Top menu contains portfolio metrics:
- Theoretical profit and loss calculated as a net of all contracts/securities marked to theoretical (‘fair’) prices.
- MTM PnL
- Mark-to-market profit and loss calculated as a net of all contracts/securities market to market prices.
- Cumulative delta of all contracts/securities.
- Cumulative gamma of all contracts/securities.
- Cumulative vega of all contracts/securities.
Options chain area takes the most screen estate. Each expiry has a header with a few main indicators:
- Expiry Date
- Expiration date in YYYY-MMM-DD format.
- Days To Expiry
- Number of calendar days to expiration date.
- ATM Forward
- Forwards price of underlying security at expiration date.
- ATM Volatility
- Fitted volatility at ATM Forward price.
Options chain table for an expiry has the following columns:
- Volume and price of a quote submitted on bid side (e.g. buy limit order). If there is more than one quote on bid side then the closest quote to the market will be shown (the one with the highest price). Quotes on the same price level will be shown as a quote with cumulative price.
- Market bid volume.
- Market bid price. The bid price is highlighted if the contract is bid over theoretical price.
- Theoretical price as calculated by pricing model.
- Market ask price. The ask price is highlighted if the contract is offered under theoretical price.
- Market ask volume.
- Volume and price of a quote submitted on ask side (e.g. sell limit order). If there is more than one quote on ask side then the closest quote to the market will be shown (the one with the lowest price). Quotes on the same price level will be shown as a quote with cumulative price.
- Current position for a security including cumulative volume and average price. Positive volume is net contracts bought and negative volume is net contracts sold. E.g. -email@example.com means that there are 10 contracts sold at average price of 10.25.
- Fitted volatility as provided by a volatility model.
- Implied volatility calculated using the bid price of ATM (At-The-Money) or OTM (Out-of-The-Money) contract.
- Implied volatility calculated using the ask price of ATM or OTM contract.
- Delta of an ATM or OTM contract as calculated by a pricing model using fitted volatility.
- Gamma of an ATM or OTM contract as calculated by a pricing model using fitted volatility.
- Vega of an ATM or OTM contract as calculated by a pricing model using fitted volatility.
- Strike price of a call and put. An ATM strike is highlighted with red and a red line is placed between strikes where the current ATMF (At-The-Money Forward) price is.
The area to the right shows fitted volatility curve with market prices converted to implied volatilities. Bid implied volatility is shown as a blue dot and ask implied volatility is shown as a red dot.
On top of expiry chain is the area with futures contracts for an underlying. There can be one or multiple futures for an underlying. Expiry Date column contains the expiration date for a future and the rest of the columns are the same as for options.
Click on a bid or ask price to bring up the Trade dialog or CTRL+click to immediately fill 1 contract of corresponding security.
At the bottom is the panel with the strategies which are either currently running or finished. Every strategy has it’s own identifier which is shown to the left of a strategy box following the name of the strategy. A strategy can be cancelled by clicking on Cancel button. All pending orders will be pulled from market and the strategy will be forced to go into finished state. The position which the strategy already got into before cancellation will remain. The Complete button forces a strategy to cross the market and fill all the outstanding volume immediately. This function can be used to quickly complete the strategy if market prices are favourable and a trader doe not want to wait until all the quotes are filled.
Security (instrument) name is constructed of <Underlying>-<Expiry Date>-<Strike>-<Right> ( E.g. K200-14NOV13-280.00-C).
Available semi-automatic strategies:
- Provide liquidity by submitting and managing limit orders. Set the price away from market and ensure an order does not cross the spread even if a quote is on the favourable side of theoretical value. E.g. theo is 0.21 and quoting offset is 0.02. If market is 0.15/0.18 a buy order will be posted at 0.17 which corresponds to the offset of 0.04, not at 0.19. Please note that the algo does not guarantee that an order will not cross the spread as it won’t be able to counteract a market move faster than a broker/exchange connection latency. See details on quoting algorithm in the following section.
- Same as Quote except in this mode the algo allows an order to cross the spread. E.g. theo is 0.21 and quoting offset is 0.02. If market is 0.15/0.18 a buy order will be posted at 0.19 and most likely will be executed immediately.
- Send a Fill-And-Kill order (emulated as Insert Order following a Delete Order when FAK orders are not supported) to snap an opportunity. E.g. we are buying 5 contracts, theo is 0.21 and sniping/hitting offset is 0.02. If market is 0.15/0.20 the ask side is an opportunity but it won’t be traded as it is below the offset. If market moves to 0.15/0.19 a FAK order will be sent to trade 5 contracts at 0.19.
- Hedge Vega
- Used with conjunction with other algorithms like Quote or Snipe. The hedging algo will monitor cumulative Vega of a strategy’s position (not portfolio Vega) and send orders to hedge Vega using selected security. The hedger will respect the number of contract entered and won’t trade more contracts than specified even if there is some unhedged Vega. All hedging algos use hedging offset which controls aggressiveness. Zero offset means the volume to hedge will be quoted at theoretical value rounded to the nearest tick in the direction of executable side of the market. The more the offset is the faster a hedging order will be executed. E.g. we need to sell 10 contracts to hedge a position, theo is 0.552 and market is 0.53 / 0.57. A hedging order to sell 10 will be posted at 0.55 if the offset is 0. If offset is 0.02 then an order will be posted at 0.53 and most likely will be executed immediately.
- Hedge Delta
- Same as above but uses cumulative Delta of strategy’s position to hedge.
- Hedge 1:1
- Hedges every bought contract with selling a contract and sold contracts with buying. Can be used to trade Vertical Spreads.
- Just hit the market no matter what the price is. Use with caution.
Positive volume in the Trade dialog indicate intention to buy, negative volume - intention to sell.