Overview
The Option master panel shows detailed information about options, allows to analyze it and then to trade with selected option contracts.
To open a new Option master panel go to Terminal - > Option master.
Level 1 symbol data:
Level 1 data information of the symbol that underlies the option contract was gathered in this block. This block can be easily customized through the Context menu.
Account and symbol lookups:
Here user can select an instrument that underlies the option which user is going to analyze; and also account for trading from Accounts lookup.
Settings:
Clicking on the button
calls the dialog window Option master – settings. This block allows specifying general settings of the Option master panel. General settings tab is divided into three sections: General, Analyzer and Volatility lab.
General:
The section General has the following options:
Pricing model – shows a price model, which will be used for calculation (currently Black-Sholes model is only available).
Interest rate, % – allows selecting interest rate.
IV calculation price – allows selecting price for IV value calculation from the drop-down list. The following values are available here: Ask, Bid, (Ask + Bid)/2 and Last.
Show toolbar – allows showing toolbar.
Option chain:
Strikes aggregation style – allows selecting style of strikes count from the drop-down list. There are two available styles:
From ATM strike – strikes are counted from the ATM strike, this is the default style of strikes aggregation;
Custom underlier price – allows choosing custom underlier price.
Coloring method – allows selecting coloring scheme for Option chain tab: Classic or Historical volatility.
If coloring method is Classic, the following options can be selected:
In-the-money color – allows selecting 'In the money' color.
Out-the-money-color – allows selecting 'Out the money' color.
If coloring method is Historical volatility, the following options can be selected: Current HV, % – shows current level of the historical volatility for the underlier (Min = 0, Max = 1000, Step = 0.1). Pressing the button
allows to reset custom value of the historical volatility to the calculated value from the symbol chart by the selected price type (described below).
Price – allows specifying the underlier price from which sought values Std. and 2*Std. will be plotted. The following prices are available here: Last, (Bid + Ask)/2, OHLC/4 and OHL/3.
ATM strike color, Std. color, 2* Std. color – standard setting for color selection.
Coloring logic
ATM strike color – it is a strike or 2 strikes, which are more closely located to the Last price of the underlier.
Std.1 = Price * (1-HV/SQRT(365)*SQRT(T);
Std.2 = Price * (1+HV/SQRT(365)*SQRT(T)), where T is quantity of days remaining before the contract expiration.
All strikes inclusively, which fall within the range from Std.1 to Std.2, should be painted in the Std. color.
2Std.1 = Price * (1-2*(HV/SQRT(365)*SQRT(T));
2Std.2 = Price * (1+2*(HV/SQRT(365)*SQRT(T))), where T is quantity of days remaining before the contract expiration.
All strikes inclusively, which fall within the range from 2Std.1 to 2Std.2, should be painted in the 2*Std. color. Coloring of Std.color
occurs over 2*Std.coloring.
Analyzer:
This tab allows specifying colors and style for displaying the main lines of the option position profile:
Intrinsic – color, shape and thickness of the option intrinsic value line;
Time line - color, shape and thickness of the option time line;
Zero line - color, shape and thickness of the zero line;
Underlier price – color, shape and thickness of the line that indicates the underlier price.
Probability simulations:
Simulation model – available states: By absolute prices (default value), By relative prices and By logarithmic prices.
Simulation examples – (Min = 100, Step =1, Default value = 1000, Digits = 0).
Probability scenario – available values: One touch (default value) and Out of range.
History Period, year – allows selecting a history period.
View:
Coloring method – allows selecting coloring scheme for Analyzer tab: Historical volatility or None. Current HV, % – shows current level of the historical volatility for the underlier (Min = 0, Max = 1000, Step = 0.1). Pressing the button
allows to reset custom value of the historical volatility to the calculated value from the symbol chart by the selected price type (described below).
Price – allows specifying the underlier price from which sought values Std. and 2*Std. will be plotted. The following prices are available here: Last, (Bid + Ask)/2, OHLC/4 and OHL/3.
Standard deviation color, 2 Standard deviation color – standard setting for color selection.
Volatility lab:
The section Volatility lab allows to set up parameters of the Volatility lab tab of the Option master panel.
This section contains the following options:
Basis – allows selecting Strike prices or Delta from the drop-down list.
Vanna-Volga model:
Underlier price – allows selecting Forward price or Current last price from the drop-down list. In case the Forward price is selected, the following options are enabled for editing:
Domestic rate, % – value by default = 0; step = 0.01.
Foreign rate, % – value by default = 0; step = 0.01.
The following options also can be set up:
ATM strike price – at the money option's strike price;
ATM IV, % – at the money option's implied volatility;
Call strike price – some call option's strike price;
Call IV, % – implied volatility of selected call option;
Put strike price – some put option's strike price;
Put IV, % – implied volatility of selected put option.
Info Window:
Visibility:
Info Window Mode – allows selecting Separate Window, Attached to Cursor or Hidden from the drop-down list.
Activate short mode – allows activating short mode.
View:
The following options can be activated: Intrinsic P/L, P/L, Delta, Gamma, Vega, Theta, Rho, What if.
Colors:
The style of a font can be selected.
Positions/Orders information: this block shows all information about positions, orders and 'test on paper' results.
Panel navigation: use this block in order to manage tabs of Option master panel.
Info panel: click on the button
to enable/disable the information panel displaying.
This panel consists of 3 logical blocks:
Current portfolio – displays total margin requirement by portfolio of actually existing positions.
Portfolio + Analyzed paper positions – displays margin requirement changing in the case of adding "paper" positions to the portfolio.
Portfolio greeks – shows total "greeks" value by current portfolio.
Greeks – are the coefficients which used for the characteristics of option cost (premium) sensitivity to the changing of various values: Delta, Gamma, Vega and Theta.
Delta – is the first derivative of the option price by the underlier price; shows how option price will be changed in points, if the underlier price changes by 1 point.
Gamma – is the second derivative of the option price by the underlier price; shows the rapidity of the option delta change.
Vega – is the first derivative of the option price by volatility; shows how option price will be changed in points, if the volatility changes by 1%.
Theta – is the first derivative of the option price by time; shows how the option price will be reduced after one day.
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