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:

• 1. Domestic rate, % – value by default = 0; step = 0.01.

  2. 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 buttonto 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.