Skip to main content

The VolLevels algo is the perfect complimentary tool to use in conjunction with our revolutionary realtime curve fitting tool: the Dynamic Skew algo (DSA). With a constant IV data stream generated by the DSA, the VolLevels algo can realize maximum potential.

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. Changes in IV are taken from one of two possible reference curves, and can be displayed in either raw IV (%) units, equivalent ATM tick units, or vega $ premium units.

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 VolLevels algo can also be licensed with an optional Market Data Recording (MDR) component that allows the algo to operate on much longer time scales (in conjunction with the DSA algo). The MDR component stores IV (at various delta points and constant maturities) and underlying data on 10-minute intervals.

This allows computation of IV z-scores, IV RSI, and realized volatility [close-to-close, Parkinson, and Yang-Zhang] over longer lookback periods (up to 20 trading days).

The MDR component also allows calculation of the closely followed Volatility Risk Premium, and sophisticated leading indicators of volatility, such as VPIN, Hurst Exponent, and vol of vol. These metrics can help traders anticipate underlying trend reversals and significant moves in volatility.

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

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.

optionsinstrumentsthe options expirations to monitor
verbosityint1log detail level: 0=Minimal, 1=Basic, 2=Full, 3=Debug
delta_pointsstring35,25,15,5comma-separated list of 4 descending deltas
sigma_pointsstring0.5,1.0,1.5,2.5comma-separated list of 4 ascending standard deviations
sigma_points_calcint00=normal (standardized simple moneyness), 1=lognormal (standardized log moneyness)
vol_change_unitsint00=100*decimal vol, 1=equivalent ATM ticks
RESETbooleanfalseclear all saved info from the database
REQTRDbooleanfalserequire at least one futures or options trade before vol curve tracking begins
REQOTRDbooleanfalserequire at least one options trade before vol curve tracking begins

More About Exegy

Related Resources

New record set by Exegy & AMD with up to 49% faster tick-to-trade execution using an off-the-shelf solution in latest STAC benchmark

The new benchmark for trade execution latency of 13.9 nanoseconds is less time than it takes light to travel through 3 meters of optical fiber.* 27 June 2024: Exegy, a…

Exegy leadership post FI logo

Exegy Triumphs in 2024 Excellence in Customer Service Awards

We, at Exegy, are thrilled to announce our recent achievements in the 2024 Excellence in Customer Service Awards, presented by Business Intelligence Group. We’re honored to announce that we’ve been…

Exegy Enhances Iceberg Order Detection Tool with Intraday Data

St. Louis, New York – Feb 29th, 2024 – Exegy, a leading provider of market data and trading technology for the capital markets, today announces the addition of intraday signals…