Planned: not available yet

Options exit-review report

How did the option price move while my trade was open and after I exited?

A broker export shows your fills. A fill is a completed trade at an actual price. The export does not show how the option price moved between your entry and your exit. This report will add that price movement from the recorded contract history.

The report will use two measures. MAE, or maximum adverse excursion, is the largest recorded movement against your trade while it was open. MFE, or maximum favorable excursion, is the largest recorded movement in your favor while it was open.

The report will also show the recorded prices for a period after each exit. You can then see what the records show about your exits across many trades. The report gives records and arithmetic, not trading advice.

Who it is for

Options traders who keep a journal: They log their trades but cannot tell what the price did between entry and exit.
Traders who think that they exit too early or too late: They need recorded price movement around many exits, not memory of a few trades.

What you will get

The MAE and MFE of each trade, in price and in money for the position size.
The recorded price movement for a stated period after each exit.
A table that puts your fill prices next to the recorded minute bars at the same times.
A summary of the results across all reviewed trades.
A list of trades that the report could not review, with the reason for each.
The data source, coverage, time zone, and calculation method for each figure.

What it will need from you

A trade file from your broker in CSV format. CSV is a text file format that stores rows and columns.
The entry and exit fills for each trade: contract, date and time, price, quantity, and side.
The fees and commissions for each fill, if the file does not contain them.
The period after each exit that the report should examine.

How it will work

Export your options trades from your broker as a CSV file.
Send the file and state the trades or dates to review.
The trade file will be checked for missing fields, invalid values, and duplicate fills.
Each trade will be matched with the recorded price history of its contract.
Read the report, including the list of trades that it could not review.

Limits

MAE and MFE use recorded minute bars. They show the recorded movement, not a price that you could have traded at.
A minute bar cannot show the order of trades inside that minute. So a trade that opens and closes in the same minute has limited results.
A missing bar can mean that no trade occurred or that source data is missing. The report will mark these gaps and not estimate prices for them.
The records contain no bid or ask quotes. The report cannot show the spread that you paid.
Each contract needs its recorded price history. The report will check coverage for each contract and list the trades that it cannot review.
The report describes past records. It does not tell you how to trade in the future.

Common questions

Why is my broker export not enough for this review?

The export contains your fills only. It does not contain the price path between your entry and your exit. The report needs the recorded history of each contract for that path.

What do MAE and MFE tell me?

MAE shows how far the recorded price moved against your trade while it was open. MFE shows how far it moved in your favor. Together they show the range that the records contain for each trade.

Does the report tell me where I should have exited?

No. It shows what the records contain around your exits. A recorded high or low is not a price that you could be sure to get.

Which brokers will the report support?

The first supported broker is not chosen yet. The page will name each supported broker and its export format when the report is available.