The Skew Analysis Report takes the information from the market and displays the most recent data including the most current (at the report date) volatility curve for that expiry,
Skew plot We plot the skew for each contract month, taking care to mark out thestandard deviation levels. Some levels may not have a traded strike associated with them we show the nearest traded strike.
Description 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 left in the life of the contract as well as the date of the analysis.
σ Standard Deviaton Levels is the summary of implied volatility as well as the actual strikes closest to the stylized -1.5 σ, -1.0 σ, -0.5 σ, 0.5 σ, 1.0 σ, 1.5 σ 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 Calls Summary takes the volume over the day shows the top trades by strike. Trading activityis an indicator of what levels the market for the underlying will gravitate to.
Most Actively Traded Puts Summary takes the volume over the day shows the top trades by strike. 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 into what 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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