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Page Revision: 2016/08/05 06:43

1. Offset Centering of Sheet: Offset the centering of the sheet by a number of strikes for this month when clicking the 'center the sheet' button on the option sheet window.
2. Allow Manual DTE:Allow the DTE for this month to be set manually. This overrides any other DTE calculation for this month.
   The back color of the DTE turns green on the sheet

   Also Known As:

   DTE = Days to expiration.
   DTE = Days to expiry.
   <
   Manual DTE: Set the DTE manually.
3. Upside: Set the amount of change for the upside skew to evaluate different skew risks .
   • Upside Skew = strikes above the floated base futures price

   Example: value of .001

   • Upside Skew Risk $ = the profit or loss in dollars if the skew changes by .001
   • Upside Skew Risk Delta = the change in delta if the skew changes by .001
   • Upside Skew Risk Vega$ = the change in vega if the skew changes by .001
4. Downside: Set the amount of change for the downside skew to evaluate different skew risks.
   • Downside Skew = strikes below the floated base futures price.

   Example: value of .0005

   • Downside Skew Risk $ = the profit or loss in dollars if the skew changes by .0005
   • Downside Skew Risk Delta = the change in delta if the skew changes by .0005
   • Downside Skew Risk Vega$ = the change in vega if the skew changes by .0005
5. Heat Map Edge Method: Choose the method for the heat map to be applied to this month.

   Configure:

   Based on:
   • Volatility
   • Volatility by side = bid side in volatility and offer side in volatility.
   • Ticks
   • Ticks by side = bid side in ticks and offer side in ticks
6. Enable Range of Edge Levels: Enable (checked) the ability to set a range of edge levels for this month and the display for the heat map will use a graduated heat map. If unchecked = single edge level and displays a single shade of color.

   Configure:

   Choose between:
   • Set single edge level: displays a single shade of color.
   • Set range of edge levels: uses graduated shades of a color for the heat map.

   Details:

   • Definition of graduated shades of a color for the heat map: Creates a different shade of the backgrgound color based on the edge's value in the edge's range. The lowest shade indicates the starting edge level has been violated. The highest shade indicates the edge level has been violated.
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