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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.

Using QuikStrike Historical ATM Vol Charts

In wake of Monday’s USDA report, the CME Group tweeted a QuikStrike ATM Vol History graph to showcase lower volatility in the March contract for Corn. Viewing this chart in QuikStrike takes a few simple steps.

In a prior blog post, we outlined the features of the History section in QuikStrike. Navigating to the Volatility and Skew → ATM Charts page will allow you to view ATM volatility history (1,3,6,9 and 12 month periods), as well as the corresponding Future Price for each date.

ATM Volatility History

 

As you can see in the image above, the ATM volatility history chart gives you the opportunity to view the ATM volatility/future price and the corresponding date (going back as far as 12 months). You can also get a feel for the average ATM volatility and future price for a particular expiration over the selected time period at the bottom of the page.

While we navigated to the History section of QuikStrike to create this graph, you can also access this information (via an Expiration Popup) by clicking on the expiration in the title bar (or any other place where the expiration is a link in QuikStrike). After you click the expiration, you will see the third tab from the left is ATM Vol History (as shown in the image below).

OZCH5 popup

Once you click the ATM Vol History tab, you can view the exact same chart as the Volatility and Skew → ATM Charts page in the History section of QuikStrike without navigating to a new page. The Expiration Popup (shown in the image above) also includes Vol Summary, Option Settles, Open Interest, Pricing Sheets and Futures tabs for the selected expiration.

We want our users take advantage of all the ways to view vol history in QuikStrike. Let us know what you think about this chart, and the rest of the Volatility and Skew history pages. Get in touch with us via email, Twitter or post a comment below. Thanks for checking out our blog!

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!