The Last Few Days Report takes the information from the market and displays a summary of what has happened in the previous few days (the default is 5). The report shows the evolution of the volatility curve, where the starting and ending curve are bolded, while the intervening curves are shown as thinner "ghost" plots. The curves are generated in triplicate in order to visualize the movement of the curve under sticky strike, stick moneyness and sticky delta assumptions.
Skew plot We plot the skew for each contract month as well as the ones for the previous days. The shape of the skew can often inform the observer of changes in the tone of the market. Big changes in the wings or slope are a sign that the market perceptions are changing.
Contract Summary is the block of text which informs the user of the contract name, the expiration date, the total number of puts and calls traded, the number of trading days covered in the analysis, the starting price/value of the underlying, then ending value and whether we are viewing the skew movements under a sticky delta or sticky moneyness regime.
Δ Volatility Summary is the summary of implied volatility as well as the actual strikes closest to the stylized 15, 20, 25, 40, 50, 60, 75 and 85 Δ options. This shows the starting values for strike and vol followed by the ending values of those items. This complements the graphical plot as it is more precise. Note that in some cases, there may not be a 15 or 85 Δ option.
Call Open Interest Summary takes the calls with the largest open interest at the beginning of the periodand at the end of the period. By noting the changes in the strikes present, the observer can be informed of changes in the market's perception of future returns.
Put Open Interest Summary takes the puts with the largest open interest at the beginning of the periodand at the end of the period. By noting the changes in the strikes present, the observer can be informed of changes in the market's perception of future returns.
Most Actively Traded Summary takes the volume over the period and totals up the trade by strike and instrument type. Trading activityis an indicator of what levels the market for the underlying will gravitate to.
Anyone who manages a position whether financially or physically needs a view to the market. These reports provide a very condensed view intowhat can be an intimidating jumble of numbers and figures.
Models are typically driven by market convention, with some flexibility. If an underlying is a future, then the default model is Black's model.Additionally, we offer BaroneAdesi as a more correct approximation in order to deal with the early exercise feature in most futures options. If the underlying is a cash security, then BlackScholes is assumed with the cost of carry estimated from the at the money options. For some STIRs options, we offer Bachelier model greeks and the ability to use a "yield based" version of Black Scholes.
The user can choose between a Business day or Actual (calendar) day calendar. Some calenars, like those of the Chinese markets, are too difficult to predict so we allow only Actual days. Some crypto markets are continuous so there is no real concept of the "Business day". We use an actual day calendar.
We can take all expiries in the generation of the report or a few. You decide.
You choose which products over which this report is generated.
Do you need a history? How far back do you want to see these reports?
The first step in getting the ball rolling is to contact us using our form.
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