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Christof+

Chartaffair.com - RV Charts & Backtesting for Steady Options

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3 minutes ago, RogerMiller said:

Ah, OK, 45 is the number of weeks, thank you.

I‘m sorry, but I have not understood your explanation about pw. Could you please expand that a little, what it means, that it refers to the number of weeks in the calculation of RV45p?

I'm not Christof, but maybe I can bhelp.

The "p", of course, stands for Puts, and the "w" denotes the number of weeks.

That is, the column specifies whether the calculation in the RV45p column used 4 weeks or 5 weeks. (similarly for RV45c and RV45cw)

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On 9/14/2020 at 8:20 PM, bandito said:

@Christof+ Hi, I subscribed your service and I'd like to try excel RT-EV Tool, but I get error always.

Screenshot enclosed.

Thx.

Chartaffair.png

Hi, same problem here. I already uninstalled and re-installed TWS API with no success...

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8 minutes ago, rkacha said:

@Christof+ Is it possible to view RV chart for old trades?

 

I tried to set the startdate few months back but i can only see the mean line. 

 

-R

The RV charts do, in fact, only show historical data. If you're seeing a "Mean" line, it means there's already a range f data it's working with. Make sure the start date is a couple of years in the past. Post a picture in case this doesn't help.

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I think I understand what you're looking for. If you clear out the start date, and set it to, sa, 2017-01-01, you'll see a chart with all the RV lines for each earnings date since then.

RV being defined as price of the ATM straddle divided by the ATM strike, the RV chart simply plots the RV at the end of each day. The T-n values n the X-axis show you how many days prior to the earnings release each particular day was.

Double-clicking a particular line removes all other lines, allowing you to focus on that particular earnings cycle. Double-click again, and the chart is restored.

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Hi, just signed up to use the service.  Was trying to find data for the recent PINS calendar trade.  I wasn't able to load under the symbol.  Probably doing something wrong but not sure what?

image.png

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Hi Christof:

still trying to learn how to use the site in tandem with learning the trades in SO.  Currently just focused on learning how to to implement pre-earnings calendars. Would you be kind enough to explain what the negative numbers in the RV1P column mean? In an earlier post you indicated that the column was showing the current RV relative to past cycles (maybe the past 8).  So i assumed the lower the number, the more favorable the current RV relative to history.  Sort off like a % premium you have to pay relative to past cycles? Hopefully my interpretation is accurate. So is the negative value saying its  currently cheaper relative to the past cycles?

Also say someone is looking to use this screener to scalp calendars.  Conceptually they would want (1) low RV1 or RV45;  (2) high cal rise, (3) high cal vol and  (4) high spreads? Is that conceptually accurate? The cal vol is throwing me off, but the way the description is written it implies that the black median line shown in the graphs we use in SO would be choppy essentially making this a good candidate to scalp? 

Lastly, is there video demo or FAQ i missed or can read? I ask because honestly I felt silly asking these questions given how simple they must seem to folks using the site.  

Thanks in advance for any help.

 

image.png

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@mbee213 Glad to be part of your journey :)

 

On 1/30/2021 at 7:43 PM, mbee213 said:

In an earlier post you indicated that the column was showing the current RV relative to past cycles (maybe the past 8).

RV1p is the RV as of yesterdays close for a put calendar, it does not contain any historical numbers, it is solely calender price divided by underlying.

There is a tooltip which gets displayed when you hover over the column title

image.png

 

That sometimes you can read negative numbers is kind of an artefact from the bid ask spread.
Just for the example's sake, let's take GSK's put calendar rv as it is reported today (this is just an ADR on Glaxo and quite thinly traded, so a good example for the negative RV):

image.png

 

RV is the mid of the long leg minus mid of the short leg divided by the underlying price. We have

image.png

and

image.png

Because of the huge spread of the long leg, we get a negative price for the calendar of (0.375 - 0.4) = -0.025.
Divided by yesterday's closing price of the ADR of 37.34 the RV is -0.0669% which is what is displayed.

 

On 1/30/2021 at 7:43 PM, mbee213 said:

Also say someone is looking to use this screener to scalp calendars.  Conceptually they would want (1) low RV1 or RV45;  (2) high cal rise, (3) high cal vol and  (4) high spreads? Is that conceptually accurate?

If you refer to scalping as quickly enter and exit the calendar several times in one cycle you would want the RV to bounce around as much as possible visually (better the individual RV lines than the black average line since the average is always somewhat smoothed) and you would definately want low spread values as they refer to the average bid ask spread of ATM options over if I remember correctly now the last 30 days. Keep in mind that the 'bounciness' of the RV is also highly influences by the size of bid ask spread, as they prices are merely a snapshot at the end of the day.

 

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On 11/26/2019 at 2:45 PM, Christof+ said:

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).

@Christof Is this tool available either on your website or somewhere on the forum here? Thanks

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@Christof+  The software looks very impressive, especially for a beta. You're right, Excel is such a fantastic tool. The video seemed to have a lookback setting of 2 days. Is it possible to look back further than this, for example to the very start of the data series for straddle or calendar?

(I looked into the TWS API and if memory serves I believe their historical options data only applies to currently live strikes that haven't yet expired - the moment the expiration is reached, the historical data for that expiration is no longer accessible via the API. But while the chain is still live, one can access historical options prices right back to the day of inception - typically 6 weeks or so.)

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1 minute ago, poseidolginko said:

Thanks @rasar.  What browser are you using?  Am wondering if it's specific to Firefox (ver. 89.0.2 64-bit).  Cleared the local cache, but still no go.

Previous version (88.0.1 x64). I've deliberately chosen not to upgrade to the new version.

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Thank you @poseidolginko and @rasar!
I just tried with Firefox 89.0.1 64-bit and I can access it
with no problem, no change. But decided to wait a little with updating to x.0.2 then :)

Also, I changed something in security policies yesterday on the page. Should not interfere with your access but let me know in case you observe anything weird.

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Hi @Christof+

 

I've just signed up to your tool and it's great so far. Looking at the column "RVrel", are you considering adding a version in for calendars? I guess it would be nice to be able to compare current cal RV to average RV, just ;like the RVrel field for straddles. Apologies if it doesn't make sense to do this!

 

Thanks

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Hi @kvn86 great to have you!

I agree that would potentially make sense. One thing however is that calendar RVs in general are much smaller than straddle RVs, which lends to the problem that - depending on the value of the base average - the percentage value can get quite inflated and be misleading when compared to other calendars with a higher average RV. That is basically the reason why I haven't included it so far.

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10 hours ago, Christof+ said:

Hi @kvn86 great to have you!

I agree that would potentially make sense. One thing however is that calendar RVs in general are much smaller than straddle RVs, which lends to the problem that - depending on the value of the base average - the percentage value can get quite inflated and be misleading when compared to other calendars with a higher average RV. That is basically the reason why I haven't included it so far.

Thanks @Christof+ Based on the current fields, what would then be the best way of understanding which stocks are potential candidates for calendars in terms of value (in your opinion)? The only field I am using is the "Cal Rise" field, but my understanding is that it still doesn't say whether current RV is a cheap or not. 

 

Can I also ask you another basic question around the following stat found on the earnings chart page: what is the difference in the two sets of numbers eg -0.2308 and -2.83%? This is for INTU, with average RV at T-15 = 7.5% and T-0 = 4.05%

I can see -0.2308 = (4.05- 7.5) / 15

But if I do (4.05/7.5 -1) / 15 = - 3.06%   ..........which doesn't tie up with -2.83%. Is my interpretation of the calculation completely incorrect?

 

image.png

 

Thanks

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Hi @Christof+ 

 

I am trying to look at CRWD and it looks like some of the recent cycles are missing from the calendars chart - could you help please?

 

image.png

 

I am also seeing the same thing for ZM

 

Edited by kvn86

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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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