Quickly Find Implied Volatility with the Simple Option Calculator

Smart traders won’t execute a trade without measuring its potential risk or reward. Quickly calculating the implied volatility using a theoretical pricing model can give traders the opportunity to better analyze a particular position before executing.

QuikStrike’s Simple Option Calculator allows you to select the type of trade you plan to execute (call, put or straddle), customize the pricing model inputs (strike price, future price, days to expiration and interest rate) and calculate the theoretical price (given a volatility value) or find the implied volatility (given an option price). You’ll notice that when you click “Calc Vol” or “Calc Price”, the associated Greek values are also calculated.

How does it work?
In many ways, the Simple Option Calculator is just that, simple. However, it’s important to go through the correct process when calculating the implied volatility of a particular position.

Let’s look at a trade recently posted on Twitter:

Twitter Trade

From this tweet, we can ascertain that Paper sold a short-dated January soybean straddle for $23 with a 1020 strike price and 1012 future price. While we don’t know the exact DTE and interest rate, we can surmise that since the trade was posted on 12/19, there were roughly 7 DTE (although QuikStrike users will have this information automatically populated as part of the calculator’s pre-population of initial pricing values) and we can use the current interest rate in QuikStrike. In this instance, we were given the premium price, so all we have to do is plug in the variables to find the implied volatility.

Simple Option Calc

Now that we have the implied volatility, take that to the Trade Builder to create the trade and review in more detail. Quickly calculating the implied volatility makes the Simple Option Calculator an extremely valuable tool. However, we are not done on this page, we still have to evaluate the Greeks. Since the trade we are reviewing is a short straddle, the Greeks would take on the opposite sign as seen above. Below is a breakdown of the Greeks for this position:

  • Delta: All calls have a positive delta while all puts have a negative delta. The delta of a straddle can move from positive to negative to neutral. As the underlying price changes, the delta values will do the same. The 22 value represents how much the straddle price will change when the underlying moves. The call and put move by their respective delta values. The straddle moves as a summed combination of the two.
  • Gamma: The rate of change of the delta is known as the gamma. For every one point change in the underlying, gamma represents the number of deltas gained or lost. With a gamma value of 2.783, for every one point change in the underlying, the delta will gain or lose 2.783 deltas.
  • Vega: As the option decays, volatility may change, as well as the theoretical value of the option. The vega value represents how the theoretical value of the option changes for each percentage point change in volatility. In this particular position, the theoretical value of the option will change 1.076 with each percentage point change in volatility.
  • Theta: An option will lose value as time decreases, and the rate of this change is known as the theta. In this example, the theoretical value of the option will lose value at the rate of 1.566 for each day the position moves toward expiration.

(Note: QuikStrike has Greek help in the QS.EDU section which takes in to account all the scale factors we use for each product)

Does this post answer any questions you may have about the Simple Option Calculator? Are you ready to calculate the implied volatility of your position? Let us know your thoughts. Comment below or send us an email at info@quikstrike.net. We hope you are enjoying the holiday season!

Stay Informed on OI and Volume for Most Active Strikes

Part of being a successful options trader is doing your homework. That means following the markets, understanding recent trends and being able to identify where the trade activity is taking place. One way to stay informed is to login to your QuikStrike account and check out the Open Interest page under the Summary Reports tab.

The Open Interest page displays an entire product sector in one view. On this page you’ll find:

  • strike prices
  • expirations
  • calls, puts and combined (calls and puts) with the most Open Interest, Open Interest Change and Trade Volume from the previous trading day

Make note that open interest and volume on this page are updated each morning with a preliminary and then a final run at roughly 4:30a CST and 10:30a CST, respectively.

QuikStrike makes it easy to quickly sort through the data and find your desired information. However, before diving into the numbers, see the image below to understand ways to customize the page and get a general idea of the page layout.

Open Interest

The greater the open interest, the more activity in an option contract. In the Summary section, you can quickly view the open interest for calls, puts and combined total for a given product, as well as the net change from the previous day. Strikes up represents the number of strikes with increasing open interest, while strikes down denotes the number of strikes with decreasing open interest. Monitoring these numbers each day can help support/dispute a hypothesis about where the most activity in an expiration or strike is taking place.

Directly below the Summary information are the Ranking columns for the product. Select either Open Interest, Open Interest Change or Trade Volume and use this section to see the most actives strikes given the chosen filter. We’ll use the 10 Year contracts as an example. The table below displays the Top 10 calls, puts and combined, from all active expirations, ranked according to their Open Interest Change.

Open Interest Most Actives

It’s important to note that you can click on a particular strike price or expiration to dive deeper into the data and find more specific information on each without leaving the page. You’ll also notice that you can compare open interest in the Ranking column to the previous day, as well as view the trading volume.

Follow us on Twitter at @QuikStrike1 to see these reports every morning for a wide range of products. How does the prior days open interest and trading volume influence your decision-making? Tell us with an email to info@quikstrike.net. Happy Holidays!

View Intraday Trade Volume With the Strike Level Chart

Are your trading decisions influenced by intraday trade activity? Are you always checking which strike prices are getting the most action? If you answered “yes” to either question, you may want to create a Menu Shortcut in QuikStrike for the Strike Detail Chart page under the Market Data tab.

You can start customizing your Strike Level Chart after selecting your desired product and expiration. This chart displays trade volume and open interest for both calls and puts by strike updated throughout the day. Simply hover over the blue bars for Calls and orange bars for Puts to see their respective values.

If you click the View Settings dropdown, you will be able to set the number of strikes and add filters to both the Volume and Open Interest chart. The image below displays the Has Open Interest Change filter which displays all strikes with intraday volume that have a change in open interest from the previous trading day.

Strike Detail Chart - Intraday (final)

Another filter to note is the Chart Value. This dropdown applies to the Open Interest chart. Use this chart to get a better idea the strike prices with the most/least intraday activity or to generate new ideas for positions in the selected expiration.

At the bottom of the page, you’ll find the Call and Put Summaries for intraday trading volume. The in-the-money (ITM) calls are intraday trades where the strike price was lower than the underlying price, while the ITM puts represent trades in the current session where the strike price was higher than the underlying price. Both out-of-the-money calls and puts had no intrinsic value at the time they were executed.

Strike Detail Chart - Intraday (2)

What do you think of our new intraday trade volume and open interest Strike Level Chart? Let us know your thoughts on this page, as well as all others in QuikStrike. Don’t hesitate to email us at info@quikstrike.net. We hope you have a great holiday season!

Got an Idea? Add a Note

Have you ever been using QuikStrike and wanted to make a quick note or remind yourself to revisit a page at a later date? In our latest build, we have created a new function called “Add a Note” that can be found on the right hand side of the toolbar.

Add A Note

Clicking the Add a Note icon will open up a box on the page in which you can title and write a note for yourself.

AddANoteImage2 - Blog

Once you have completed your note, click “Submit” and it will be saved to your “Notes” repository. This can be viewed by selecting My Notes from the dropdown menu in the sidebar or by clicking on the Envelope icon (second icon from the right) on the product menu line. Each saved note will be sorted by date. Clicking the “X” will allow you to delete the note and the “pencil icon” will enable you to edit the note without leaving your current page in QuikStrike.

AddANoteImage3 - Blog

The My Notes section is a great opportunity for our users to keep annotations inside the tool and provide quick tips that can aid the QuikStrike experience. How do you foresee yourself using notes? Maybe you have some ideas that we have yet to consider. Drop us a line at info@quikstrike.net. We love getting your feedback!

Yes, We Have Historical Data

“Does QuikStrike have historical data?” is one of the most frequently asked questions by our user base and prospective customers. “Yes” is the short answer. And reading further in this blog post will provide you with all the information you need to know about our History Tab.

HIstory Tab

The History Tab can be found in the top left corner of the page for all QuikStrike Professional Edition users. Upon clicking the tab, our users will find historical:

  • information for current (open) expirations from inception
  • settlement price and volatility for individual strikes, as well as ATM strikes
  • risk reversal and butterfly skew
  • open interest reports and summaries
  • strike-level data that can be exported in CSV format

ATM Vol Chart

HistATMVolChart - Blog postMany of our users make trading decisions based on historical ATM volatility. In the chart above, our users have the ability to go back as far as 12 months to see the ATM volatility history with the corresponding futures price. This is a great way to gain an understanding for how the ATM volatility has changed over the course of a year for a certain expiration.

Option Settles

HIstory option settlesSeeing settlement prices for both calls and puts for a particular expiration is easy in our historicals sections. In the Option Settles page under Settlement Reports, our users have the ability to view market settlement history, by strike, for as far back as 3 months from the current date.

The above images are two examples of how our users can take advantage of our history tab. If you aren’t a QuikStrike Professional Edition subscriber, shoot us an email at info@quikstrike.net, and we’ll set you up with a free trial so you can explore our history section.

As always, please share your experience with us in the History Tab. We want to know about our strengths and how we can improve.

We hope you are enjoying the holiday season!