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Christof+

Chartaffair.com - RV Charts & Backtesting for Steady Options

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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)

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

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Edited by Christof+

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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:

 

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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):

 

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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)

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Edited by Christof+

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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).

 

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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.

 

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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 by Christof+

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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)

 

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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.

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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)

image.png

 

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

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

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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...

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@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?

 

 

 

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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)

image.png

 

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.

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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)

image.png

 

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'?

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