Feature Highlight: Economic Calendar

To access QuikStrike’s Economic Calendar, login to QuikStrike, click on QuikTools in the upper right hand corner and click on Economic Calendar:

 

This will bring up the economic calendar. You can change the timeframe in the top-center of the window. Available options are Today, This Week, Next Week, One Week, and One Month.

Bitcoin in QuikStrike

Did you know you can view Bitcoin in QuikStrike? Under the Benchmark Summary section click on “BRTI Chart” in the left hand navigation:

BRTI – CME CF Bitcoin Real Time Index

An intraday (updated continuously), USD denominated reference rate for Bitcoin transactions calculated from consolidated order book data rather than trade prices. Similar to a real-time index or spot price. Full methodology available here.

BRR – CME CF Bitcoin Reference Rate

An end-of-day, USD denominated reference rate for Bitcoin transactions based on data collected from various exchanges. Similar to a closing price. Full methodology available here.

 

Don’t have QuikStrike yet? Register here.

Understanding Volatility Cones

Volatility cones can be a powerful tool for options analysis but many traders don’t know how to use them. They normalize ATM (at-the-money) volatility curves based on the number of days to expiration. This gives you the ability to quickly and accurately assess a contract’s volatility level related to where recent contracts have traded given the same remaining number of trading days.

To access QuikStrike’s vol cone tool, first navigate to QuikVol in the upper left hand corner of QuikStrike. Under QuikVol Home, go to Volatility Cones:

 

 

From here, select the product you’d like to view as usual. We’ve selected Interest Rates –> US Rates –> Eurodollars. If you haven’t used vol cones with the selected product before, QuikStrike will prompt you to select the expirations you’d like to view. To do this, go to the Expirations dropdown menu above the charting area.

 

Once you’ve selected your expirations you should get something like this:

The y-axis shows the volatility and the x-axis shows the number of days until contract expiration.

Note that Essentials users will default to vol cones generated from one month of history while paid users will default to six months of history. Both versions allow you to show curves from historical dates under the “Compare” drop down menu, and both versions give you display options (for example, some users prefer to reverse the orientation of the x-axis to show 0 Days to Expiration on the right hand side).

Decoding the Cones

The lightest color cone (grey shaded area), labeled “Min/Max”, contains all of the vol levels for the time period specified in the “Date Range” drop down menu. The next lightest cone, labeled “5/95” contains 90% of the vol range (excluding 5% on the downside and 5% on the upside). The third cone, labeled “LQ/UQ” – for lower quartile and upper quartile – contains 50% of the historical vol range (excluding 25% on the downside and 25% on the upside).

The arithmetic mean is shown in dark grey and the interpolated curve based on the most recent measurements is shown in black. Markers denote contracts (diamonds) and constant maturity values (circles). Clicking on a marker will bring up its details:

In this example, the Jan18 contract (EDF18) is trading below the average vol level for a contract with 45 days to expiry but is within the LQ/UQ cone. Feb18 and Mar18 (visible in the full vol cone screenshot) are both well below average, but the Apr18 (EDJ18), Jun18 (EDM18), and Sep (EDU18) contracts all have vol levels above the six-month mean.

QuikVol is now included in QuikStrike

QuikStrike subscriptions – paid or free – now come with basic access to QuikVol, our platform for advanced volatility comparisons. You’ll now be able to view 1-month of data for active expirations, historical contracts, and constant maturity securities.

To check it out, login to QuikStrike as you normally would and then click on QuikVol in the upper left hand corner. The interface is the same as QuikStrike; you’ll still have access to your QuikMenu and shortcuts, and you’ll select contracts, views, report options, etc. the same way you do in QuikStrike.

 

Available Views

From QuikVol home you can select one of the following:

  • Active Expirations – analytics for currently trading contracts.
  • Historical Expirations – analytics for expired/historical contracts (active expirations are also available for seasonal comparisons).
  • Constant Maturity – ATM and delta-based skew analytics for constant maturity estimations.
  • Volatility Cones – an aggregation of historical volatilities with which to compare current levels.

Let us know if you have any questions.

QuikStrike Pricing

Feature Highlight: Commitments of Traders Report Shows Less Longs in Silver and Yen

Did you know you can access the CFTC Commitments of Traders (COT) report in QuikStrike? Last week, for example, money managers continued to short precious metals with their first net short in silver since August of 2015:

COT_Silver

 

Such a crowded short trade might be viewed as a good entry point by contrarian bulls; a situation that has played out in the last few trading sessions (note that the report is released on Fridays and reflects data from the prior Tuesday).

Similarly, leveraged short positions in JPY/USD (shorting Yen) increased 40% from the previous week to the highest absolute level of shorts since August 2015 – at the same time, this category has been shorting the USD in all other major currency pairs.

COT_JPYUSD

 

Accessing the COT Report

To access the report, login to QuikStrike. In the top menu click on “Market Reports” and then, depending on your version, click either the thumbnail with the header “COT Report” or the “Commitments of Traders” menu item.

As usual, select your product using the product menu in the upper left hand corner of the report.

You can further customize your report in the “Settings” and “History Range” drop down menus at the top of the page.

Settings

The Settings menu allows you to view data for futures, options, or both combined. You can also specify the chart type to be a bar graph (shows gross positions) or a line graph (shows net positions). Lastly, you can select the account type(s) to show in the report – note that these change in different asset classes.

History Range

The History Range menu lets you select the amount of data you wish to view; the options are 3-months, 6-months, 9-months, 1-year, 2-years, 3-years, 5-years, and all available data.

Feature Highlight: Quickly Access Product Overviews with This Week in Options (TWiO)

For a product specific overview of recent moves in volatility, open interest, and volume all in one place, check out This Week in Options under Market Dashboard → TWiO Report.

This Week in Options

This Week in Options

The symbols for the selected expirations with their respective expiration dates and days till expiry are on the left followed by the at-the-money (ATM) strike and future price. These columns also display their changes underneath the values.

The volatility columns display the ATM volatility, the risk reversal (RR) for the selected delta value, and the QuikSkew™ for the selected delta. The open interest and volume columns display totals, put/call ratio, and the most active contracts, all with changes.

 

QuikSkew ™: A Snapshot of the Vol Curve

You can think of QuikSkew™ as a snapshot of the shape of the volatility curve that normalizes for high/low volatility environments. The format is a number followed by the letter “P” and then another number followed by the letter “C” as shown here:

This example is from the TWiO Report, so the QuikSkew ™ measure on top (bold, blue text) is the current value and the measure on the bottom (normal, black text) is a historical measure such as prior day, prior week, etc. (specified by the user in the report controls at the top of the page). The values shown are for 25-delta options (also specified by the user). We’ll examine the current value – e. g. 24.5P-18.1c.

Interpreting QuikSkew™

The first value is the richness or cheapness of the puts to the at-the-money (ATM) volatility followed by the letter “P.” If the “P” is capitalized it indicates that the put volatility is rich to the ATM – e. g. the put volatility is greater than the ATM volatility – while a lowercase “p” indicates that the puts are cheaper – e. g. the put volatility is less than the ATM volatility. Therefore, the number, 24.5, with a capital “P” indicates that the 25-delta puts are 24.5% rich to the ATM. That is, if the ATM volatility is 10, then the 25-delta put volatility is

10 + 10 * 24.5% = 12.45

The second value is the richness or cheapness of the calls to the ATM, followed by either a capital “C” denoting that the calls are rich to the ATM or a lowercase “c” denoting that they’re cheap by comparison. In the above example – “18.1c” – the lowercase “c” indicates that the 25-delta calls are 18.1% cheap to the ATM volatility. Mathematically, if the ATM volatility is 10, then the 25-delta call volatility is equal to

10 - 10 * 18.1%  = 8.19

Change over time

The historical measure – “24.9P-20.1c” – shows that 25-delta puts went from being 24.9% rich vs. the ATM to 24.5% rich vs. the ATM – that is, the puts are less rich now than previously; while the 25-delta calls went from being 20.1% cheap vs. the ATM to 18.1% cheap vs. the ATM – that is, they are less cheap now than they were previously. We can imagine this as a flattening of the volatility curve when normalized for any changes in the ATM volatility level.

DV01, Yield and the Deliverable Basket

QuikStrike now displays the current and settle values for yield and DV01 (dollar value of a basis point) on the Futures Information page. The four callout boxes on the following graphic highlight the new treasury specific information.

The DV01 has always been a “behind the scenes” number in QuikStrike. However, now that we are calculating this value each day, we wanted to give it the attention it deserves. As an essential part of the basis point volatility (BPV) calculation for treasuries, an accurate and up-to-date value provides users with our most accurate BPV calculation to date.

With the yield now available in QuikStrike, users have one more way to look at futures levels and/or create strategies. For instance, instead of a strangle with references to strike prices, you can create these spreads with the yield or its range it mind (by seeing the yield equivalents of each strike). It’s one more way Of using QuikStrike to build strategies or just generally think about the market.

TSY-Futures-Blog

Each night, the yield and DV01 are calculated from the current CTD (cheapest-to-deliver) given the existing basket of deliverable treasuries. This (settlement) yield and DV01 will be used to calculate new yield values as the futures move throughout the following trading day. NOTE: This yield will soon be displayed wherever a futures price or table is available. And, Pricing Sheets will have yield values for each strike.

You will also notice, in the red box, a tabbed section named Delivery Basket. Each currently active future will have a corresponding tab with a list of deliverable treasuries into that future. Each list will be ordered with the CTD at the top in ascending DV01 order.

A Term Yield tab has also been added plotting the yields by future.

Should you have any questions or suggestions or would just like to chat about QuikStrike, please let us know.

Get Acclimated with Product Properties in QuikStrike

QuikStrike puts a lot of information at your fingertips, and it’s important to know exactly what you’re viewing. Navigate to the QS.EDU tab and click the Contract Specs → Product Properties page to find tick data and scaling factors for an entire product group at a glance.

The Product Properties page also includes:

  • name of the product
  • brief description of the product
  • pricing model used for the product
  • premium/point
  • premium multiplier

The information on the page is separated into Options, Futures and Scale Factors sections. It’s important to note the Tick Amount and Tick Values in each section. Tick Amount represents the minimum movement in price for a product, while Tick Value is the cash value of each tick. For example, Eurodollar options move in .01 ticks, so each tick is worth $25 (see the image below). Tick Size and Tick Values won’t be the same for all products and product groups.

Below is an image of the US Rates Product Properties page. Take a look at the the Premium/Point column. This number shows you how much traders would make or lose on a 1 full point move in the option. In our Eurodollar option example, if the price moves 100 ticks (1 point) a trader would make/lose $2,500. Don’t forget that Scale Factors are used to scale the output of the pricing models for display. For example, if the Delta of an option was .42, QuikStrike would multiply that number by 100 to get 42, and that’s how it is represented in the application.

Product Properties - Blog

 

You’ll see that the Premium Multiplier column is starred. To convert the premium from ticks to currency, multiply the premium value by the number in this column (NOTE: QuikStrike presents premium value in ticks).

It’s important to remember that this is the US Rates Product Properties page. Take some time to look at the Product Properties page for each product group to get acclimated with the Tick Amount, Tick Value, Premium per Point, Premium Multiplier and Scale Factors for all individual products you trade.

Come to this page in QuikStrike to find out the value of an option and what model is being used to price it. We hope this blog post clears up any questions you may have about our Product Properties page. Please get in touch with us if there is anything else you can help us with. Thanks for taking the time to read our blog!