Chartaffair.com - RV Charts & Backtesting for Steady Options

[Christof+]

@kvn86 CRWD and ZM are fixed, please let me know in case you come aross other missing data.

[kvn86]

22 hours ago, Christof+ said:

@kvn86 Thanks for the headsup!

I am currently traveling with limited internet. I will have a look tonight as soon as I get a change.

CRWD and ZM look like they've been fixed...thank you @Christof+

[Christof+]

On 8/3/2021 at 9:15 AM, kvn86 said:

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?

I nned to confirm that with looking at the actual calculation. But as a quick shot, I think the difference in the percentage value is because I used continuously compounded returns for the decay (because losing 3.06% each day anew would result in higher losses than implied by the pure arithmetic mean. This is because you calculate each day from a smaller base.) 

[kvn86]

Hi @Christof+

 

I am trying to look for ABNB but it says the following:

 

 

Could you help look into this please?

 

Thanks

[Christof+]

@kvn86 ABNB is active now. Some stats data will fill automatically.

[mimi]

@Christof+

While trying to set up the realtime RV tool I recieve:

in

Private Sub m_Tws_tickOptionComputation

after opening the xlsm.  Anything wrong on my side?

[Christof+]

@mimi It is hard to do a analysis from far. Have you followed the instructions on the download page? I heard that was an issue for some members, though I have not encountered that error myself.

[GID1]

16 hours ago, Christof+ said:

@mimi It is hard to do a analysis from far. Have you followed the instructions on the download page? I heard that was an issue for some members, though I have not encountered that error myself.

Thank you for the program Christof.  

Unfortunately I still receive the same compiling error like mimi.

I am using Win10 and Excel 2010. Is my Excel version maybe too old?    

Furthermore I would like to ask you for a demo access for your service chartaffair if it is possible.

THX

[mimi]

47 minutes ago, GID1 said:

Unfortunately I still receive the same compiling error like mimi.

I am using Win10 and Excel 2010. Is my Excel version maybe too old?    

I am using Excel 2019.

[Christof+]

@mimi, @GID1, I do not think that the excel version is too outdated. I am honestly a bit flabbergasted reading the message, because the main methods the tool calls in the IB API have not changed in practically decades. The calls supply the correct parameters. I have not seen it on my machine yet. Do you use the correct 64/32 bit version?

 

@GID1 I just wrote you a PM with an access code.

[Ringandpinion]

@Christof+ I don't know if it pertains since your tool uses the standalone API if I remember correctly but I had to change IB TWS to the Beta version for some reason recently, about 2 months later  the gf58ometer quit working.  I ultimately figured out that if I switched back to the Stable version all was well.  So between Beta and Stable, there is some difference in the IB TWS API, possible whatever change was made there was made to the standalone API as well.  IB support was not helpful, they blamed on something else that didn't even sound plausible, figuring it out was just plain luck.

[OptionsIndeed]

Hi @Christof+ I hope you're doing well this week.  I was hoping to try out your Chartaffair service, is it possible for me to get temporary access to the service? 

[Christof+]

@OptionsIndeed, I just dropped you a PM with a code.

[mimi]

@Christof+ WORK and KODK show "symbol not active"

This happens now and then for those few symbols I look at (only the SO stuff). Is this something you could prevent somehow? I really appreciate how fast you react and that I can contact you personally, but workflow-wise its not so great ...

[Christof+]

@mimi currently symbols are added half automatic half manual. While  I cannot guarantee you will always find all symbols I do try my best.
I am conscious that this may not be satisfying, adding a symbol is normally a quick small job after a heads-up via PM or email.
WORK and KODK are live (WORK needs one more update run for the current cycle)

 

[mimi]

@Christof+ thanks for explaining the process and the quick update 🙂

[kv1214]

Hi @Christof+

I noticed the RV charts do not have any updated data after 8/27.

This seems to be the case for any symbol I pull up. Screenshot attached.

Thank you

[rasar]

5 minutes ago, kv1214 said:

Hi @Christof+

I noticed the RV charts do not have any updated data after 8/27.

This seems to be the case for any symbol I pull up. Screenshot attached.

Thank you...

Looks OK on my system. Check the "Start Date" to see if you've inadvertently limited it....

[Christof+]

Thanks for the heads-up guys! Indeed, looks like there was a problem with the data upload today. Will fix it still today. Sorry about that!

[kv1214]

It's just the last few days that appear to be missing. Do you have data for the highlighted green days?

[rasar]

1 minute ago, kv1214 said:

It's just the last few days that appear to be missing. Do you have data for the highlighted green days?...

Aah. Sorry - I misunderstood your question. Yes, you're right. The last couple of days are, indeed missing across the board.

[Christof+]

All should be back to normal in about 1h. Sorry once again.

[Christof+]

We are back, all data is up-to-date.

[samico]

@Christof+ can you give me a short trial for the website please? Thanks Samico.

[ilhomsher]

Hi Christof,

Can you please tell if long leg expiration is always after the short leg expiry in this screener? https://www.chartaffair.com/backtest-screener/  

Thank you.

[Christof+]

Hi @ilhomsher,

Yes, long leg expires always after the short leg.

[Alex_lon]

Does anyone know if this service is still running? I sent a message through their contact page last week but I haven't received any response

[Christof+]

@Alex_london of course this service is still running. When have you send the message last week?

[rasar]

2 minutes ago, Alex_london said:

Does anyone know if this service is still running? I sent a message through their contact page last week but I haven't received any response

It's working fine for me. Christof may have missed your message while traveling.

[ilhomsher]

HI Christof,

earnings charts seems to be off. I tried AMZN TSLA and it seems credit required for these stocks are only around $1 a week, which is off a lot.

Edited November 30, 2021 by ilhomsher

[ilhomsher]

On 11/3/2021 at 3:33 PM, Christof+ said:

@Alex_london of course this service is still running. When have you send the message last week?

 

HI Christof,

earnings charts seems to be off. I tried AMZN TSLA and it seems credit required for these stocks are only around $1 a week, which is off a lot.

 

[Christof+]

@ilhomsher Thanks for the headsup. Can you give a little more info about the exact issue? You can also PM me.

[ilhomsher]

On 11/30/2021 at 4:23 PM, Christof+ said:

@ilhomsher Thanks for the headsup. Can you give a little more info about the exact issue? You can also PM me.

Hi Christof,

below is short strangle overlay for AMZN. Credit required today to exactly cover average historical straddle decay  seems to low for high price stocks. Thank you

 

Short Strangle Overlay

Hedging straddle decay by selling weekly strangles

Next maturity (with min. 3 days left): 2021-12-10

Strangle iterations left: 8. Assuming to buy back at: 0.04

Lookback Period	1 year (4 cycles)	2 years (8 cycles)
Ratio strangle : straddle	1:4 1:3 2:5 1:2 (25%) (33%) (40%) (50%)	1:4 1:3 2:5 1:2 (25%) (33%) (40%) (50%)
Credit required today to exactly cover average historical straddle decay	4.02 3.02 2.53 2.03	4.48 3.38 2.82 2.27
Credit required today to lower RV to historical average at earnings date	179.74 134.82 112.36 89.90	169.51 127.15 105.96 84.78
Credit required today to lower RV to historical minimum at earnings date	202.78 152.10 126.76 101.42	202.78 152.10 126.76 101.42

 

[poseidolginko]

Hi @Christof+, could you look into the RV graphs for both the straddle and calendars for TCOM? It looks like 8 cycles are missing from the RV graphs, even though the matrix results for the last 8 cycles show data.  The last date shown for the RV graphs is Sep09/2019.  Thanks.

 

 

[Christof+]

@ilhomsher, @poseidolginko  thanks guys, will look into this still today when I get to my computer.

[Christof+]

@poseidolginko TCOM is fixed. Thanks for the hint.

I still need to do further investigations, however, to understand why those cycles went missing.
Concerning calendar graphs, please be aware that you will see all the cycles only when choosing 'monthly' for legs apart. This is because not all weekly options have been available in all cycles.

@ilhomsher I agree these prices are too low. For now I am not able to deploy a quick fix. I need to dig a little deeper into the calculation.

 

[ilhomsher]

On 12/3/2021 at 3:37 AM, Christof+ said:

@poseidolginko TCOM is fixed. Thanks for the hint.

I still need to do further investigations, however, to understand why those cycles went missing.
Concerning calendar graphs, please be aware that you will see all the cycles only when choosing 'monthly' for legs apart. This is because not all weekly options have been available in all cycles.

@ilhomsher I agree these prices are too low. For now I am not able to deploy a quick fix. I need to dig a little deeper into the calculation.

 

Hi Christof. It seems that earnings short strangle data is still corrupt. Can you please check the methodology for large cap and price tsla, amzn etc. Thank you.

[Christof+]

@ilhomsher Thanks for the headsup. I immediately followed up the matter with a few symbols and calculation was correct. I have to admit it slipped through my fingers after that due to workload. I will tackle that and come back to you. I just ask you to give me some more time as Christmas is here in a few days. Thanks 

[Suresh D Gehi]

I just signed up for Chartaffair and am having a difficult time downloading the Excel file. It is rejecting the Chartaffair key and the error message is "cannot paste to a merged cell."

How can I solve this issue?

Thank you.

 

[cimat]

Here is a newbie question:

What is the "T-0" day exactly?

Are there any differences between EA BO and EA AC?

Thanks in advance.

[Christof+]

@cimat T-0 is the last trading day before the earnings announcement. "EA BO" means the earnings announcement is before the opening on that day, hence last trading day pre-earnings was the trading day before. "EA AC" means earnings are announced that day after the close.

[Yowster]

 

5 minutes ago, cimat said:

Here is a newbie question:

What is the "T-0" day exactly?

Are there any differences between EA BO and EA AC?

Thanks in advance.

T-0 is the last day before earnings, the day at which you have to close positions by the end of the day to avoid holding through earnings.   For earnings reports after market close, T-0 is the same day.   For earnings reports before the market opens, T-0 is the day before.

[Christof+]

@Suresh D Gehi can you send me more details about the issue via private message? For which cells the error is thrown?

[cimat]

14 minutes ago, Yowster said:

For earnings reports after market close, T-0 is the same day.   For earnings reports before the market opens, T-0 is the day before.

@Christof+ @Yowster Thanks for your very helpful info.

I had been confused with that difference.

[B15K3]

@Christof+ I tried the Realtime RV-Tool, but everytime I try to run it a error message pops up (See attachment) and it marks this line:

Private Sub m_Tws_tickOptionComputation(ByVal id As Long, ByVal tickType As Long, ByVal impliedVol As Double, ByVal delta As Double, ByVal optPrice As Double, ByVal pvDividend As Double, ByVal gamma As Double, ByVal vega As Double, ByVal theta As Double, ByVal undPrice As Double)

Any idea how to fix that?

Thanks a lot!

[Christof+]

@B15K3,This error came in a couple of cases over time. It sounds as if the the VBA code calls a method of the API with parameters with a wrong set pf parameters. This is funny as IB has not changed the method calls for literally decades. And they will not because it would break all software connected to it.
I have honestly no clue what causes it and what is going on, I cannot reproduce it. Some users have success with reinstalling the API in C:\, some with switching to/from 64bit version. One with upgrading to Office365. Sorry I cannot be of more help.

[B15K3]

Ok thanks, I tried reinstalling Office and the API, but that didn't help.

Then I tried the stable version of the API and not the newest release and now it works

[poseidolginko]

Hi @Christof+, can you take a look at UBER and LYFT?  Both symbols are missing all of 2021's data from the RV graphs (both straddle and calendar).  Please let me know.  Thanks.

[Christof+]

@poseidolginko Thanks for the headsup, will take a look right now

[Christof+]

@poseidolginko Should be fixed now