This reference describes the settings available for the Options Electronic Eye widget and the fields you can use to create filters.
Column | Description |
---|---|
Instrument | Options instrument |
C/P | Whether the instrument is a call or put option. |
Strike | Shows the underlying Futures contract price at which a holder can exercise their option to buy or sell the contract. The strike column reflects the range of the day by shading the strike. The high / low line indicators as seen on MD Trader® are displayed in the strike column relative to their position. |
DTE | Number of days until the option expires. |
Expiration Type | Type of expiration (e.g. monthly, weekly) associated with the options instrument. |
UndPx | Price of the underlying instrument. |
BidQty | The total quantity working at the bid. |
Bid | The best market bid price. Click the value open an order ticket. |
Sell Edge | Difference between the best bid and the theoretical value. |
TV | The theoretical value of an option calculated using the Barone-Adesi and Whaley price model with volatility as an input. |
ATM Vol | At-the-market volatility. |
Buy Edge | Difference between the best ask and the theoretical value. |
Ask | The best market ask price. |
AskQty | The total quantity working at the ask. |
UV | User volatility values that are used for calculating theoretical call and put values. These user-defined vols are entered using the Vol Curve Manager, which fits the curve to the control points on the volatility curve. The user volatility values are a result of the fitting process. |
UΔ | Delta calculated using the user-defined volatility. |
IV | Implied volatility value. Implied volatilities are calculated using the midpoint of bid and ask prices. |
IΔ | The delta calculated with the auto-fit volatility curve values provided by TT. |
SV | Settlement volatility value, which indicates volatility calculated per strike using settlement prices. |
SΔ | Delta calculated using the settlement volatility. |
When creating filters, you can use the following fields in a rule.
Field | Description |
---|---|
Active Delta | Call delta calculated using the active volatility curve in the Vol Curve Manager widget. |
Active Gamma | Change in delta per change in the underlying, calculated using the active volatility curve in the Vol Curve Manager widget. |
Active Rho | Change in options value per change in interest rate, calculated using the active volatility curve in the Vol Curve Manager widget. |
Active Theta | Change in options value per change in time, calculated using the active volatility curve in the Vol Curve Manager widget. Also known as time decay. |
Active TV | Theoretical value of an option calculated using the Barone-Adesi and Whaley price model with the active volatility curve in the Vol Curve Manager widget as an input. |
Active Vega | cChange in options value per change in volatility, calculated using the active volatility curve in the Vol Curve Manager widget. |
Active Vol | TT-calculated theoretical value based on the active volatility curve values in the Vol Curve Manager widget. |
Ask Implied Delta | |
Ask Implied Gamma | |
Ask Implied Rho | |
Ask Implied Theta | |
Ask Implied TV | |
Ask Implied Vega | Change in the price of the Call or Put Option for every 1% change in the volatility of the underlying Futures contract calculated using the implied Ask prices. |
Ask Implied Vol | |
Atm Vol | |
Bid Implied Delta | |
Bid Implied Gamma | |
Bid Implied Rho | |
Bid Implied Theta | |
Bid Implied TV | |
Bid Implied Vega | Change in the price of the Call or Put Option for every 1% change in the volatility of the underlying Futures contract calculated using the implied Bid prices. |
Bid Implied Vol | |
Buy Edge | |
DTE | Number of days until the options instrument expires |
Expiration Type | Type of expiration, such as monthly or weekly |
Market Ask Px | |
Market Ask Qty | |
Market Bid Px | |
Market Bid Qty | |
Mid Implied Delta | |
Mid Implied Gamma | |
Mid Implied Rho | |
Mid Implied Theta | |
Mid Implied TV | |
Mid Implied Vega | Change in the price of the Call or Put Option for every 1% change in the volatility of the underlying Futures contract calculated using the midpoint of the implied Bid and Ask prices. |
Mid Implied Vol | |
Put/Call | Whether the instrument is a put or call option. |
Sell Edge | |
Settlement Delta | |
Settlement Gamma | |
Settlement Rho | |
Settlement Theta | |
Settlement TV | |
Settlement Vega | Change in the price of the Call or Put Option for every 1% change in the volatility of the underlying Futures contract calculated using the settlement prices. |
Settlement Vol | Settlement volatility value, which indicates volatility calculated per strike using settlement prices. |
Std. Dev | |
Strike | Strike price for the options instrument |
TT Delta | |
TT Gamma | |
TT Rho | |
TT Theta | |
TT TV | |
TT Vega | |
TT Vol | |
Underlying Ask Px | Best ask price of the underlying instrument |
Underlying Bid Px | Best bid price of the underlying instrument |
Underlying Px |