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 firstname.lastname@example.org with any questions you might have regarding technicalities, client use cases, etc. Visit the Nth Moment website or VolLevels Algo video for more information.
VolatilityLevels_UserGuide.pdf(PDF 1947269 bytes)
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.
Remember that in Metro NOW, dashboards and widgets can be utilized in both OnRamp and Metro clients.