Volatility Levels

by Axonetric
Analytics $500/month

The VolLevels algo is a critical analysis tool for options traders using Vela’s Metro platform. The VolLevels algo clearly condenses important volatility trading information into seven separate grids: “Changes By Delta”, “Changes By Strike”, “Changes By Sigma”, “Current Vols”, “Relative Value By Delta”, “Relative Value By Sigma”, and “Skew & Kurtosis”. 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 delta and sigma points are user-defined and both normal and lognormal sigma calculations are supported. Two different overwritable slots are available for the reference curves: EOD (End Of Day) and Baseline. Changes in IV can be displayed in either raw IV (%) units or in equivalent ATM tick units, which can be toggled on-the-fly.

The two “Relative Value” grids allow comparisons across the term structure by scaling IVs by the ATM IV of each expiration. The “Skew & Kurtosis” grid displays six different metrics quantifying the volatility surface. Importantly, range tracking (intraday high/low) is provided for nearly all metrics in every grid. 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 confirmed by hard data 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 volatility. 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 ($250/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. Visit https://nthmoment.com/ and https://www.youtube.com/watch?v=fYbzUWfOboo for more information.

Video

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.

Configuration Options

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.

NameTypeDefaultDescription
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
debug_flagsstring

Screenshots

Remember that in Metro NOW, dashboards and widgets can be utilized in both OnRamp and Metro clients.

Volatility Levels by Axonetric

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