Notification'.

Thanks. I signed up for the emails, received the confirmation email, and verified it on a different PC. However the subsequent confirmation response then invited me to set up a pool of symbols, but since I wasn't logged on that machine, it lost that placeholder while making me log in. How can I set it up after the fact ?

 

Edit: Never mind. I found it on the same "Email Notifications page.

Edited August 26, 2019 by rasar
Answered my own question

[Christof+]

Please note: Today and tomorrow are the last days when it will be possible to register as beta tester.

[JeffCarterLogistics]

I have a question I hope someone can help me with.  I just joined Chartaffair and love the data you get from it.  Really helps with the SO trades.  Here's my question.  The graphs are great for day to day views, but is there anyway to see the "highs & lows" of a calendar or straddle by each day?  I've seen some post charts like this on the SO blogs, but not sure if Chartaffairs has that ability.  I'd love to be able to see the highs & lows of a calendar over the past 20, 30 days or whatever.  I think this would be helpful for doing multiple iterations of a calendar trade.  I hope Chartaffairs has this but maybe I'm just not seeing it?  Thanks in advance for responses

[Christof+]

Hi @J Carter thank you for your kind words and welcome! Glad you find it useful!

 

You are correct that RV charts show 'only' day end data (more exact mid of latest bid and ask). The problem around highs and lows in options prices is that there are mostly too little actual trades happening in one specific option to draw a meaningful chart from. Bid and ask spreads on the other hand fluctuate widely especially during the opening, which makes it a hard endeavor to derive useful intraday highs and lows.

 

What will be useful is to actually draw intraday prices over the course of the day. And it is really remarkable that you post that just now as I am just finishing and preparing to release a tool free for anyone to draw them either today or tomorrow! (it will use chartaffair API to fetch data but it will basically work even without a valid chartaffair subscription. It will be free for the community. You will need however API access to interactive brokers to make it work).

 

 

[JeffCarterLogistics]

thanks for the quick response @Christof+.  Unfortunately, I am using Tradier and not IB.  But I will try to document manually over a few day.  Just a little more time consuming.

[Christof+]

Instead of documenting manually, you should at least be able to draw intraday prices of option combos a few days back (I only know IB)?
I know Tradier has a quite good REST API, it should not be hard to extend my work for that API.