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Christof+ - 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.



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

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@Tniko, did you make sure having downloaded the right IB API version? Also is it the right RV Tool version for your OS? What has helped in the case of one member was to install IB API in the root directory of your computer. PM me if you have further troubles.

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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. 



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


      Short video on major features:
      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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