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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!

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.

How Are You Using the QuikStrike Sidebar?

Have you started using the My Notes feature? Are you following our most recent Twitter activity? Do you keep items in your Watches? These are just a few of the ways that you can take advantage of the Sidebar in QuikStrike. Simply navigate to the right hand side of the page and click the title bar of the Sidebar to view the dropdown in the image below.

QuikStrike Sidebar

QuikStrike is all about giving our users fast access to the most valuable information. Our Sidebar provides complementary data to a number of different pages within the application. Let’s say you are using the Standard Pricing Sheet for the Soybeans OZCG5 contract. The pricing sheet provides you with all the pricing data for that particular expiration. But what if you want to see Future Prices or review Straddle Prices for another expiration’s at-the-money strike? All you need to do is click the Sidebar menu option button and select your desired content.

Sidebar and Pricing Sheet

Not only can you view prices in your sidebar, but you can also see the last time the sidebar window was updated, as displayed in the image above (NOTE: QuikStrike uses “delayed” prices per the mandates of each exchange).

The Product Status option in the Sidebar menu allows you to view when the QuikStrike information was last updated (for settlements and the most recent volatility run). When looking at Future Prices, Straddle Prices or Watches in the Sidebar, you can click the arrow button on the right hand side to view the full detail page in QuikStrike (as shown in the image above).

Have you ever wanted to track a Trade Strategy you’ve built in the Trade or Calendar Builder? You can save it to your Watch List as shown in the image below. You can view your saved positions in the Manage QuikStrike → Watches page, or simply select the Watches option in your Sidebar. Here you can view the Future Price, Current Price and Initial Premium, as well as the Profit and Loss information and Greek values.

Save pop-up - Blog

If you haven’t been taking advantage of all of the QuikStrike Sidebar has to offer, it’s time to start now! What is your favorite feature of the Sidebar? Would you like to see anything added to the Sidebar? Drop us a line at info@quikstrike.net. Thanks for reading our blog!

The Standard Pricing Sheet is the Place to Start

Remember when you initially logged into QuikStrike? The Standard Pricing Sheet was the first page you saw, and that’s not by mistake. The Standard Pricing Sheet, and all the other pricing sheets, are structured in a way that allow our users to manipulate them quickly and easily. It is our goal to give our users access the information they need in just a few clicks of the mouse.

The Pricing Sheet is also one of the more common pages and is found in almost all option pricing applications. Leverage our version to dive more deeply into specific information about a particular expiration or strike with the Standard Pricing Sheet:

  • View detailed information about the current expiration (click the expiration in the title bar)
  • Open a futures window to see intraday, previous day and historical price action (click the underlying price in the title bar)
  • Quickly jump off to strike detail popups (click on any price in the Strike column)
  • Find implied volatility with the simple option calculator on the page (click on the calculator icon located next to each strike price)
  • Manipulate the analysis data without leaving the page in the application (click the Analysis Button on the right hand side of the title bar to display the Analysis Bar)

These are just a few of the ways to take advantage of the page. Let’s look at the Standard Pricing Sheet Page for the EDH5 contract:

EDH5Understanding the Analysis Bar is key to getting the most out of the Pricing Sheet. It’s important to spend some time on the Standard Pricing Sheet. Master the functionality by clicking all the links to view the informational popups and hover over all the buttons. The Direction, Price, Model and Mode dropdowns are briefly explained in the call-outs in the image above, and the list below further breaks down the features of the Analysis Bar:

  • Change the Future Price or Volatility (or ATM Price) by typing a new figure in the box, or use the arrow buttons on either side of the box to move the value up or down
  • Manipulate Days to Expiration (DTE) by clicking the calendar icon and selecting a date, or input the number of DTE of your choice
  • Select a Mode in the dropdown (explained in the list below) to display your desired strike range:
    • Auto Strike: The number (15 in this case) of strikes displayed both above and below the ATM Strike (NOTE: In the example image above, 100 is the highest strike available in QuikStrike, therefore 15 higher strikes cannot be displayed)
    • Delta Limit: Setting the Delta Limit restricts the strikes shown to those with Deltas that are the within the limit selected relative to 0 or 100/-100
    • Low/High: Input the range of strikes to be shown in the boxes and all strikes in between are displayed
    • Upside: Upside shows all strikes above the ATM (plus the ATM)
    • Downside: Downside shows all strikes below the ATM (plus the ATM)

As you can see on the table, Daily and Annual Basis Point Volatility columns follow the Greek columns on this particular pricing sheet. You will only see these columns on Interest Rate Pricing Sheets. All other products will have a column for Rent, a measure of the expected daily change in the underlying future based on the volatility of the current expiration, instead. Learn more about the Rent value in the Calcs 101 menu item, which can be found in the QS.EDU section of QuikStrike.

Now that we’ve broken down all the different aspects of the page, let’s put the Standard Pricing Sheet to work. Below is an image of the Standard Pricing Sheet for the Corn OZCG5 contract without any input adjustments:

OZCG5 Standard Pricing Sheet - Blog

Let’s say we’ve calculated an implied volatility (31.57) for the 400 strike price (NOTE: a yellow line runs through the row with the ATM Strike). Now let’s input the implied volatility replacing the current volatility on the pricing sheet and evaluate the changes on the image below:

OZCG5 Standard Pricing Sheet with Vol Change

  • Call Delta remains the same at 52
  • Call premium decreases from 10.460 to 9.293
  • Put premium decreases from 10.210 to 9.673
  • Put Delta remains the same at -48
  • Straddle price decreases from 20.670 to 19.597
  • Gamma increases from 1.536 to 1.620
  • Vega remains the same at 0.310
  • Theta increases from -0.381 to -0.361
  • Rent decreases from 8.412 to 7.976

It’s important to note how the values on the other rows of the chart change aside from the ATM Strike. For example, analyze how the volatility changed in all the other columns.  Since we had an implied volatility lower than the current volatility, the volatilities decreased (by the same amount) for all the other strikes. Notice how the volatility of the 350 Strike on both images is exactly 6.52 percent higher than the volatility of the 400 Strike.

Now that we’ve seen what happens to the values in the pricing sheet when volatility changes, let’s try increasing the underlying price one point and going back to the original volatility.

OZCG5 Standard Pricing Sheet with Underlying Change

  • Call Delta increases from 52 to 53
  • Call premium increases from 10.460 to 10.982
  • Put premium decreases from 10.210 to 9.733
  • Put Delta increases -48 to -47
  • Straddle price increases from 20.670 to 20.715
  • Gamma decreases from 1.536 to 1.529
  • Vega remains the same 0.310
  • Theta remains the same at -0.381
  • Rent increases from 8.412 to 8.433

Analyze how prices and other values change in a matter of seconds by manipulating one or more of the variables in the theoretical pricing model. Don’t forget that a simple option calculator is next to each strike price on the pricing sheet (NOTE: View the first image to learn how to launch the calculator on the page). Plug in your own values to find theoretical prices and implied volatilities without leaving the page.

What is your favorite part of the Standard Pricing Sheet? Do you use the Standard Pricing Sheet before executing trades? Share your thoughts with us by sending an email to info@quikstrike.net. Please share this post with others who may be interested. Thanks for checking out our blog!

Get Greek Help: QS.EDU Has a Calcs 101 Tab

In our most recent post, we referenced the Greek help in the QS.EDU section of QuikStrike. Understanding what each Greek value means and how they are affected by changes in the strike price, future price, volatility, days to expiration and interest rates is imperative in order to trade options successfully.

The Calcs 101 tab thoroughly explains how to calculate Delta, Gamma, Vega and Theta, as well the Rent value. Let’s take a look at the Delta page to give you an idea of what to look for on each page.

QuikStrike Calcs 101

The first thing you’ll notice is the header of the page (Delta) with the Greek symbol next to it. Beneath the header will be the definition and equation for how to calculate the selected Greek value. Becoming familiar with the formula to calculate all the Greeks and the Rent value helps you understand where risk can come from, create expectations for a certain position and reduce the number of surprises one encounters when evaluating the behavior of an option’s price.

The strike noted on the page is the ATM strike, the future is the current underlying price and the current volatility is also used. On this particular page, you’ll see the Delta value for both calls and puts, followed by the other Greeks. Note that the strike information shown is always the current ATM strike for whatever expiration is currently selected.

In the Example Calculations section, you can use the equation to see how the Delta changes when there is a change in the underlying price. In order to calculate the new Delta, it’s important to understand all the variables (and constants) in the equation.

Before reviewing this sample calculation, we need to define the inputs into the equation. We know the Premium is the price you pay for an option and the Future Change is the change in future price. However, you may not be familiar with future and option base and the scale factors. The future and option base are the numeric bases for the fractional portion of the future price. These values only apply for treasuries in which the option base is 64 and the future base is 32. Understanding scale factors is fairly simple; they are used to scale the output of the pricing models for display. To see how scale factors differ from product to product, check out the Contract Specs → Product Properties page in QS.EDU.

Now let’s dive into the calculation. We’ll use first item in the call column when the future price rises .02. Plug in the variables into the equation below to find the new Premium:

  • Premium1: 2.70
  • Delta: 54
  • Future Change: 0.02
  • Option Base: 100
  • Future Base: 100
  • Option Scale Factor: 1
  • Delta Scale Factor: 100

Premium2 = Premium1 + Δ * FutureChange * (OptionBase/FutureBase) * (OptionScaleFactor/DeltaScaleFactor)

2.71 = 2.70 + (54) * (0.02) * (100/100) * (1/100)

If you’ve correctly used the equation, you’ll calculate Premium2 to be 2.71.

As you may have noticed, this particular Calcs 101 page was for American Crude Oil. It’s important to understand that every page example is specific to the product and has the actual, current ATM information for that product. Let’s take a look at the Calcs 101 page for Eurodollars.

EDH5 Calcs 101

Do you notice anything different from the American Crude Oil Calcs 101 page? Remember to look at all of the inputs we plugged into the equation. The Option Scale Factor for Eurodollars is 100, while for American Crude Oil it was 1. Always remember to check to see if you are using the right equation before doing any calculations.

Do you find the Calcs 101 tab to be educational? Are there any further questions we can answer about how to calculate the Greeks? We’re here to help. Send us a message at info@quikstrike.net. Thanks for taking the time to read our blog!

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!

Check Out The Latest Futures Options Roundtable

Are you looking for some light listening to help you through the trading day? We’ve got just what you need!

Nick has become a regular on the Futures Options Roundtable presented by The Options Insider. Below is a breakdown of the panel discussion in the latest podcast:

Ags:

  • Corn: Corn futures continued to slump to a 50-month low as waning prospects for frost damage this week
  • Wheat/Soybeans: Unusual activity, hot strikes and large open interest changes.

Energy:

  • Crude Oil:  Taking it on the chin as ISIS “crisis” fails to impact production.
  • Nat Gas: Unusual activity, hot strikes and large open interest changes.

Metals:

  • Gold: Gold futures rebounded from an eight-month low on signs of increased demand for bars and jewelry in India.
  • Silver: Silver futures for December delivery rose 0.1 percent to $18.62 an ounce.
  • Platinum: On the New York Mercantile Exchange, platinum futures for October delivery fell 0.5 percent to $1,363.50 an ounce

Forex:

  • Currencies: The US dollar making a strong move. The price of the UK pound amid Scottish independence fury.

Listen to the player above to hear what Nick and the rest of the panel has to say about the recent happenings in the world of futures and options.

Nick Discusses Oil, Metals, Ags With Futures Options Roundtable

Joining the Futures Options Roundtable has become a regular occurrence for our CEO Nick Howard. In the latest edition, the group, led by Mark Longo, founder of The Options Insider Inc., covered a wide range of topics, including:

  • The fluctuating Crude and Brent Crude Oil markets
  • The recent events in the Metals markets
  • How the weather conditions in the Midwest are affecting Corn output

Interested in what the panel had to say? Here’s the link to the full podcast: http://traffic.libsyn.com/radionetwork/FOR13.mp3.

Don’t forget to let us know your thoughts on Nick’s insights and the Futures Options Roundtable.

Our CEO Nick Howard joins The Futures Options Roundtable once again…

“One thing that I think the people out there that are trading options might forget now is that the CME has the weeklies that are listed. The weeklies are going to tend to give you a pretty good idea of what people are thinking in the short term.”

This was one of many insights from Nick during the hour-long podcast hosted by Mark Longo, founder of The Options Insider. The rest of panel included Matthew Bradbard, vice president of managed futures and alternatives at RCM Asset Management, Dan Collins, editor-in-chief of Futures Magazine, Dan Cook, director of business development at Nadex and Jeff Lewandowski, analyst at Protean Trading.

Brent-crude-vol-skewDuring this edition of The Futures Options Roundtable, the panel discussed the Commodity Sturm Ung Drang Grand Marketplace, most notably volatility in the crude oil/energy markets, the affects of the recent situation in Iraq on the oil markets and the changing volatility of gold in past months. Longo rounded out the conversation by prompting his guests with a series of questions from his listeners.

To listen to the entire podcast, follow this link: ow.ly/z0Lww.