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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):

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.

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.

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!

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!