Vol Curve Manager overview
The Vol Curve Manager displays multiple volatility curves for an options expiration and gives users the ability to create their own volatility curve. The graph displays the implied volatility for the bid price, for the ask price and for the previous day's settlement. TT automatically fits a curve using that data and gives users the ability to fit their own curve using a number of pivot points. Additionally, users can view how the fitted volatility curve has changed over the course of the previous trading day.
The following volatility values are calculated and displayed in the Vol Curve Manager and Options Chain based on the volatility curve:
- TT-calculated volatility — Fit vols calculated by TT, but can be modified by a user in the Vol Curve Manager. By default, this vol is used for calculating theoretical call and put values.
- User volatility — User vols are entered via the Vol Curve Manager, which fits the curve to the control points on the volatility curve. The user volatility values are calculated as a result of the fitting process. If a user vol is calculated, the value is used for calculating theoretical call and put values.
- Implied volatiltiy — Calculated using the midpoint of bid and ask prices.
- Settlement volatiltiy — Calculated per strike using settlement prices.