Volatility Levels

The VolLevels algo is a critical analysis tool for options traders using Exegy’s Metro platform. The VolLevels algo condenses important volatility trading information into nine separate grids: “Changes By Delta”, “Changes By Strike”, “Changes By Sigma”, “Current Vols”, “Relative Value By Delta”, “Relative Value By Sigma”, “Skew & Kurtosis”, “Butterflies”, and “Trade Performance”. The three “Changes By” grids provide insight into net changes in IV, as well as the high/low in net changes, from floating (delta), sticky (strike), and standardized moneyness (sigma) perspectives.

The two “Relative Value” grids allow comparisons across the term structure by displaying the IVs as ratios. The “Skew & Kurtosis” grid displays six different metrics quantifying the volatility surface. The “Butterflies” grid displays IV info on ten predefined butterflies across the term structure. The “Trade Performance” grid displays live metrics on individual intraday trades, including live IV, live P/L $ values, and live closing edge. The “Trade Performance” grid can be customized with nine optional settings.

Range tracking (intraday high/low) is provided for many metrics in the grids. The algo can monitor both monthly and weekly options in any number of products. The information provided is critical to avoiding poor trades that might otherwise appear superficially attractive, and consistently identifying profitable trades with quantitative confirmation from multiple perspectives. The VolLevels algo is compatible with any vol curve type(s) and can monitor vol curves updated either manually or automatically. It is the perfect complimentary tool to use in conjunction with our revolutionary realtime curve fitting tool: the Dynamic Skew algo. With a constant IV data stream generated by the Dynamic Skew algo, the VolLevels algo can realize maximum potential with the highest resolution of IV. A special bundled price discount is available to users who license both the VolLevels algo and the Dynamic Skew algo: the VolLevels algo can be licensed at a 50% reduced price ($300/month) in this scenario.

Please feel free to contact the developer at kevin@axonetric.com with any questions you might have regarding technicalities, client use cases, etc.

Play the video below to see the widget or algo in action. Metro NOW gives widgets the ability to work in a similar behavior across several asset classes or exchanges. This keeps usability consistent and promotes high application stability.

All of the variables below can be configured or modified at runtime. This gives users the power to modify their job behavior throughout the day without having to make code changes.

Name	Type	Default	Description
options	instruments		the options expirations to monitor
verbosity	int	1	log detail level: 0=Minimal, 1=Basic, 2=Full, 3=Debug
delta_points	string	35,25,15,5	comma-separated list of 4 descending deltas
sigma_points	string	0.5,1.0,1.5,2.5	comma-separated list of 4 ascending standard deviations
sigma_points_calc	int	0	0=normal (standardized simple moneyness), 1=lognormal (standardized log moneyness)
vol_change_units	int	0	0=100*decimal vol, 1=equivalent ATM ticks
RESET	boolean	false	clear all saved info from the database
REQTRD	boolean	false	require at least one futures or options trade before vol curve tracking begins
REQOTRD	boolean	false	require at least one options trade before vol curve tracking begins
debug_flags	string