When creating filters, you can use the following parameters in a rule.
| Parameter | Description |
|---|---|
| Active Delta | 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 | Delta value calculated based on the implied volatility derived from the options Ask price. |
| Ask Implied Gamma | Gamma value calculated based on the implied volatility derived from the options Ask price. |
| Ask Implied Rho | Rho value calculated based on the implied volatility derived from the options Ask price. |
| Theta Implied Theta | Delta value calculated based on the implied volatility derived from the options Ask price. |
| Ask Implied TV | Theoretical value calculated based on the implied volatility derived from the options Ask price. |
| Ask Implied Vega | Vega value calculated based on the implied volatility derived from the options Ask price. |
| Ask Implied Vol | Implied volatility derived from the options Ask price. |
| Atm Vol | At-the-money volatility |
| Bid Implied Delta | Delta value calculated based on the implied volatility derived from the options Bid price. |
| Bid Implied Gamma | Gamma value calculated based on the implied volatility derived from the options Bid price. |
| Bid Implied Rho | Rho value calculated based on the implied volatility derived from the options Bid price. |
| Bid Implied Theta | Theta value calculated based on the implied volatility derived from the options Bid price. |
| Bid Implied TV | Theoretical value calculated based on the implied volatility derived from the options Bid price. |
| Bid Implied Vega | Vega value calculated based on the implied volatility derived from the options Bid price. |
| Bid Implied Vol | Implied volatility derived from the options Ask price. |
| Buy Edge | Difference between best ask and the theoretical value |
| DTE | Number of days until the options instrument expires. |
| Expiration Type | Type of expiration, such as monthly or weekly. |
| Market Ask Px | Best ask price of the options instrument. |
| Market Ask Qty | Quantity available at the best ask price of the options instrument. |
| Market Bid Px | Best bid price of the options instrument. |
| Market Bid Qty | Quantity available at the best bid price of the options instrument. |
| Mid Implied Delta | Delta value calculated based on the implied volatility derived from the midpoint of the implied Bid and Ask prices. |
| Mid Implied Gamma | Gamma value calculated based on the implied volatility derived from the midpoint of the implied Bid and Ask prices. |
| Mid Implied Rho | Rho value calculated based on the implied volatility derived from the midpoint of the implied Bid and Ask prices. |
| Mid Implied Theta | Theta value calculated based on the implied volatility derived from the midpoint of the implied Bid and Ask prices. |
| Mid Implied TV | Theoretical value calculated based on the implied volatility derived from the midpoint of the implied Bid and Ask prices. |
| Mid Implied Vega | Vega value calculated based on the implied volatility derived from the midpoint of the implied Bid and Ask prices. |
| Mid Implied Vol | Implied volatility derived from the midpoint of the implied Bid and Ask prices. |
| Put/Call | Whether the instrument is a put or call option. |
| Sell Edge | Difference between best bid and the theoretical value |
| Settlement Delta | Delta value calculated based on the implied volatility derived from the options settlement price. |
| Settlement Gamma | Gamma value calculated based on the implied volatility derived from the options settlement price. |
| Settlement Rho | Rho value calculated based on the implied volatility derived from the options settlement price. |
| Settlement Theta | Theta value calculated based on the implied volatility derived from the options settlement price. |
| Settlement TV | Theoretical value calculated based on the implied volatility derived from the options settlement price. |
| Settlement Vega | Vega value calculated based on the implied volatility derived from the options settlement price. |
| Settlement Vol | Settlement volatility value, which indicates volatility calculated per strike using settlement prices. |
| Std. Dev | Theoretical probability of the underlying expiring above or below a strike price. |
| Strike | Strike price for the options instrument. |
| TT Delta | Delta value derived from the TT-calculated volatility. |
| TT Gamma | Gamma value derived from the TT-calculated volatility. |
| TT Rho | Rho value derived from the TT-calculated volatility. |
| TT Theta | Theta value derived from the TT-calculated volatility. |
| TT TV | Theoretical value derived from the TT-calculated volatility. |
| TT Vega | Vega value derived from the TT-calculated volatility. |
| TT Vol | |
| Underlying Ask Px | Best ask price of the underlying instrument. |
| Underlying Bid Px | Best bid price of the underlying instrument. |
| Underlying Px | Midpoint of the best bid and ask prices of the underlying instrument. |