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. |