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Page History: Volatility Tab

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Page Revision: 2016/08/08 08:22

1. Base Skew's Futures Price: The futures price with which the base vols associate.

   Also Known As:

   Vols = Volatility.
2. Disable Auto Update Base Skew's Futures Price: Disable the base futures price from being automatically updated when using any of the fit or adapts methods.
3. Float Rate: The volatility skew float rate. This describes the rate at which the skew moves relative to the futures movement.

Details:

0 = fixed
1 = 100% float
Max = 2(200%float)
Float rate can be set negative
4. Volatility Creation Method: click in the value area to choose the method for creating volatilities.

   Descriptions:

   Volatility per strike: Input a volatility on a per strike basis.
   Multiple slopes: Create multiple skews between multiple strikes.
   Standard deviation: Uses a DTE standard deviation skewing method. Input Volatility at standard deviation points.

   Comments:

   Volatility per strike: Select a fit method to build or rebuild the skew.
   Multiple slopes: Select an adapt method to rebuild the skew.
   Standard deviation: It is pro-rated based on the DTE. The adapt method can be used to build and manage the skew.
   Both the fit and adap methods are found on the right hand side of the window under the fit category and can be used to build and manage the skew.
5. Draw Skew Method: The method for drawing the skew. The skew can go through all volatility points or smoothed.

   Details

   Thru Base Vols: The skew will be drawn through every know base volatility Point.
   Smooth Base Vols: The skew will be smoothed using all know base volatility points. The skew may not go through all strikes base volatility due to smoothing of the volatilities.

   Comments

   Base vols: The volatility of a strike associated with the base skew futures price.
   Base vols are found in the strike volatilities.
6. Smooth Volatility Method: Smoothing all Strikes volatility points. Note: The skew man not go through all strikes volatility.
7. Max Curves:
8. Strikes Volatilities:
9. Min Ticks: Set the number of ticks to ignore when using a fit method.
10. Change with Vol change: Change the minimum and maximum volatility when all volatilities are changed.
11. Max volatility: Set the minimum volatility for this month.
12. Min Volatility: Set the minimum volatility for this month.

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