| StockFetcher Forums · General Discussion · Weekly count of one standard deviation moves | << 1 2 >>Post Follow-up |
| 15minofPham 170 posts msg #160938 - Ignore 15minofPham |
3/17/2024 4:16:13 AM Is there a way to have a count to see what stocks have moved the most times above and below one standard deviation(20) on a weekly basis over the past 52 weeks? |
| SAFeTRADE 646 posts msg #160939 - Ignore SAFeTRADE |
3/17/2024 7:41:53 AM this for 100 days, don't think you can go over 100 |
| xarlor 587 posts msg #160940 - Ignore xarlor |
3/17/2024 1:34:23 PM A 1-week standard deviation may be too tight, but here goes. SAFeTRADE used Bollinger Bands to do the same, though over a 4-week period instead of 1 and looking back 20 weeks instead of a year. |
| 15minofPham 170 posts msg #160950 - Ignore 15minofPham |
3/21/2024 5:59:39 PM Hi SAFeTRADE & Xarlor, Thank you for your help! I sell a lot of weekly Call & Put spreads so I'm trying to figure out how often a stock move one deviation from the previous week over the course of the past year. The fewer times the better! TastyTrade is my brokerage and in each option chain they show you one & two deviations away from the current price, but I haven't been able to have SF calculate something close to theirs. Take AAPL for example. According to them, the Mar 28 exp one SD for Call is 180 and the Put is 162.50. Is there a way to have a column showing what 1 SD & 2 SD is for each direction? I changed Xarlor's to weekly, but the results don't seem correct. I don't think APPL has moved 21X above the 1 SD from their previous week & 16X to the downside over the past year. If this was true, no one would sell spreads. Thanks! |
| xarlor 587 posts msg #160954 - Ignore xarlor |
3/22/2024 11:52:01 AM Thank you for the more detailed request. So a few things here. 1. I misunderstood your ask and thought you wanted a weekly SD. Easy fix, changed the SD calculation to 20 days instead. Sorted by ascending so the fewer ones are at the top now. Finally, added the 1SD up and 1SD down number that is being calculated. 2. You're talking about TastyTrade's definition of 1SD which is actually the Expected Move. Furthermore, you're looking at a 1SD move of an option, not the stock price. This is an important distinction as an option's 1SD move involves IV of that option and has a DTE calculation as well. 3. SD on stocks is usually calculated for the year. So really, what you want is 252 (number of trading days in the year). Changing the calculation below to 252 instead of 20 gets the values closer on AAPL to what you were expecting. Here is the filter with a 1SD of 20 days. You can adjust it to your liking by changing the two 20s below to whatever you need. Just understand you're comparing 1SD of a stock price's performance over the last 20 days vs TastyTrade's Expected Move of a particular option that factors IV and DTE. |
| 15minofPham 170 posts msg #160955 - Ignore 15minofPham |
3/22/2024 12:47:51 PM Awesome job Xarlor! Thank you for the clarification on TT. I'll play around with it and let you know. |
| 15minofPham 170 posts msg #160956 - Ignore 15minofPham |
3/22/2024 2:45:31 PM I changed it to weekly so if I'm doing it correctly, selling a Put Spread on NVDA has been 100% profitable over the past year. |
| xarlor 587 posts msg #160962 - Ignore xarlor |
3/23/2024 1:15:50 AM Not exactly. I ran a backtest on my OptionAlpha account and there were 5 losses. If you have different criteria or exit strategies, let me know and I can run it with those.  |
| danny1961 1 posts msg #160964 - Ignore danny1961 |
3/23/2024 9:27:30 AM I'm looking for help with adding language to existing filter scans that will include option trading ideas such as include stocks that are optionable or exclude ones that are not. Setting minimum open interest requirements as well as setting current IV percentile levels favorable to buying strategies vs. selling strategies. Any input is appreciated. Thanks, Danny |
| xarlor 587 posts msg #160965 - Ignore xarlor |
3/23/2024 10:37:13 AMI'm looking for help with adding language to existing filter scans that will include option trading ideas such as include stocks that are optionable or exclude ones that are not. Setting minimum open interest requirements as well as setting current IV percentile levels favorable to buying strategies vs. selling strategies.StockFetcher does not have open interest nor IV percentile. For only tickers with options, include the word 'optionable' at the top of your filter. |
| StockFetcher Forums · General Discussion · Weekly count of one standard deviation moves | << 1 2 >>Post Follow-up |