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Christof+

Chartaffair.com - RV Charts & Backtesting for Steady Options

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Hi,

Is it possible to have the graphs smart phone friendly? When accessing the website on my phone and the graphs are smooshed and couldn’t really get to the graphs correctly displayed. Maybe I’m not getting the settings correctly? Thanks!

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Hi @Gen88 Thanks for your message and welcome!

Yes, I can look further into this. What phone are you using? When trying now with my Android device I can access the graphs without problems (though zooming within the graphs and hiding individual cycles is admittedly a bit tedious).

Interactive graphs are generally difficult on mobiles. Apart from that the website should be very mobile friendly on any OS.

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Thanks for the quick response. I use iPhone. Usually when I open up a ticker and go down the page the graphs is not showing but is all aligned to the left. I try to orient the phone couple times to show the graph but a bit sticky on the graph changes.

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@Christof+ Can you check your software earnings dates sources?  NFLX 2019 Q4 earning date was confirmed Dec 13 AM (I received an email from their investor relations) but your sources still list unconfirmed.  Hence, your software is providing the incorrect RV graphs.

Thanks

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There are several updates during the day (in this case however I had stopped automatic updates for the part doing the website, to do some work, and did not switch it back on).

 

Emails run independently. Currently they are sent before each trading session at one of the points when all data has been picked up and processed from vendors. For now they are generally only sent on days which have a trading session to prevent spamming.

 

I am always thankful if you let me know (also by PM, mail or feedback button) when you detect obvious problems or a missed update.

Edited by Christof+

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I was just made aware this morning that the database connection on the webserver is down and currently data on the site is not accessible. 

The server is run by my webhosting company, so unfortunately nothing I can solve directly by myself. But I am in contact with their support and hope to resolve the issue before the start of today's trading session. Sorry for that!

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Is there any tool where can I see a option price chart in real time?

For example, if I select AAPL March 27 $230 Call

It shows a chart where I can see how changes the price of that option.

 

image.png

 

Thanks in advance!

 

 

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@dorgis87   What broker do you use?   Most trading platforms such as TOS let you graph out option prices over time.   If you are in the option chain in TOS you can right click on the bid or ask price and choose "send to red" and then if your chart is linked to red color it will graph that option's price over time.    There are a few other ways to do it but I find that easiest.  

 

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On 3/22/2020 at 10:05 PM, FrankTheTank said:

@dorgis87   What broker do you use?   Most trading platforms such as TOS let you graph out option prices over time.   If you are in the option chain in TOS you can right click on the bid or ask price and choose "send to red" and then if your chart is linked to red color it will graph that option's price over time.    There are a few other ways to do it but I find that easiest.  

 

Hi Frank

your send to red works like charm.

Do you know how to chart calendars / straddles on tradestation or tradehawk, too?

thank you for your help.

Dirk

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Hello, I just subscribe the service of Chartaffair.com, but sorry that I cannot understand of RV straddle chart though I tried to read the forum of <RV Charts : Volatilityhq.com Official Thread> and <Tools To Analyze The Earnings Trades>  which I hope I could get some hints:

              Basically the RV (relative value) chart displays the RV of a straddle or a calendar, and helps determine how cheap/expensive a strategy is compared to previous cycles.

              RV straddle = straddle price / stock price

              RV calendar = calendar price / stock price

colour tap (the 1st picture)

Regarding the colour tap, I would like to take 1st & 2nd lines shown the screencapture as an example:

      - 20.47% 154.32 (VIX 37.7%) : 2020-4-29 W

      - 17.14% 3.65 (VIX 23.5%) : 2010-8-4 W

How do I interpret those data mentioned above?

- I guess 20.47% & 17.14% = straddle price / stock price, but what is the meaning of the figure  "154.32 & 3.65"?

the data in gray colour shown right column (pic 2)

Regarding the data in y axis right column, I would like to take the 1st, 2nd and 3rd  lines shown the screencapture as an example:

       - Mean : 19, 14.93% <--- What do it mean?

       - 2020-07-21 Tue (exp: 20-08-21, 23 d) <--- It believe 2020-07-20 is the day before next earning, but why it show 23 days while other lines showing 7 days (which I choose 7 expiry after earnings)?

       - why each line (green, red, pink, and purple) start from different points?

What meaning should I get from the graph?

SORRY that I might ask a questions too basic to answer, but I did try to read different posts and hope I can understand the conversation. Unfortunately, I cannot grasp the idea...

Thank you for your help in advance.

 

 

Screenshot 2020-06-07 at 8.19.08 PM.png

Screenshot 2020-06-07 at 9.22.59 PM.png

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Hi @salliah,

Thanks for joining :)

And I am happy to answer your question. I agree that all that information can be a little overwhelming in the beginning.

On 6/7/2020 at 3:39 PM, salliah said:

Basically the RV (relative value) chart displays the RV of a straddle or a calendar, and helps determine how cheap/expensive a strategy is compared to previous cycles.

              RV straddle = straddle price / stock price

              RV calendar = calendar price / stock price

Correct, and that independent of the actual stock price level.

 

 

 

On 6/7/2020 at 3:39 PM, salliah said:

      - 20.47% 154.32 (VIX 37.7%) : 2020-4-29 W

      - 17.14% 3.65 (VIX 23.5%) : 2010-8-4 W

How do I interpret those data mentioned above?

Let's take the first line: RV of that straddle has been 20.47%, while the stock price was 154.32 USD. The level of the volatility index VIX on that day has been 37.7). The RV has been calculated using options expiring on May 8th, 2020, i.e., the first maturity coming after the 7th day after the earnings announcement (as chosen by you with dropdown 'Expiry after earnings').. And that all was on the 8th trading day before the earnings announcement on or the day after April 29th, 2020.

Edited by Christof+

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On 6/7/2020 at 3:39 PM, salliah said:

     - Mean : 19, 14.93% <--- What do it mean?

This is the simple arithemtic average of all the lines you are seeing at point x = 19 trading days before the earnings announcement

 

On 6/7/2020 at 3:39 PM, salliah said:

2020-07-21 Tue (exp: 20-08-21, 23 d) <--- It believe 2020-07-20 is the day before next earning, but why it show 23 days while other lines showing 7 days (which I choose 7 expiry after earnings)?

That means that the last trading day before the earnings was July 21st, 2020 (so earnings were that day in the evening of the next day in the morning before the open). The expiration date of the options used to calculate RV was August 21st, 2020, which is exactly 23 trading days after the last trading date (2020-07-21)

 

On 6/7/2020 at 3:39 PM, salliah said:

- why each line (green, red, pink, and purple) start from different points?

Often the expiries used to calculate RV value only come into existence a few weeks before they expire. That is particularly an issue with weekly options. Then the lines start where they started trading and hence data is present.

 

On 6/7/2020 at 3:39 PM, salliah said:

SORRY that I might ask a questions too basic to answer

Your questions are perfectly valid, it is not stated explicitely what is what. Let me know if you have more questions.... and take your time, when I started here I also had to get used to a lot of new stuff.

 

Edited by Christof+

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Thank you guys for you messages. I can confirm that there is indeed an update issue on chartaffair right now. I am working on it and hope to have resolved it until next trading session. Have a good weekend!

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@Christof+,

I have difficulties on understanding and using the screener. I do not get any indication what the columns mean, when hovering above it, for:P Mean, M median, DD avg, DD avg. s, etc.

image.png

When looking at the corresponding heat maps, for a certain stock and for a certain strategy, I can identify P mean, P Media, P Min and P max. However, I am not able to crosscheck with P Std dev, DD avg, DD max, DDavg s and DD max s in the heat maps.

For example, check with LOW the calendar closest vs. next monthly with puts for the last 3 years (11 cycles). I can match some of the numbers, but not all of them.

image.png

image.png

Is there any issue or am I looking at it all wrong?

 

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Hi @dsigma,

 

37 minutes ago, dsigma said:

have difficulties on understanding and using the screener. I do not get any indication what the columns mean, when hovering above it, for:P Mean, M median, DD avg, DD avg. s, etc.

P refers to performance (Probably and R for return would do a better job), so mean and median are the arithmetic average and the median of all cycles returns. P Stddev is the sample standard deviation (i.e. variabiliy) of returns. You can use that to see how consistent returns have been.
DD refers to drawdown, so DD avg is the average drawdown over all cycles you would have had to endure if you were invested in all cycles. DD max is the single one most adverse drawdown to the investor. the 's' refers to short, so 'DD avg s' is the average drawdown for an investor being short the strategy.

 

37 minutes ago, dsigma said:

However, I am not able to crosscheck with P Std dev, DD avg, DD max, DDavg s and DD max s in the heat maps.

For example, check with LOW the calendar closest vs. next monthly with puts for the last 3 years (11 cycles). I can match some of the numbers, but not all of them.

The numbers should match since they are from the same data set. But I will still recheck LOW.  To match the DD numbers, you need to look into the Drawdown heatmap. To see it you need to check the box 'Show Std Dev of Returns' and 'Show Drawdown' on the top right. Also, not 100% sure now but I think the DD numbers are calculated from mean returns (since they are what an investor would see in reality).

Edited by Christof+

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Hello,

I'm new to this forum and new to the Chartaffair platform and therefore I have a few newbie questions about the platform (so far only about the Straddles, as I haven't taken a closer look at the Calendar features yet), where it would be great, if I could get an understanding of it. Thank you in advance for any help. So after figuring out as much as possible, my remaining questions are:

1. E-Mail notifications: What exactly can I be notified about and will I get these notifications only for the symbols I have entered into the corresponding textbox?

2. Upcoming Earnings filter RVrel.: How exactly is that field defined? What is "this cycle's RV" (today's actual?) and what is exactly is "the mean RV of the last 2 years" (if today is x days before earnings, for each t-x for the last 2 years)?

3. Earningscharts Historical Straddle Performance: What's the difference between this table and the corresponding Backtest Heatmap, as I've compared the tables with the averages for the last 4 cycles and they show completely different results (see screenshots attached)?

4. Backtest Screener Day Out: As I can enter negative numbers, am I correct, that entering -2 for example gives the results 2 days after earnings?

5. Backtest Screener Result List: It looks like I can order the fields only one way (ascending), but not the other way around (descending) and have to scroll to the end of the list instead, is this correct?

6. Backtest Heatmaps Max. Drawdown instead of Simple: Regarding to the headline of the heatmap, it gives the "Average of max. Drawdown" and I don't understand, what that means, as can currently only think of the average drawdown or the maximum drawdown, but don't quite understand what the average of the maximum is in this case?

 

Thanks for any clarification on these details, so I can better understand, what the platform is doing.

 

Bildschirmfoto 2020-10-19 um 15.15.05.png

Bildschirmfoto 2020-10-19 um 15.15.28.png

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Hi @RogerMiller, welcome and thanks for signing up!

I try to answer all of your questions:

2 hours ago, RogerMiller said:

1. E-Mail notifications: What exactly can I be notified about and will I get these notifications only for the symbols I have entered into the corresponding textbox?

You can get an automated daily notification about which symbols have a newly confirmed earnings date, as well as for which symbols today is the last trading day before they are going to announce their earnings (which can help you to not leave any trades open through earnings unintentionally). To prevent long chaotic lists with uninteresting symbols you will not automatically receive this notification on all symbols available but just the ones you have entered on the page. Hence, this should be a strategic list put in place for a long time.

2 hours ago, RogerMiller said:

2. Upcoming Earnings filter RVrel.: How exactly is that field defined? What is "this cycle's RV" (today's actual?) and what is exactly is "the mean RV of the last 2 years" (if today is x days before earnings, for each t-x for the last 2 years)?

RVrel is simply the actual RV (or better RV calculated with yesterday's closing prices) divided by the average RV of all cycles within the last 2 years, just for this particular distance to the EA (= the exact number of trading days before the EA). So normally this is the simple average of 8 values (4 per year).

 

2 hours ago, RogerMiller said:

3. Earningscharts Historical Straddle Performance: What's the difference between this table and the corresponding Backtest Heatmap, as I've compared the tables with the averages for the last 4 cycles and they show completely different results (see screenshots attached)?

The table at the end of the Earningschart page was the very first version of the heatmaps. It is a comparably simple heatmap which shows the simple average over the date range selected. On the backtest page default is the median. But you can choose the average as well.

 

2 hours ago, RogerMiller said:

4. Backtest Screener Day Out: As I can enter negative numbers, am I correct, that entering -2 for example gives the results 2 days after earnings?

Correct.

 

2 hours ago, RogerMiller said:

5. Backtest Screener Result List: It looks like I can order the fields only one way (ascending), but not the other way around (descending) and have to scroll to the end of the list instead, is this correct?

The table should toggle the sorting direction and switch from ascending to descending with a click inot the arrow in the headline. However, I just noticed that sorting indeed works only one way, need to look into it. You can, however always export the whole table as either excel or csv and process it further yourself.

 

2 hours ago, RogerMiller said:

6. Backtest Heatmaps Max. Drawdown instead of Simple: Regarding to the headline of the heatmap, it gives the "Average of max. Drawdown" and I don't understand, what that means, as can currently only think of the average drawdown or the maximum drawdown, but don't quite understand what the average of the maximum is in this case?

You have to consider one more dimension:

1) you have the individual trade for each earnings cycle, for which you can note the average or the maximum drawdown over those days in the trade
2) since from that you get one number for each earnings cycle but look at several cycles, you need to further aggregate those numbers.


This aggregation is handled by the checkbox on top (and I agree that the checkbox label might not be clear enough).
Unchecked: you will get the average over all max drawdowns of each individual earnings cycles within the date range (always for the same number of days you are in the trade, i.e. for the 'same row' in the heatmap).
Checked: you will get the maximum of each max drawdowns over all those cycles within the date range.
I had already several messages from users who recalculated the drawdown figures and had a difference to that calculation. Do not forget that drawdown is path dependent, i.e., each new high marks a new reference going forward. Just adding up returns will not give the right figure (how it might be done in other services).
Note that the 'average of the average' does not make much sense and I haven't included it. If you f.e. are in a 15 days trade, you have zero drawdown for the first 14 days and then get a 50% drawdown, the average in this case will be 3,3% which is not a useful figure.


Hope I tackled all points. Please come back or drop me a mail whenever you have more questions!

 

 

Edited by Christof+

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Thank you for the detailed explanations. That explains nearly all my questions.

The only thing, I still don't understand is the difference between the numbers in the table from the Historical Straddle Performance in the Earnings charts section and in the table from the Heatmap in the Backtest section.

When looking at Apple for example for the last 4 cycles and now with the average set to the mean average instead of the median as I did before, I still see completely different results in those 2 views (see screenshots attached). Shouldn't they now be equal?

Could you please explain a little, what the difference here is?

Thank you for your support.

Bildschirmfoto 2020-10-20 um 01.55.02.png

Bildschirmfoto 2020-10-20 um 01.55.58.png

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@RogerMiller, The numbers should actually be matching. I did some testing and what I can see is that they are actually matching.

 

But: there is a bug in the backtesting heatmap in the very first row - the one for entering at T-20. It is inverted, i.e. the first value on the left, 28.9, should be on the right (exit at T-0 is in the place of T-19). But this happens only when 'Hold through earnings' is selected. This means that very likely there is a coding bug. I will go through the code and find out what's happening.

Thanks for putting my nose to it.

Edited by Christof+

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Thanks again for these explanations.

I now took a look at the calender strategy and have one more question about this in Chartaffair as well.

Could you please briefly clarify to me, what the fields R45C/R45CW/R45P/R45PW in the resulting table in the Upcoming Earnings section mean?

Thank you.

 

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@RogerMiller You mean RV45p etc? Agree it might not be quite self-explanatory:

RV1p is the RV of the put calendar with short leg closest after earnings date and 1 week distance between the two legs. Accordingly, RV45p is the calendar with 4, or - if no expiry exists 4 weeks out -, with 5 weeks between the two legs. RV45pw refers to the number of weeks used in the calculation of RV45p. RV45c is the exact same thing, just with calls instead of puts.

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  • Similar Content

    • By Christof+
      For anyone interested here is a lightweight tool for plotting real-time and historical intraday RV values.
       

       
       


       
       
       
       
      Download: bit.ly/rt-rv
      Short video on major features: bit.ly/rt-rv-v
       
       
      This tool is provided for free for your convenience.
      It is excel based and uses Interactive Brokers API for real-time data (follow instructions on download page).
       
      Feel free to download and use it. It works completely independent of any chartaffair subscription.
      However, if you happen to have a valid chartaffair premium subscription it will additionally produce up-to-date earnings data through the chartaffair API. The test key included will work for a few days from now.

      The VBA code inside is 100% open and accessible and anyone wanting to is invited to modify and repost it (f.e. to add more brokers).
       
       
       
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