26 Jul 2016
We put together the quick table below to help you navigate this week’s major earnings releases.
We show the post-earnings stock price moves that are implied by options on each company and
also highlight how often options markets were wrong in the past, where stock prices
immediately moved more than was implied after earnings.
Click the expected moves below to view the full analysis for each company.
||Last 6m Chg
18 Jul 2016
We’re announcing today the addition of equity curves and histograms to our options backtesting results to help you
better evaluate and uncover attractive trading strategies.
Our equity curves show cumulative profit/loss for your options backtest and make it even easier to understand your
strategy’s historical returns and drawdowns through time. In seconds, you can understand the net trend of your
options strategy and whether it would have been profitable historically.
Backtest histograms show the frequency distribution of outcomes to help you quickly discern the historical
probabilities of specific profit/loss events. This helps you easily visualize tail events and understand whether
your strategy’s historical returns are clustered around certain levels.
Together, these two new backtesting features will help you swiftly optimize and discover options strategies on Volatility.
14 Jun 2016
We’ve added the ability to backtest systematic strategies by option moneyness (strike price
relative to underlying price). This is particularly useful for evaluating options strategies
you trade at precise price levels, such as consistently
selling 5% out of the money strangles
Choose between option delta or moneyness in Calculation Type settings within Advanced
Parameters in the backtester.
This update gives you even greater flexibility over your options backtests.
14 Jun 2016
As the Fed meeting kicks off and we lead up to the Brexit vote, put protection
is trading at the most expensive levels relative to upside calls over the past
seven years (chart below). But with put option transaction volumes healthily
below their median levels, the upcoming news events haven’t led to a notable surge
in investors looking to hedge equities. With many staying on the sidelines,
today’s options pricing presents opportunities with attractive backtesting results
depending on your directional view:
Longs: Consumer Discretionary (XLY) Risk Reversals
Put writers: Biotech (XBI), Nike (NKE)
Covered call writers: Twitter (TWTR), Viacom (VIAB)
Hedgers: S&P 500 Put Spreads
08 Jun 2016
Options backtesting with targets and stop losses
Targets and stop losses have been your most requested features over the last couple months, and we’re very
excited to finally bring them to you. You can now set targets and stops for every backtest you run on Volatility,
even systematic strategies and earnings trades. You can also choose to include or exclude estimated liquidation
costs for stop losses.
Try it now and send us your feedback!
Backtest your custom prices
Another important backtesting update we’re releasing today is the ability to enter custom prices for options in
your backtests. This allows you to easily backtest and evaluate live prices you see in the market intraday.
A couple other benefits include helping you find the best levels to place your limit orders or helping you
better understand the impact of bid/ask spreads on your strategy’s performance.
Public beta and thank you
We are also announcing a shift from private to public beta today. Your friends and colleagues can now
more easily try Volatility, and we’re looking forward to hearing their feedback.
Finally, we want to sincerely thank you for being a part of our private beta and for helping us make Volatility
into an essential tool for options traders. Looking forward, we will be launching Volatility out of beta soon.
To show our appreciation for all your feedback and help, we’re offering you discounts
on plans for a limited time. Learn more here.