Posts

New Equity Index Contracts on QuikStrike

The FTSE Russell 2000® has returned to the CME giving futures and options traders seamless access to mid-cap equities and margin offset benefits. Weekly volume has nearly tripled since the contracts were first listed on July 10th, and all positions will need to be transferred from the ICE to the CME once September expires (details are available on the CME website).

As part of the same agreement the CME has also listed contracts on the Russell 1000 (including the Growth and Value indexes), FTSE Emerging Markets, FTSE Developed Europe, and FTSE China 50.

Contract Specifications

Newly listed contracts include:

  • E-mini Russell 2000 Index
    • Futures (symbol: RTY)
    • Options
      • quarterlies (symbol: RTO)
      • weeklies (symbol: R1E, R2E, etc.)
      • EOM (symbol: RTM)
  • E-mini Russell 2000 Growth Index futures (symbol: R2G)
  • E-mini Russell 2000 Value Index futures (symbol: R2V)

The futures expirations will coincide with standard US equity index futures on the
third Fridays of March, June, September, and December.

Open Interest in Options on the Rise

If you’re looking for the best liquidity in options, open interest is picking up in the Sep quarterly and August weekly expirations as shown in the Open Interest & Settlements (under Market Reports in the Professional editions):

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!

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!

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!

Menu Shortcuts Make Favorites Easier to Access

We all have our favorite pages in QuikStrike, and we want our users to be able to navigate between them quickly and efficiently. The recent creation of Menu Shortcuts provides our users with a simple interface to organize their “favorites”.

Favorites_Blog_Image

We have moved the Star to the left hand side of the main menu. By clicking on the Star, users can create their own custom shortcut link to the current page. Once created, you can name the shortcut whatever you’d like or use the default provided by QuikStrike. To access your shortcut menu, click the Dropdown icon next to Star to reveal your new, custom menu.

Pencil_Image_Favorites

Clicking the pencil on the top right of the menu will allow users to edit the items within the drop down (be sure to click on the item to start editing). Users can create their own custom sections, drag existing shortcuts back and forth between sections and rename or delete shortcuts or section names as necessary.

Edit Menu Shortcuts image

If you haven’t taken advantage of favorites in the past, please give the new Menu Shortcuts functionality a try. It’s easy to use!

Let us know how you feel about the recent change. You can always send feedback, about this feature or any other, by sending us an email at info@quikstrike.net.

Broker Edition: 5 Reasons Why You Need QuikStrike Professional

If you’re a broker and you haven’t had the opportunity to take an extended look at QuikStrike, this blog post is a must-read. We know that you’re not going to invest in our option pricing and analysis tools if you don’t know how it provides value for you. Below is a breakdown explaining how QuikStrike Professional helps you better service your clients:

  1. The ability to quickly determine the fair value of option prices and identify correct Greeks

We know that many of you get your pricing information from market makers and other sources of information throughout the day. With QuikStrike, you have quick access to a baseline of pricing, allowing you to more easily compare perceived market prices with what those prices actually should be.

  1. Allow customers to track their trades

Grant customers access to your QuikStrike account where they can save a trade, put in a price where they traded it, look each day to see whether that price has changed and view PnL values. From there, they can add the trade to a Watch List to see how that particular execution is performing.

  1. QuikStrike has a performance-ready interface

Time is at a premium during the trading day. That’s why we created QuikStrike to help you gain access to information quickly and efficiently. Within our web tool, you can easily jump between pages of information and find what you need with just a few clicks.

  1. Get the data that you want

Volatilities are updated every 30 to 45 minutes and prices are slightly delayed, but that doesn’t mean you can’t access the data that you need to help your customers. Our pricing sheets allow you to manipulate data in many different ways within the analysis toolbar:

  • Change the direction from Vol to Price or Price to Vol
  • Adjust the future price
  • Reduce or increase the volatility
  • Toggle Current or Settles price
  • Change the Days to Expiration
  • Select your pricing model of choice
  • Pick a certain number of strikes to view

Clicking on the Simple Option Calculator in the Pricing Sheets enables you to perform analysis straight from the page without clicking out of the page.

  1. We have historical volatility and historical settlement prices for all active expirations

Historical volatility and historical settlement prices are often hard to come by without breaking the bank. This is why we give you access to strike specific and strike-level data right within the application. If your customers base their strategies on different patterns in the past, you can easily access this information for them within QuikStrike.

Interested in QuikStrike Professional? We offer anyone who hasn’t tried our product a free 2-week trial and we are also more than happy to set up a demo to take you through the application. Email us at support@quikstrike.net.