CommodityVol.com is pleased to offer a set of customizable reports driven by our data. The reports are initially being offered as a Portable Document Format (pdf) file sent via email to the recipient.
In order to start the report service we ask that prospective and current clients use the link. Someone on our staff will contact the client to work out details of what products, time periods and other parameters to use in your report. Once the details are specced out, our system will send you periodic emails (daily, weekly) with your reports.
Some real examples of the reports can be found here.
More detail on the reports can be found by following the links below:
The option greeks are typically used as risk parameters in option trading. However, if one takes the open interest of each option and multiplies it by its unit greek, then the option greeks serve as an indicator of the price levels where traders are likely to be active. This report can be delivered daily. Read More
The "Last Few" Days Analysis is a report which takes a given product and show how the market has changed over the last few days. Specifically, it shows graphically the way in which the skew has changed. It shows in tabular form the change in volatility for a few key deltas. Next, the report lists the open interest at the start of the period and the same for the end of the period. Finally, the largest traded puts and calls are shown (for the elapsed period). Read More
The "Skew Analysis Report" takes the information from the market and displays a plot of the expiry's volatility curve. In addition to the volatility data plot is enriched with markers for the -1.5 σ, -1 σ, -0.5 σ, ATM, 0.5 σ, σ, 1.5 σ strikes. Market participants often reference such levels in determining what extremal moves look like.