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!

Strike Detail Popup: See Strike Info at a Glance

Our last blog post broke down the Strike Detail Sheet in QuikStrike. But as we mentioned in the post, there is another way to access all the information on the page. Clicking on (almost) any strike price in QuikStrike launches the Strike Detail popup:

QuikStrike Strike Detail popup

 

As you can see in the image above, the popup includes:

  • Strike Detail
    • Selected strike price is anchor strike for all trade types on the chart
    • Has the same functionality as Strike Detail Sheet minus Analysis Bar
  • Vol History
    • Volatility and Future Price of selected strike price on a specific date (going back as far as 12 months)
  • ATM Vol History
    • ATM Volatility and Future Price of ATM strike on a specific date (going back as far as 12 months)
  • Volume & OI
    • Trade Volume and Open Interest for calls and puts for selected strike price (going back as far as 12 months)
  • Vol Chart
    • Current and Settlement Vol Chart for selected expiration
  • Pricing Sheets
    • Standard Pricing Sheet and Straddle Sheet for selected expiration
  • Futures
    • Future Price vs. Time graph for the selected expiration’s underlying at a specific time
      • Some months go to underlying futures that are not the same as their expiration month
      • Trade Volume and Open Interest will be shown in the same view when selecting a history of at least 1 Week

Launch this popup from (almost) any page in QuikStrike. Don’t forget to hover over the graphs and charts in each tab of the popup to view specific information.

The Strike Detail popup allows users to access information about a particular strike price, expiration or future price without navigating from their current page. Please let us know if there is anything you would like to see us add to this popup, or any of our other popups within QuikStrike. Feel free to add a comment below, shoot us an email (info@quikstrike.net) or tweet us.

View All Common Spreads on the Strike Detail Sheet

If you’ve read the blog post about our Standard Pricing Sheet, it’s time to try out our Strike Detail Sheet. Now that you know how to find call, put and straddle prices, view Greek values associated with those positions and manipulate inputs in a theoretical pricing model, you can apply that knowledge on this more advanced page.

Select a strike price from the Strikes column on the left hand side to get started using the Strike Detail Sheet (NOTE: The page will always open with the ATM strike selected). Use this page to find information for strikes and multiple trade types, including Spreads, 1x2s, Flys, Trees and Ladders, Condors, Iron Flys and Strangles (NOTE: To learn more about the trade types on the page, visit the Trade Examples tab in the QS.EDU section of QuikStrike). You’ll notice that the strike width increases in each group of spreads as you move down the line. Look at 1x2s, for example. The 385/390 spread is one strike wide, while the 385/405 spread is four strikes wide.

Let’s look at the OZCG5 Strike Detail Sheet to help you get a better understanding of how it works:

OZCG5 Strike Detail Sheet

As you can see on the above chart, the Strike Detail Sheet has the same Analysis Bar as all other pricing sheet pages in QuikStrike. Manipulating the Future Price, Volatility (or ATM Price) and Days to Expiration (DTE) will alter the the calculations in the table. Users have the opportunity to see how a change in one of the inputs can affect the Premium Price, Delta Position and Change between the premium price and previous settlement prices for all the common spreads on the table. Don’t forget about the Mode and Direction dropdowns within the Analysis Bar. The Mode allows you to view a specific range or group of strikes, while you can toggle the Direction from Vol to Price to Price to Vol.

Now that you’re comfortable with the Analysis Bar, let’s go through an example. Analyze the information on the table if we decrease the DTE by four days:

OZCG5 Strike Detail Sheet 3

Did you notice that almost every value in the table changed? Adjusting each input will affect the values in the table in different ways.

Clicking on the strike prices in any of the spreads will launch a Trade Strategy popup that contains Greeks data, Premium information, Profit/Loss tables and an Expected Return chart. Underneath the chart, you’ll find graphs for all the Greeks. Hovering over the curve on each graph allows users to view Greek values with corresponding future prices.

The popup in the image below displays a 385/390 Call Spread (NOTE: The current values for the the spread are highlighted in pink).

385-395 Trade Strategy

It’s important to note the Risk Analysis button and the ability to save the page down to your machine as a PDF. The image below shows the Risk Analysis page which has the same Expected Return and Greeks chart on the Trade Strategy page. In addition to these larger graphs, users can evaluate the potential risks of their trade in the Future, Volatility and Time sections. In each section, you can analyze how a change in the given variable affects Profit and Loss, Time Value and all the Greek values.

QuikStrike Risk Analysis

With all the functionality that resides within the Strike Detail Sheet, it’s important to take some time to get acclimated with the page and its popups (NOTE: The Strike Detail Sheet can also be displayed as a popup by clicking any Strike Price within QuikStrike). We’re interested to hear about your experience with the Strike Detail Sheet. Get in touch with us via email at info@quikstrike.net or find us on Twitter. We appreciate you reading our blog!

Compare Vol History on our Vol Term Structure Page

QuikStrike was created to provide our users with fast, easy access to volatility information. The Vol Term Structure page makes it easy to compare at-the-money (ATM) implied volatility levels across all expirations on a single page. Using the Chart Settings and Expiration Filter dropdowns and the Expiration Table, users can create a personalized ATM implied volatility chart.

On the Vol Term Structure chart, our users can view and compare ATM implied volatilities from four different timeframes:

  • Current ATM Levels
  • Previous Settlement
  • 1 Week ago
  • 1 Month ago

Click the Chart Settings dropdown to select/deselect each vol term to be displayed on the chart.

Let’s look at the American Crude Oil Vol Term Structure page. The first thing to note is the Expiration Table that shows which expirations can be displayed on the chart. Toggle the Expiration Groups by clicking the Expiration Filter button. A dropdown will appear that allows you to select/deselect the Expiration Groups shown in the table. Click the box on the left of each expiration to select/deselect the expiration to have its corresponding implied volatility added/removed from the chart.

Vol Term Structure

The Expiration Table also contains Days to Expiration (DTE), Future Price and ATM Implied Volatility, ATM Strike Price and Current Straddle Price columns (NOTE: the expirations shown in the table are listed in DTE order).

NOTE: You can hover over each point on the curve to view the corresponding expiration and volatility.

Many users leverage the Vol Term Structure page to compare only two or three expirations at a time, but the page is designed to build the chart as you please. Share with us how you use the page. Send us an email at info@quikstrike.net. Thanks for reading and please share our blog with others who may be interested.