Documentation – RiskEdge

Welcome

Welcome to RiskEdge

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Getting Started

Getting Started with RiskEdge

As an enterprise reporting tool, RiskEdge offers you tremendous potential to create your own custom environment, but the system also offers a standard set of screens and reports. The screens available appear on the View Menu, while the reports appear under View and Reports. As you open each screen or report it appears as a tab on the top of the RiskEdge Window:

Click each tab to display the values assigned to the screen or report.

The screens that you can access from the View Menu are standard for every RiskEdge user, but the reports available from View/Reports will vary from one installation of the product to another.  If you would like to be able to access additional RiskEdge reports, please contact your RiskEdge representative

 

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Frequently Asked Questions

Frequently Asked Questions


 

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Finding Your Way Around

Using the Menus

Use the menus on the top of the RiskEdge Window to select screens and reports to view.

All of the basic features in RiskEdge are accessed through the menus.

 

File Menu

Click File to export all of the data in RiskEdge to a Snapshot.

From the File Menu, you can click Bring all windows to the front.  If you have a crowded desktop and a variety of windows open with RiskEdge, this will bring all of them out of hiding from behind other windows, and display them in front of you.

 

View Menu

Click View to select a Screen or Report to display in your RiskEdge window.

 

Tools Menu

Click Tools to display the Carry VolOverride tool.  This report allows you to edit the Carry Volatility, Exit Volatility, and Origination Date for a position shown on the Risk Monitor Report.

 

System Menu

Click System to do Active Tracking.  This utility links RiskEdge to VolEdge.

 

Scenarios

Click Scenarios to display a list of reports related to scenario analysis of your portfolio.

 

User Reports

Click User Reports to generate the Tv Ratio or the Hedge Report.

The User Reports allow you to select position records for display using the Position Navigator, like the Position Summary Screen.

 

VolEdge Menu

Click View to access the VolEdge Reports, as well as access the List Management Window, the Strategy Editor, the Volatility List Editor, and the Volatility List Symbol Editor.

 

Tabs Menu

Use this menu as an alternate way to display the names of the reports and screens you currently have open in RiskEdge.  This is helpful if you have 10 or 15 or more reports open at the moment.  Rather than scrolling from left to right to find the report tab you want, click Tabs to display them as a drop down list, and select one from there.

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Using the Position Navigator

Note the viewing tool on the left side of the screen:

This is the Position Navigator. Use this tool to very quickly find just the record you want to look at in RiskEdge.

Suppose you know exactly what position you want to see, and you want to find it right now:

  • You want to see a Trade Summary for Amazon stock and options contracts in your portfolio for the current day
  • Or you want to check the positions in Technology stocks for one of the traders in your group on the Trade Summary
  • Or you want to see which options contracts are due in expire in June for your Energy stocks, using the Pin Risk Screen

You can open the Trade Summary or the Pin Risk and scroll through them until you find the position or positions you are looking for. But, that takes time. And if you are looking for a group of position records they might not appear together right away, depending on how the records on the screen are sorted.

Instead, you can click through a built-in tree view called the Position Navigator to quickly track down the records you want.

You can sort the records by:

  • Account
  • Account and Expiration Date
  • Underlying Stock
  • Expiration Date
  • Position
  • Trader
  • Trader and Expiration Date
  • Trader and Sector
  • Sector
  • Sector and Expiration Date
  • Sector and SubSector

Let’s say you want to find all of the options contracts for Basic Materials set to expire in August for trader JB. So you start by selecting Trader/Expiration Date:

Select  JB-BDM and then click August.

RiskEdge immediately finds the positions set to expire in August and displays them for you, on any of the screens or reports that you have open.

From there you can click ESI.FTO001 to find the position ITT Educational Services (ESI). Note that the position is highlighted at the middle of the screen:

Or you can click  to go to a view of the same position on the Trade Summary Screen:

 

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Using the Quick Search Tool

If you already have a Screen or Report window open, you can use this tool to easily find the position you want on that window.

Simply start typing the symbol and account, anywhere on the window. With the first character you type, a box appears:

Finish typing the ticker symbol, or the symbol/account value:

Press the Enter key. The screen scrolls directly to the position record you are looking for.

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Working with System Data

Exporting Data

Copying a Snapshot of all of your RiskEdge Positions

Use the Snapshot feature to copy all of the data currently presented in RiskEdge to a single MS Excel Spreadsheet

Click File and then Save Snapshot or Save Complete Snapshot. A file dialogue appears.

Type a name for the spreadsheet file and select a directory to store it.

The Snapshot is a smaller version of the Complete Snapshot. Both spreadsheets have three tabs:

  1.  This spreadsheet tab includes a single row. Totals for each heading appear for every position that you manage in RiskEdge. For example, the sum of the Rho value for 1500 individual options contract and equity positions would appear under the Total Rho heading.
  2.  This tab provides a single row with summed values for each business sector. For example all 130 contracts based on stocks in Basic Materials would be summed in a single row.
  3.  This tab provides sums at the level of the individual equity position. Values for an equity holding in NetFlix plus five or six options contracts based on NetFlix shares would be summed in a single line.

The Total and Sector Total tabs provide the same set of headings. All of these headings are also found on the Position Total tab, though the Position Total includes some additional headings.

Further, all of the tabs and headings found in the Snapshot match those found in the Complete Snapshot.

But the Complete Snapshot includes a fourth tab, the . This tab provides a single line item record for every single equity and options position found in RiskEdge.

Copying Data from a Single Screen or Report

If you want to export only the data shown on a single screen to a file, use the Export feature.

For any of the screens and reports in RiskEdge, except for the Risk Overview, Trade Summary, TV Ratio, and Risk Matrix, you can quickly and easily export the current data shown on any tab you select to an Excel spreadsheet.  And the export doesn’t merely dump the current set of values to a delimited file.  The process allows you to take a picture of the screen, in effect.  The colors and typefaces shown in the rows and columns on your screen are preserved.

The Risk Matrix has its own data export utility.

Open the screen or report you want to export from in RiskEdge and click Export_button.  This is in the upper right corner of the screen.

You will see a file dialog.  Type a name of the file and select the directory to store it.

Using the MS Excel Pivot Table Feature

After you have exported a RiskEdge data to a Microsoft Excel spreadsheet, you might want to use the Pivot Table feature in Excel to manage the data.  The Pivot Table is a popular feature that allows you to quickly reformat and reorganize columns shown.  You can select and click and drag columns as you like.

After you export a report to Excel, open the spreadsheet and click the Insert tab.

Click Pivot_Table_Excel_icon.  When the Create Pivot Table opens, with Select a table or range selected, click OK.

Select the fields to include in the Pivot Table.

Pivot_Table_Field_List

The fields you select appear on the Pivot Table.

Pivot_Table_Result

You can also click and drag column names and arrange them in whatever way you like, creating a custom spreadsheet based on data your export from RiskEdge.

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Sharing Data with VolEdge

RiskEdge and VolEdge are financial reporting tools that are designed to be used together.  If you enable Active Tracking in RiskEdge, when you select a record in RiskEdge, related data for that security will automatically be displayed in VolEdge.

Turning on Active Tracking

1.      From the System menu, clickMenu_System_ActiveTracking  and Menu_System_ActiveTracking_VolEdge.

2.      Click both of the options that appear:

Active_Tracking_03

3.      The first option allows you to send information from RiskEdge to VolEdge.  The second allows you to activate  VolEdge by double clicking on a value in RiskEdge.

4.      After Active Tracking is turned on, the feature is easy to use:

  1. With RiskEdge open, select a position, such as NFX.FTO002 (NewField Exploration).
  2. Open a screen or window that shows result values, like the Risk Overview.
  3. Double click on a result value, such as the pctUch, the percent change in value of a share of the underlying stock for a contract.
  4. Volatility information related to options contracts based on NewField stock appear in VolEdge.

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Working with the Screens

Put Exercise Screen

Click Synchronized_Grouping_button to select Synchronized Grouping. The put contracts shown on the Put Exercise Screen will be sorted by the same method in use on the Position Navigator. If you change the value on the Position Navigator, the sort value on the screen will also change.

For example, if you choose to sort records by Underlying ticker symbol on the Position Navigator, the Put Exercise Screen will sort records by underlying symbols too:

Synchronized_Grouping_Sample_01_Put_Exercise

Click Free_Grouping_button to select Free Grouping.  This allows you to sort the records for put contracts in your portfolio by:

  • Account
  • Underlyer
  • Expiration Date
  • Sector
  • Subsector
  • Trader

With Free Grouping turned on you can sort the records on this screen for your trade group however you like, and independently of the Position Navigator.

Filtering the Records that Appear

Select the Threshold Value to limit the number of contracts that appear.

Put_Contracts_Threshold

The default is .95 delta, so any contracts with an absolute value of delta (positive or negative) of .95 or more appear on the screen.

Click Visualize_button to create a scatter diagram of the data that appears on this report.

To display a position record in the VolEdge system, turn on Active Tracking.

Column Heading Caption Name Description
Account Account Trading Account Most RiskEdge users will have a single trading account at their firms.
Delta rDlt Raw Delta Delta of the options contract, not adjusted for the quantity or shares.  This is the Delta assigned to the individual security.  The Total Delta Value is the Raw Delta times the inventory.  So if the Raw Delta for an equity option is .9, the Total Delta would be 900 if you held 10 contracts.
Position Position Position The symbol of the position, showing the symbol of the underlying stock and the trading account.
Quantity Qty Quantity Total number of put contracts held for this position.
Security Security Security symbol, for options contract This is the ticker symbol for the underlying stock, followed by the expiration date, the strike price, and whether the contract is call or put.
Subsector Subsector Subsector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.

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Trade Summary

You can sort the records that appear on the Trade Summary Screen using the Position Navigator.

Column Heading Caption Name Description
Day DayMM Daily contract value, Mark to Market The Mark to Market P/L for trades executed today.
Day_DollarDelta $Dlt(d) Daily Dollar Delta The Total Delta amount times the share price of the underlying stock but limited to the trading for the current day.  This serves to render the Delta as a dollar value.
Day_TotalDelta tDlt(d) Daily Total Delta Delta of the options contract, adjusted for the quantity or shares but limited to the trading for the current day.  The Total Delta Value is the Raw Delta times the inventory.  So if the Raw Delta for an option is .9, the Total Delta would be 90 if you held 100 contracts.
Day_TotalGamma tGma(d) Daily Total Gamma Gamma of the options contract, adjusted for the quantity of contracts or shares but limited to the trading for the current day.  The Total Gamma Value is the Raw Gamma times the inventory.
Day_TotalTheta tThd(d) Daily Total Theta Theta of the options contract, adjusted for the quantity of contracts or shares but limited for the current trading day.  The Total Theta Value is the Raw Theta times the inventory.
Day_TotalCalcTheta tcTht(d) Daily Total Calculated Theta Time Decay of the option contract for the current trading day and adjusted for the total quantity or shares held.  The Calculated Theta is based on historical values, while the Raw Theta is a projected value returned by the pricing model.
Day_TotalVega tVeg(d) Daily Total Vega Vega of the options contract, adjusted for the quantity of contracts or shares but limited to the trading for the current day.  The Total Vega Value is the Raw Vega times the inventory.
Day_TotalRho tRho(d) Daily Total Rho Rho of the options contract, adjusted for the quantity of contracts or shares but limited to the trading for the current day.  The Total Rho Value is the Raw Rho times the inventory.
Day_TotalTheoEdge tThEd(d) Daily Total Theoretical Edge The total theoretical edge value for the current trading day
ExpDateDisplay ExpDateDisplay Expiration Date Expiration date for options contracts, but shown in a simpler way, such as “October 2011.”  For a contract not due to expire for four months, the field might show the date as simply the month or the month and year, as the exact date of expiration is not relevant so far into the future.
Group Group Trade Group
SDDelta SDDelta Standard Deviation Delta The projected Profit or Loss for the contract if the price of a share of the underlying stock moves by the standard deviation determined from the Implied Volatility level.SDDelta = Total Delta * SDMove
Trader Trader Trader ID Code

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Positions Summary

Select either Expiration Date or Position to sort the records by date or by security.  Then, type the position name in the Position field on the top left side of the window or select the security from the Position Navigator.

In this example the position NFLX.FTO002 is shown, and the stock shares and options contracts held for this position appear sorted by expiration date.

Screen_sample_01_Position_Summary

Click Visualize_button to create a scatter diagram of the data that appears on this report.

To display a position record in the VolEdge System, turn on Active Tracking

Column Heading Caption Name Description
Ask Ask Ask Price Current ask price for a  contract or share
AvgCost AvgCost Average cost The cumulative net amount spent to buy and sell contracts or shares for this position for the current trading day.
Bid Bid Bid Price Current bid price for a contract or share
CallPutVol CPVol Call or Put Contract Volatility This is the volatility provided to the pricing model to calculate the theoretical value for the option contract.  The system assigns a single volatility value per strike price for all options contracts in a class, both call and put contracts.
ChangeEdge chEdge Change in Theoretical The change in theoretical edge from yesterday to today, using a constant volatility
Close Close Closing Price Price of contract or share at market close
ConstVolEdge cvEdge Constant Volatility Edge The theoretical edge for a contract using today’s trade date but with the volatility held constant from the day before.
Day DayMM Daily contract value, Mark to Market The Mark to Market P/L for trades executed today.
Delta rDlt Raw Delta Delta of the options contract, not adjusted for the quantity or shares.  This is the Delta assigned to the individual security.  The Total Delta Value is the Raw Delta times the inventory.  So if the Raw Delta for an equity option is .9, the Total Delta would be 900 if you held 10 contracts.
DeltaDecay dltDcy Delta Decay The decay in delta from today’s value to the delta calculated by the system for tomorrow, or for the next trading day.  
DollarDelta $Dlt Dollar Delta The Total Delta amount times the share price of the underlying stock.  This serves to render the Delta as a dollar value.
DollarDeltaDecay $dltDecay Dollar Delta Decay The change in the Dollar Delta for a contract from today to the next trading day.  This value parallels the Delta Decay, except that it shows the decay in delta for the position in terms of dollars.
DollarDiff $Diff Dollar Difference The difference in dollars between the strike price on an options contract and the current share price of the underlying stock.  This value shows how close a contract is to being In the Money.
Gamma rGma Raw Gamma Gamma of the options contract, not adjusted for the quantity or shares.  This is the gamma assigned to the individual security.  The Total Gamma Value is the Raw Gamma times the inventory.
HedgePrice hPrc Hedge Price The underlying hedge price for the options class.  In nearly every case the Hedge Price will equal the share price for the underlying stock, because most of the time a contract represents 100 shares of stock.  But the Hedge takes into account corporate actions that can change the ratio of an options contract to the underlying equity, such as a stock split or a merger.
ImpliedVol IV Implied Volatility  
LastSale LastSale Last price Last Sale price for the share or contract
Mark Mark Mark Price Current mark price for share or contract
Net NetMM Net Mark to Market Net Mark to Market profit or loss for all positions, including day trades.
NetUndChange netUch Net Underlying Change The net change in the price of a share of the underlying stock from the previous trading day.
Open OpMM Mark to Market price at market open Mark to Market value for the position held at market open.  This value excludes day trading.
OpeningEdge oEdge Edge price at market open This value excludes day trading. 
PercentDiff pctDiff Percentage Difference The percent difference between the strike price on an options contract and the current share price of the underlying stock.  This shows you how close a contract is to being In the Money.  The value is shown as an absolute value (positive).
PercentUndChange pctUch Percentage Underlying Change The percent change in the value of a share of the underlying stock since the previous trading day.
PnlDelta pDlt Profit/Loss Delta The amount of the Profit/Loss of the position that can be attributed to delta at the market open.   This is calculated by multiplying the change in share price by the position’s delta at market open.
PnlGamma pGma Profit/Loss Gamma

The amount of the Profit/Loss of the position that can be attributed to gamma at the market open.

 

PnlRho pRho Profit/Loss Rho

The amount of the Profit/Loss of the position that can be attributed to rho at the market open.

 

PnlTheta pTht Profit/Loss Theta

The amount of the Profit/Loss of the position that can be attributed to time decay (theta) at the market open.

 

PnlTotal pTot Profit/Loss Total Total theoretical profit/loss for the opening position.  This is the total for all greek values plus day trades.
PnlTrackingError PTrkErr Profit/Loss Tracking Error The difference between the theoretical profit/loss and the net mark to market value.
PnlVega pVeg Profit/Loss Vega The amount of the Profit/Loss of the position that can be attributed to changes in volatility (vega) at the market open.
PrevAsk yAsk Previous Ask Price Ask price at the close of the previous trading day
PrevAvgImpliedVol yaIV Previous Average Implied Volatility Average implied volatility for the previous trading day, across all calls and puts for a strike.
PrevBid yBid Previous Bid Price Bid price at the close of the previous trading day
PrevImpliedVol yIV Previous Implied Volatility Implied Volatility for the previous trading day for a single call or put contract.
PrevMark yMark Mark Price for Previous Day Closing Mark for previous day
PrevVolume yVol Previous Volume Trade volume for position for previous day
Quantity Qty Quantity Number of shares or contracts held for the position
RawCalcTheta rcTht Raw Calculated Theta Time Decay of the option contract, from today to the next business day.  This value is calculated by incrementing the trade date by one business day, and thus is based on historical values, while the Raw Theta is a projected value returned by the pricing model.
Rho rRho Raw Rho Rho of the options contract, not adjusted for the quantity or shares.  This is the Rho assigned to the individual security.  The Total Rho Value is the Raw Rho times the inventory.
Sector Sector Sector Major business sector for underlying stock, such as Energy or Industrial
Security Security Security This is the ticker symbol for the underlying stock, followed by the expiration date, the strike price, and whether the contract is call or put.
Subsector Subsector Subsector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
TheoPrice Thv Theoretical Price Calculated theoretical price from the pricing model for a contract or share
Theta rTht Raw Theta Theta of the options contract, not adjusted for the quantity or shares.  This is the Theta assigned to the individual security.  The Total Theta value is the Raw Theta times the inventory.
TotalCalcTheta tcTht Total Calculated Theta Time Decay of the option contract, from today to the next business day and adjusted for the total quantity of contracts held.  This value is calculated by moving the trade date forward by one business day.
TotalDelta tDlt Total Delta Delta of the options contract, adjusted for the number of contracts.  The Total Delta value is the Raw Delta times the inventory.  So if the Raw Delta for an option is .9, the Total Delta would be 90 if the position holds 100 contracts.
TotalGamma tGma Total Gamma Gamma of the options contract, adjusted for the number of contracts in the position.  The Total Gamma Value is the Raw Gamma times the inventory.
TotalRho tRho Total Rho Rho of the options contract, not adjusted for the quantity or shares.  This is the Rho assigned to the individual security.  The Total Rho Value is the Raw Rho times the inventory.
TotalTheoEdge tThEd Total Theoretical Edge Edge adjusted for the number of contracts in the position.
TotalTheta tTht Total Theta Theta of the options contract, adjusted for the number of contracts in the position.  The Total Theta Value is the Raw Theta times the inventory.
TotalVega tVga Total Vega Vega of the options contract, adjusted for the number of contracts in the position.  The Total Vega Value is the Raw Vega times the inventory.
Trader Trader Trader ID code
UndPosition uPos Underlying Position Number of shares held in underlying stock for this position
UndPrice uPrc Underlying Price Share price for underlying stock
Vega rVga Raw Vega Vega of the options contract, not adjusted for the quantity or shares.  This is the Vega assigned to the individual security.  The Total Vega Value is the Raw Vega times the inventory.
Volume Volume Trade Volume Trade volume for day, shares or contracts
Vegapct Vegapct Vega Percentage The vega multiplied by the Implied Volatility, or the volatility weighted vega.
SDGamma SDGamma Standard Deviation Gamma The gamma multiplied by the SDMove, or the Standard Deviation move in the underlying share price.The SDMove is the implied change in the underlying share price extracted by the Implied Volatility level.SDMove = (Underlying Price * Vol%) / Square Root (252)
DollarGamma DollarGamma Dollar Gamma Gamma multiplied by the underlying share price.
DollarGammaPct DollarGammaPct Dollar Gamma Percentage Dollar gamma per percent change in the share price of the underlying security.
WeightedVega WeightedVega Weighted Vega Vega normalized to last two months (time weighted vega)
WeightedVegaPct WeightedVegaPct Weighted Vega Percentage Volatility weighted vega, normalized by time.  This is the time and volatility weighted vega.
PremOverParity PremOverParity Premium over Parity The dollar amount by which each contract is trading over parity, multiplied by the total number of contracts held in the position.  If the contract is not In the Money, this value will be zero.  Long positions are positive and short positions negative.
MinHaircut MinHaircut Minimum Haircut The minimum haircut value using the Options Clearing Corporation’s minimum haircut calculation.

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Position Overview

Unlike the Risk Overview Report, the Position Overview allows you to group positions by Side.  The Side represents the net vega and gamma exposure for the position.  Possible values include Long-Long, Long-Short, Short-Long, and Short-Short.

Long – Long means long vega and long gamma for the position.

Long –Short means long vega and short gamma.

You can change how records are grouped and filtered on the Position Overview using the Position Navigator.

To display a position record in the VolEdge system, turn on Active Tracking.

Column Heading Caption Name Description
Group Group Trade Group
Open opMM Open Mark to Market Mark to Market value for the position held at market open
Day DayMM Daily contract value, Mark to Market The Mark to Market P/L for trades executed today.
Net NetMM Net Mark to Market P/L Net Mark to Market profit or loss for all positions, including day trades.
Dollar Delta $Dlt Dollar Delta The Total Delta amount times the share price of the underlying stock.  This serves to render the Delta as a dollar value.
DollarDeltaDecay $dltDecay Dollar Delta Decay The change in the Dollar Delta for a contract from today to the next trading day.  This value parallels the Delta Decay, except that it shows the decay in delta for the position in terms of dollars.
PnlDelta pDlt Profit/Loss Delta The amount of the Profit/Loss of the position that can be attributed to delta at the market open.   This is calculated by multiplying the change in share price by the position’s delta at market open.
PnlGamma pGma Profit/Loss Gamma The amount of the Profit/Loss of the position that can be attributed to gamma at the market open.
PnlTheta pTht Profit/Loss Theta The amount of the Profit/Loss of the position that can be attributed to time decay (theta) at the market open.
PnlVega pVga Profit/Loss Vega The amount of the Profit/Loss of the position that can be attributed to changes in volatility (vega) at the market open.
PnlRho pRho Profit/Loss Rho The amount of the Profit/Loss of the position that can be attributed to rho at the market open.
PnlTotal pTot Profit/Loss Total Total theoretical profit/loss for the opening position.  This is the total for all greek values plus day trades.
PnlCapture PnlCapture Profit/Loss Capture The amount of Profit/Loss for the position from Delta, Gamma, and Theta.
TotalDelta tDlt Total Delta Delta of the options contract, adjusted for the number of contracts.  The Total Delta value is the Raw Delta times the inventory.  So if the Raw Delta for an option is .9, the Total Delta would be 90 if the position holds 100 contracts.
TotalGamma tGma Total Gamma Gamma of the options contract, adjusted for the number of contracts in the position.  The Total Gamma Value is the Raw Gamma times the inventory.
TotalTheta tTht Total Theta Theta of the options contract, adjusted for the number of contracts in the position.  The Total Theta Value is the Raw Theta times the inventory.
TotalCalcTheta tcTht Total Calculated Theta Time Decay of the option contract, from today to the next business day and adjusted for the total quantity of contracts held.  This value is calculated by moving the trade date forward by one business day.
TotalVega tVeg Total Vega Vega of the options contract, adjusted for the number of contracts in the position.  The Total Vega Value is the Raw Vega times the inventory.
TotalRho tRho Total Rho Rho of the options contract, adjusted for the number of contracts in the position.  The Total Rho Value is the Raw Rho times the inventory.
PnlTrackingError pTrkErr Profit/Loss Tracking Error The difference between the theoretical profit/loss and the net mark to market value, in absolute terms.
TotalTheoEdge tThEd Total Theoretical Edge Edge adjusted for the number of contracts in the position.
OpeningEdge oEdge Edge price at market open This value excludes day trading.
ChangeEdge chEdge Change in Theoretical Edge The change in theoretical edge from yesterday to today, using a constant volatility
ConstVolEdge cvEdge Constant Volatility Edge The theoretical edge for a contract using today’s trade date but with the volatility held constant from the day before.
DeltaDecay dltDcy Delta Decay The decay in delta from today’s value to the delta calculated by the system for tomorrow, or for the next trading day.
SDDelta SDDelta Standard Deviation Delta The projected Profit or Loss for the contract if the price of a share of the underlying stock moves by the standard deviation determined from the Implied Volatility level. SDDelta = Total Delta * SDMove
Day_DollarDelta $Dlt(d) Daily Dollar Delta The Total Delta amount times the share price of the underlying stock but limited to the trading for the current day.  This serves to render the Delta as a dollar value.
Day_TotalDelta tDlt(d) Daily Total Delta Delta of the options contract, adjusted for the quantity or shares but limited to the trading for the current day.  The Total Delta Value is the Raw Delta times the inventory.  So if the Raw Delta for an option is .9, the Total Delta would be 90 if you held 100 contracts.
Day_TotalGamma tGma(d) Daily Total Gamma Gamma of the options contract, adjusted for the quantity of contracts or shares but limited to the trading for the current day.  The Total Gamma Value is the Raw Gamma times the inventory.
Day_TotalTheta tThd(d) Daily Total Theta Theta of the options contract, adjusted for the quantity of contracts or shares but limited for the current trading day.  The Total Theta Value is the Raw Theta times the inventory.
Day_TotalCalcTheta tcTht(d) Daily Total Calculated Theta Time Decay of the option contract for the current trading day and adjusted for the total quantity or shares held.  The Calculated Theta is based on historical values, while the Raw Theta is a projected value returned by the pricing model.
Day_TotalVega tVeg(d) Daily Total Vega Vega of the options contract, adjusted for the quantity of contracts or shares but limited to the trading for the current day.  The Total Vega Value is the Raw Vega times the inventory.
Day_TotalRho tRho(d) Daily Total Rho Rho of the options contract, adjusted for the quantity of contracts or shares but limited to the trading for the current day.  The Total Rho Value is the Raw Rho times the inventory.
Day_TotalTheoEdge tThEd(d) Daily Total Theoretical Edge The total theoretical edge value for the current trading day
Open_DollarDelta Dollar Delta, Market Open The Total Delta amount at the market open times the share price of the underlying stock.  This serves to render the Delta as a dollar value.
Open_TotalDelta Open_TotalDelta Open Total Delta Delta of the options contract, adjusted for the number of contracts and at the market open.  The Total Delta value is the Raw Delta times the inventory.  So if the Raw Delta for an option is .9, the Total Delta would be 90 if the position holds 100 contracts.
Open_TotalGamma Open_TotalGamma Open Total Gamma Gamma of the options contract, adjusted for the number of contracts in the position and at market open.  The Total Gamma Value is the Raw Gamma times the inventory.
Open_TotalTheta  Open_TotalTheta Open Total Theta Theta of the options contract, adjusted for the number of contracts in the position at market open.  The Total Theta Value is the Raw Theta times the inventory.
Open_TotalCalcTheta Open_TotalCalcTheta Total Calculated Theta at Market Open Time Decay of the option contract at market open for the current trading day.  The Calculated Theta is based on historical values, while the Raw Theta is a projected value returned by the pricing model.
Open_TotalVega tVga(o) Total Vega value at market open Vega of the options contract, adjusted for the number of contracts in the position and at market open.  The Total Vega Value is the Raw Vega times the inventory.
Open_TotalRho Open_TotalRho Open Total Rho Rho of the options contract, adjusted for the number of contracts in the position and at market open.  The Total Rho Value is the Raw Rho times the inventory.
Open_TotalTheoEdge Open_TotalTheoEdge Open Total Theoretical Edge Edge adjusted for the number of contracts in the position at market open.
Vegapct  Vegapct Vega Percentage  The vega multiplied by the Implied Volatility, or the volatility weighted vega.
SDGamma SDGamma Standard Deviation Gamma The gamma multiplied by the SDMove, or the Standard Deviation move in the underlying share price. The SDMove is the implied change in the underlying share price extracted by the Implied Volatility level.SDMove = (Underlying Price * Vol%) / Square Root (252)
DollarGamma DollarGamma Dollar Gamma  Gamma multiplied by the underlying share price.
DollarGammaPct DollarGammaPct Dollar Gamma Percentage Dollar gamma per percent change in the share price of the underlying security.
WeightedVega WeightedVega Weighted Vega Vega normalized to last two months (time weighted vega)
WeightedVegaPct WeightedVegaPct Weighted Vega Percentage Volatility weighted vega, normalized by time.  This is the time and volatility weighted vega.
PremOverParity  PremOverParity Premium over Parity The dollar amount by which each contract is trading over parity, multiplied by the total number of contracts held in the position.  If the contract is not In the Money, this value will be zero.  Long positions are positive and short positions negative.
MinHaircut MinHaircut Minimum Haircut The minimum haircut value using the Options Clearing Corporation’s minimum haircut calculation.

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Pin Risk Screen

When the expiration date for a options contract approaches, the contract faces Pin Risk.

Use the Pin Risk Report to keep track of contracts that are due to expire in the next few days and that require extra attention.

Sorting the Records that Appear

Click Synchronized_Grouping_button to select Synchronized Grouping. The put contracts show on the Pin Risk Screen will be sorted by the same method in use on the Position Navigator. If you change the value on the Position Navigator, the sort value on the screen will also change.

For example, if you choose to sort records by Underlying ticker symbol on the Position Navigator, the Pin Risk Screen will sort records by underlying symbols too:

Synchronized_Grouping_Sample_03_Pin_Risk

Click Free_Grouping_button to select Free Grouping.  This allows you to sort the records for put contracts in your portfolio by:

  • Account
  • Underlyer
  • Sector
  • Subsector
  • Trader

With Free Grouping turned on you can sort the records on this screen for your trade group however you like, and independently of the Position Navigator.

Filtering the Records that Appear

Select the Expiration Month from the drop-down window.

Select the Threshold Value to limit the number of contracts that appear.

Pin_Risk_Threshold

The default value is 3 percent difference or less between the strike price and share price.  If you want to look at fewer records, and want to focus on those most likely to be exercised, you can reduce this value further.

Click  Visualize_button to create a scatter diagram of the data that appears on this report.

Column Heading Caption Name Description
PercentDiff pctDiff Absolute Value of Percentage Difference The percent difference between the strike price on an options contract and the current share price of the underlying stock.  This shows you how close a contract is to being In the Money.  The value is shown as an absolute value (positive).
Account Account Trading Account Most RiskEdge users will have a single trading account at their firms.
DollarDiff $Diff Dollar Difference The difference in dollars between the strike price on an options contract and the current share price of the underlying stock.  This value shows how close a contract is to being In the Money.
PinPrice StockPrc Stock Price Current share price for the underlying stock
Position Position Position The symbol of the position, showing the symbol of the underlying stock and the trading account.
Quantity Quant Quantity The number of contracts held or written for this put or call option.  The quantity shows both long and short positions.
Security Security Security This is the ticker symbol for the underlying stock, followed by the expiration date, the strike price, and whether the contract is call or put.
Subsector Subsector Subsector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.

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Configuring the Screens

The Risk Overview (or Overview), Pin Risk, Put Exercise, Trade Summary, Position Overview, and Position Summary Screens are accessed through the View Menu.

You can make changes to how these screens display data so that they work well for you and for your firm.  We describe how to do that here.

Note that the Risk Matrix Screen is unique among the RiskEdge  windows.  You can manipulate this screen too, but we describe how separately.

If you right click on the tab name of a screen, such as Trade_Summary_tab, RiskEdge displays a list of options that allow you to manage the screen itself:

Tab_Groups

These options allow you to arrange the Screens within your RiskEdge window.

If you want to arrange the columns that appear on a screen, right click on a column heading to display this list of options:

Configure_column_screens

The list of column options shown above differ on the RiskEdge reports.  With reports you can also filter the data that appears in columns and create custom columns. Note that you can also export data from a report.

  •  Moving Screens on Your Desktop
  • Closing a Window
  • Choosing Columns to Appear
  • Arranging Screens in Groups called Tab Groups
  • Configuring (Editing) and Moving Columns
  • Hiding or Displaying Columns
  • Pin Column: Locking a Column in Place 

Some screens also feature the Terse/Verbose tool to hide or display columns:

Verbose_Row_Headers_button

Some screens allow you to export data:
Export_button

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Risk Overview

Use the Risk Overview Screen to display summary values about all of the positions in your portfolio, including details about both call and put contracts and the underlying stock.  You can change how records are grouped and filtered on the  Risk Overview using the Position Navigator.  Totals and subtotals for profit/loss and greeks are provided.

The positions are sorted by group and account.

To display a position record in the VolEdge System, turn on Active Tracking.

Column Heading Caption Name Description
Day DayMM Daily contract value, Mark to Market

The Mark to Market P/L for trades executed today.

 

Dollar Delta $Dlt Dollar Delta The Total Delta amount times the share price of the underlying stock.  This serves to render the Delta as a dollar value.
DollarDeltaDecay $dltDecay Dollar Delta Decay The change in the Dollar Delta for a contract from today to the next trading day.  This value parallels the Delta Decay, except that it shows the decay in delta for the position in terms of dollars.
DeltaDecay dltDcy Delta Decay The decay in delta from today’s value to the delta calculated by the system for tomorrow, or for the next trading day.  
Group Group Trade Group
Net NetMM Net Mark to Market P/L Net Mark to Market profit or loss for all positions, including day trades.
Open opMM Open Mark to Market Mark to Market value for the position held at market open
PnlCapture PnlCapture Profit/Loss Capture The amount of Profit/Loss for the position from Delta, Gamma, and Theta.
PnlDelta pDlt Profit/Loss Delta

The amount of the Profit/Loss of the position that can be attributed to delta at the market open.   This is calculated by multiplying the change in share price by the position’s delta at market open.

 

PnlGamma pGma Profit/Loss Gamma

The amount of the Profit/Loss of the position that can be attributed to gamma at the market open.

 

PnlRho pRho Profit/Loss Rho

The amount of the Profit/Loss of the position that can be attributed to rho at the market open.

 

PnlTheta pTht Profit/Loss Theta

The amount of the Profit/Loss of the position that can be attributed to time decay (theta) at the market open.

 

PnlTotal pTot Profit/Loss Total Total theoretical profit/loss for the opening position.  This is the total for all greek values plus day trades.
PnlVega pVga Profit/Loss Vega The amount of the Profit/Loss of the position that can be attributed to changes in volatility (vega) at the market open.
PnlTrackingError pTrkErr Profit/Loss Tracking Error The difference between the theoretical profit/loss and the net mark to market value, in absolute terms.
SDDelta SDDelta Standard Deviation Delta The projected Profit or Loss for the contract if the price of a share of the underlying stock moves by the standard deviation determined from the Implied Volatility level. SDDelta = Total Delta * SDMove
TotalCalcTheta tcTht Total Calculated Theta

Time Decay of the option contract, from today to the next business day and adjusted for the total quantity of contracts held.  This value is calculated by moving the trade date forward by one business day.

 

TotalDelta tDlt Total Delta Delta of the options contract, adjusted for the number of contracts.  The Total Delta value is the Raw Delta times the inventory.  So if the Raw Delta for an option is .9, the Total Delta would be 90 if the position holds 100 contracts.
TotalGamma tGma Total Gamma Gamma of the options contract, adjusted for the number of contracts in the position.  The Total Gamma Value is the Raw Gamma times the inventory.
TotalRho tRho Total Rho Rho of the options contract, adjusted for the number of contracts in the position.  The Total Rho Value is the Raw Rho times the inventory.
TotalTheoEdge tThEd Total Theoretical Edge Edge adjusted for the number of contracts in the position.
TotalTheta tTht Total Theta Theta of the options contract, adjusted for the number of contracts in the position.  The Total Theta Value is the Raw Theta times the inventory.
TotalVega tVeg Total Vega Vega of the options contract, adjusted for the number of contracts in the position.  The Total Vega Value is the Raw Vega times the inventory.
Vegapct  Vegapct Vega Percentage  The vega multiplied by the Implied Volatility, or the volatility weighted vega.
SDGamma SDGamma Standard Deviation Gamma The gamma multiplied by the SDMove, or the Standard Deviation move in the underlying share price.   The SDMove is the implied change in the underlying share price extracted by the Implied Volatility level. SDMove = (Underlying Price * Vol%) / Square Root (252)
DollarGamma DollarGamma Dollar Gamma Gamma multiplied by the underlying share price.
DollarGammaPct DollarGammaPct Dollar Gamma Percentage Dollar gamma per percent change in the share price of the underlying security.
WeightedVega WeightedVega Weighted Vega Vega normalized to last two months (time weighted vega)
WeightedVegaPct WeightedVegaPct Weighted Vega Percentage Volatility weighted vega, normalized by time.  This is the time and volatility weighted vega.
PremOverParity PremOverParity Premium over Parity The dollar amount by which each contract is trading over parity, multiplied by the total number of contracts held in the position.  If the contract is not In the Money, this value will be zero.  Long positions are positive and short positions negative.
MinHaircut  MinHaircut Minimum Haircut The minimum haircut value using the Options Clearing Corporation’s minimum haircut calculation.
OpeningEdge oEdge Edge price at market open This value excludes day trading.
ChangeEdge chEdge Change in Theoretical Edge The change in theoretical edge from yesterday to today,    using a constant volatility
ConstVolEdge cvEdge Constant Volatility Edge The theoretical edge for a contract using today’s trade date but with the volatility held constant from the day before.
For each individual position, the following column headings appear.
SubSector SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
Position Position Position The symbol of the position, showing the symbol of the underlying stock and the trading account.
Side Side Side The Side represents the net vega and gamma exposure for the position.  Possible values include Long-Long, Long-Short, Short-Long, and Short-Short.Long – Long means long vega and long gamma for the position.Long –Short means long vega and short gamma.
UndPosition uPos Underlying Position Number of shares held in underlying stock for this position
UndPrice uPrc Underlying Price Share price for underlying stock
NetUndChange NetUCh Net Underlying Change The net change in the price of a share of the underlying stock from the previous trading day.
PercentUndChange pctUCh Percent Underlying Change The percent change in the value of a share of the underlying stock since the previous trading day.
ATMVol ATMVol At the Money Volatility  
SDMove SDMove Standard Deviation Move in Underlying Share Price The implied change in the underlying share price extracted by the Implied Volatility level.SDMove = (Underlying Price * Vol%) / Square Root(252)
PercentSDMove %SDMov Percentage Underlying Change The percent change in the value of a share of the underlying stock since the previous trading day.
RiskBeta RiskBeta Risk Beta The beta is a measure of a security’s sensitivity to changes in the market, as represented by a primary index such as the S&P 500 or other benchmark like US Treasury Bills.  If the beta is 1.1, it means that the security has outperformed the index by ten percent in up markets and lagged behind by ten percent in down markets.
Open opMM Open Mark to Market Mark to Market value for the position held at market open
Day DayMM Daily contract value, Mark to Market The Mark to Market P/L for trades executed today.
Net NetMM Net Mark to Market P/L Net Mark to Market profit or loss for all positions, including day trades.
Dollar Delta $Dlt Dollar Delta The Total Delta amount times the share price of the underlying stock.  This serves to render the Delta as a dollar value.
DollarDeltaDecay $dltDecay Dollar Delta Decay The change in the Dollar Delta for a contract from today to the next trading day.  This value parallels the Delta Decay, except that it shows the decay in delta for the position in terms of dollars.
PnlCapture PnlCapture Profit/Loss Capture Total actual amount of Profit/Loss for the position.
PnlDelta pDlt Profit/Loss Delta The amount of the Profit/Loss of the position that can be attributed to delta at the market open.   This is calculated by multiplying the change in share price by the position’s delta at market open.
PnlGamma pGma Profit/Loss Gamma The amount of the Profit/Loss of the position that can be attributed to gamma at the market open.
PnlRho pRho Profit/Loss Rho The amount of the Profit/Loss of the position that can be attributed to rho at the market open.
PnlTheta pTht Profit/Loss Theta The amount of the Profit/Loss of the position that can be attributed to time decay (theta) at the market open.
PnlTotal pTot Profit/Loss Total Total theoretical profit/loss for the opening position.  This is the total for all greek values plus day trades.
PnlVega pVga Profit/Loss Vega The amount of the Profit/Loss of the position that can be attributed to changes in volatility (vega) at the market open.
TotalCalcTheta tcTht Total Calculated Theta Time Decay of the option contract, from today to the next business day and adjusted for the total quantity of contracts held.  This value is calculated by moving the trade date forward by one business day.
TotalDelta tDlt Total Delta Delta of the options contract, adjusted for the number of contracts.  The Total Delta value is the Raw Delta times the inventory.  So if the Raw Delta for an option is .9, the Total Delta would be 90 if the position holds 100 contracts.
TotalGamma tGma Total Gamma Gamma of the options contract, adjusted for the number of contracts in the position.  The Total Gamma Value is the Raw Gamma times the inventory.
TotalRho tRho Total Rho Rho of the options contract, adjusted for the number of contracts in the position.  The Total Rho Value is the Raw Rho times the inventory.
TotalTheta tTht Total Theta Theta of the options contract, adjusted for the number of contracts in the position.  The Total Theta Value is the Raw Theta times the inventory.
TotalVega tVeg Total Vega Vega of the options contract, adjusted for the number of contracts in the position.  The Total Vega Value is the Raw Vega times the inventory.
PnlTrackingError pTrkErr Profit/Loss Tracking Error The difference between the theoretical profit/loss and the net mark to market value, in absolute terms.
TotalTheoEdge tThEd Total Theoretical Edge Edge adjusted for the number of contracts in the position.
OpeningEdge oEdge Edge price at market open This value excludes day trading.
ChangeEdge chEdge Change in Theoretical Edge The change in theoretical edge from yesterday to today, using a constant volatility
ConstVolEdge cvEdge Constant Volatility Edge The theoretical edge for a contract using today’s trade date but with the volatility held constant from the day before.
DeltaDecay dltDcy Delta Decay The decay in delta from today’s value to the delta calculated by the system for tomorrow, or for the next trading day.
SDDelta SDDelta Standard Deviation Delta The projected Profit or Loss for the contract if the price of a share of the underlying stock moves by the standard deviation determined from the Implied Volatility level. SDDelta = Total Delta * SDMove
Vegapct Vegapct Vega Percentage The vega multiplied by the Implied Volatility, or the volatility weighted vega.
SDGamma SDGamma Standard Deviation Gamma The gamma multiplied by the SDMove, or the Standard Deviation move in the underlying share price.   The SDMove is the implied change in the underlying share price extracted by the Implied Volatility level. SDMove = (Underlying Price * Vol%) / Square Root (252)
DollarGamma DollarGamma Dollar Gamma Gamma multiplied by the underlying share price.
DollarGammaPct DollarGammaPct Dollar Gamma Percentage Dollar gamma per percent change in the share price of the underlying security.
WeightedVega WeightedVega Weighted Vega Vega normalized to last two months (time weighted vega)
WeightedVegaPct WeightedVegaPct Weighted Vega Percentage Volatility weighted vega, normalized by time.  This is the time and volatility weighted vega.
PremOverParity PremOverParity Premium over Parity The dollar amount by which each contract is trading over parity, multiplied by the total number of contracts held in the position.  If the contract is not In the Money, this value will be zero.  Long positions are positive and short positions negative.
MinHaircut MinHaircut Minimum Haircut The minimum haircut value using the Options Clearing Corporation’s minimum haircut calculation.

 

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Working with Reports

How Screens and Reports Differ

The difference between the screens and reports is that a standard set of screens is provided for every RiskEdge user, while the reports you see in the system will vary.  The reports are optional, and are purchased separately.

Also, with the reports you can:

1.      Create your own custom columns of data, based on other columns provided with the report.

2.     Filter the data that appears on a column.  For example, you could set up a column showing percent changes in the value of an underlying stock so that a number only appears if the price changes by five percent or more.

3.      Create a custom report

RiskEdge offers several kinds of reports:

  • Portfolio Reports.  These reports provide information specific to the stocks and options contracts that you hold in your firm’s investment portfolio.
  • VolEdge Reports.  The VolEdge Reports provide information about trading and values for stocks and options across the marketplace.  These reports are not directly relevant to your inventory.  The VolEdge Reports are not provided with the ActantRisk System.
  • User Reports.  The TV Ratio and Hedge Reports are accessed from the User Reports menu.  You can use the Position Navigator to sort the records that appear on these reports.

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Creating Custom Reports

Regular users can create custom reports based on the data and headings already available in the system.  Choose an existing report to serve as the basis for a new report, and then make custom changes to the columns.  You could create new columns with your own calculations, hide columns you don’t need, or filter the data to only display the records you need.

After you finish your changes click the Custom_View_button button on Report window to save your changes and use them to create a Custom Report.

For example, you might want to create a new Call Exercise Report to compliment the Put Exercise Screen.  You could start with the Raw Security Data Report and filter the records for Quantity, Type, and Delta so that the report only shows In the Money call options contracts for each position.

An Information Technology professional on your staff could also build a custom report in RiskEdge based on data you use at your firm and stored in a local SQL database or databases, as well as on records drawn from market data feeds, clearing transactions, and archival information.  If one of your programmers can collect data using a query, the same data can be presented in a RiskEdge Report.  But for this method modest skills in working with an SQL database are needed.

For more information about creating your own custom report using data stored in a local SQL database, please contact your RiskEdge representative.  Custom reports may also be available for purchase.

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Configuring your Reports

You can make changes to how these reports display data so that they work well for you and for your firm.  We describe how to do that here.

If you right click on the tab name of a report, such as Master_Vol_tab , RiskEdge displays a list of options that allow you to manage the report itself:

Tab_Groups

These options allow you to arrange the Reports within your RiskEdge window.

If you want to arrange the columns that appear on a report, right click on a column heading to display this list of options:

Configure_column_report

Note that you can also export data from a report.

  • Moving Screens on Your Desktop
  • Closing a Window
  • Arranging Screens in Groups called Tab Groups
  • Choosing Columns to Appear
  • Configuring (editing) and Moving Columns
  • Hiding or Displaying Columns
  • Pin Column: Locking Columns in Place
  • Selecting and Un-selecting Rows in a Report
  • Temporarily Deleting a Row

Some reports also feature the Terse/Verbose tool to hide or display columns:

Verbose_Row_Headers_button  Hiding or Displaying Columns: Terse/Verbose Tool

Some reports allow you to export data:

Export_button  Exporting Data to an Excel Spreadsheet

These features are only available on RiskEdge Reports.
Refresh_button
Refreshing the Values that Appear on a Report
Custom_Column_button
Adding a Custom Column to a Report
Column_Filter_button
Filtering the Values that Appear on Your Report
Custom_View_button
Saving Your Changes to Create a Custom Report
Visualize_button
Graphing your Position Data with the Visualize Feature

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Highlighting or Excluding Symbols Using the WatchList

  • Watchlists allow you to display only those stock and option contract records that you want to see on a report you select.
  • The I Don’t Care List is a list of symbols that you want to exclude.  Any stock or options contract that you add to the I Don’t Care List will not appear on any RiskEdge report if you set the Watchlist Type for that report to “Watch-Fridge.”  The Watchlist Type is a parameter that appears with some of the RiskEdge reports.  We describe it in detail with every report where it is offered as an option.

Both features are available through the List Management window.  Click the VolEdge menu and select List Management.

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Watchlist Introduction

You may create as many Watchlists as you like, add as many symbols as you like to a Watchlist, and select whatever records you want for each one.

You can use the Watchlist feature to support a variety of trading strategies.  Many RiskEdge users create Watchlists based on sectors, such as technology or financial services.  Others set up Watchlists based on special list of symbols to monitor that they import from other software applications.  You could create a Watchlist with high-risk symbols, or symbols that have seen a lot of volatility over the last 60 days that you want to keep an eye on, such as a set of mining and commodities that have been tough to predict lately on the Master Volatility Report, or watch the margin levels needed for a set of energy stocks on the Haircut Changes Report.

see the following pages for more information:

  • Using the Watchlist Window
  • Creating or Editing a Watchlist
  • Adding a Single Symbol to a Watchlist
  • Adding Symbols by Sector and Subsector
  • Adding Symbols Directly from a RiskEdge Report or Other File  

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Using the WatchList Window

Click the box for Shared if you want to allow your coworkers to be able to access and use a Watchlist.

On the right side of the window, you can select sectors and subsectors, and display a list of the symbols included in those subsectors.  You can add symbols to a Watchlist from this list (See photo below).  We describe how to do that in the Adding Symbols by Sector and SubSector section.

Watchlist_04

To change the name of an existing Watchlist, or delete the list, highlight the Watchlist and click your right mouse button, and then clickDelete or Rename.

Click Refresh to apply your most recent changes.

Click Close to close the List Management window.

Click on the Creating or Editing a Watchlist section to learn about creating or editing a Watchlist.

We recommend that you keep the List Management window closed when you aren’t creating or editing a Watchlist.

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Creating or Editing a Watchlist

Watchlist_01

Type a name to describe the Watchlist, and check Shared if you want to make is available to other users in your office.

Watchlist_02

Click I_Dont_Care_List_05_Custom_OK.  The new Watchlist name appears on the screen:

Watchlist_03

Now let’s add some symbols to the new list.

See:

  • Adding a Single Symbol to a Watchlist
  • Adding Symbols by Sector and Subsector
  • Adding Symbols Directly from a RiskEdge Report or Other File.

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Adding a Single Symbol to a Watchlist

Click Add Underlyer and then click the arrow and scroll down until you find the symbol you want.  Click I_Dont_Care_List_05_Custom_OK.

The symbol appears on the Watchlist.

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Adding Symbols by Sector and Subsector

On the top, you can choose one or more sectors.  Here Technology is checked:

Watchlist_05

Then, select one or more SubSectors.  In our example Semiconductors and Software are checked.

Watchlist_06

The symbols included in Semiconductors and Software appear on the bottom of the screen.

Watchlist_07

Use this list of symbols to select the symbols you want to add to your Watchlist.

If you prefer, you can simply click Add_All_button to add all of the symbols shown to the Watchlist.

To select some of the symbols that appear, hold down the Control button and click the items you want one at a time.

Watchlist_08

If you want to select a batch of items together, click the first item, hold down the Shift key, and click another item several rows away.

Click Add_button.  Select one of the options that appears:

Create new list Create a new Watchlist.
Merge existing list Add the symbols you chose to an existing Watchlist.  The system will allow you to select the list you want.
Replace existing list Add the symbols you chose to an existing Watchlist, but delete all of the symbols currently assigned to that same List.

Click I_Dont_Care_List_05_Custom_OK .  The symbols that you selected appear on the Watchlist.

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Adding Symbols Directly from a RiskEdge Report or Other File

Select the symbols you want from a  RiskEdge Report, or even an MS Excel spreadsheet, and then drag and drop them to the Watchlist window.

Open RiskEdge and select one of the reports that sorts records by underlying stock symbol, like the Master Volatility Report.  Sort the records that appear in alphabetical order by underlying symbol, and then scroll down through the list and select the stocks you want, one by one or in groups.

To select items in a list, hold down the Control button and click the items you want one at a time.

Volatility_List_6_Hopper

If you want to select a batch of items together, click the first item, hold down the Shift key, and click another item several rows away.

Volatility_List_7_Hopper

You can also click and drag a list of symbol names from an Excel spreadsheet to a Watchlist.

When you have selected the symbols you want, hold down your left mouse button and drag them to the List Management window, and drop them into the field on the bottom of the screen:

Volatility_List_5_Drop_Symbols

Select one of the options that appears:

Create new list Create a new Watchlist.
Merge existing list Add the symbols you chose to an existing Watchlist.  The system will allow you to select the list you want.
Replace existing list Add the symbols you chose to an existing Watchlist, but delete all of the symbols currently assigned to that same List.

If no Watchlist is selected (highlighed), you will only be able to select the Create option.  The Merge and Replace options will be disabled.

Click I_Dont_Care_List_05_Custom_OK .  The symbols that you selected appear on the Watchlist.

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I Don’t Care List Introduction

Think of the I Don’t Care List is a special kind of Watchlist.  Unlike a typical Watchlist, where you can create any number of specialized lists of symbols to highlight, each user only gets a single I Don’t Care list to work with.  You can add a symbol to the I Don’t Care list from any report in RiskEdge, and it will apply across the entire system.  So if you decide to add the MSFT symbol to the I Don’t Care List from the Master Volatility Report, Microsoft stock or options contract records will not appear on the Print Analysis or Hedge Basket or Premium over Parity or any other report in RiskEdge, either.

see the following pages for more information:

  • The I Don’t Care List Window
  • Adding a Symbol to the I Don’t Care List
  • Removing a Symbol from the I Don’t Care List

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The I Don’t Care List Window

 
This window shows every stock or options contract record that will not appear on any report in RiskEdge.  For each record listed in the Window, you will see:

Symbol Stock symbol or symbol of option contract
Expiration Date For options contracts
Time Till Care & Interval These two values show how long before the symbol will be removed from the I Don’t Care List.  If you decided to add the symbol to the I Don’t Care List for one month, “1” will appear under TillCare and “Month” under Interval.  You can change the values that appear in these two columns, if you want to extend or reduce the amount of time for a record to remain on this list.
Care Time This is the date and time when the symbol will be removed from the I Don’t Care List.  So if you selected a symbol to add to the I Don’t Care List for one month, this date and time will be exactly one month after the date you added the symbol to the list.

Click Refresh to apply your most recent changes.

Click Close to close the List Management window.

We recommend that you keep the List Management window closed when you aren’t adding symbols to or removing them from the I Don’t Care List.

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Adding a Symbol to the I Don’t Care List

You can add symbols one at a time, described below, or click and drag multiple symbols.

Adding a Single Symbol to the I Don’t Care List

Find the symbol you want to add and click on the line to highlight (See Below)  it.

I_Dont_Care_List_01

Click your right mouse button to display the Column Menu (See Below), and click List Management.

I_Dont_Care_List_02

For a stock, click Underlyer.  If you are working with a record for an options contract, click Expiration.

These two options, Underlyer and Expiration, work the same way when selecting a record to add to the I Don’t Care List.  But Expiration only appears on reports that list records for options contracts

The first time you use this feature the value will be “Never (Default).” After that, every time you use this feature, the menu will default to the previous value you selected for the last symbol you added to the I Don’t Care List:

I_Dont_Care_List_06

You can select this option again, or enter something different:

I Don’t Care (7 Days) |The symbol will remain on the I Don’t Care List for seven calendar days.  
I Will Never Care |You won’t ever care about this symbol, so it will remain on the list until you decide to remove it.
I Won’t Care Until |Choose a time value: 

  • 1 day
  • 7 days
  • 14 days
  • 1 month
  • 3 months
  • 6 months
  • Never

 

For example, if you select “I Won’t Care Until” and then select “3 Months,” the symbol will remain on the I Don’t Care List for three months, and then the system will automatically remove it.

You can also click Custom to enter your own time period for a record to remain on the I Don’t Care List.  This window appears.

I_Don_t_Care_List_03_Custom

On the top of the window, you can select a specific number of minutes, days, weeks or months:

I_Dont_Care_List_04_Custom

Or you can enter the number of days before or after the next corporate earnings report:

I_Dont_Care_List_05_Custom

Click I_Dont_Care_List_05_Custom_OK.  The record will be added to the I Don’t Care list with the custom time limit you provided.

Click the Default box if you want this value to be the new default value for all custom settings.  For example, suppose you set the  custom value for six weeks for stocks and options contracts for a mining company.  Click Default to keep this value in the Custom window.  Every time you use the Custom option when adding a new record to the I Don’t Care List, it will be set to expire in six weeks.  This default setting will last until you change the Custom screen again.

Using the Click and Drag Function

Finally, you can also click and drag a symbol or a set of symbols from a report to the I Don’t Care List on the List Management window.

Select the symbols you want from a  RiskEdge Report, or even an MS Excel spreadsheet, and then drag and drop them to the I Don’t Care List window.

Open RiskEdge and select one of the reports that sorts records by underlying stock symbol, like the Master Volatility Report.  Sort the records that appear in alphabetical order by underlying symbol, and then scroll down through the list and select the stocks you want, one by one or in groups.

To select items in a list, hold down the Control button and click the items you want one at a time.

Volatility_List_6_Hopper

If you want to select a batch of items together, click the first item, hold down the Shift key, and click another item several rows away.

Volatility_List_7_Hopper

You can also click and drag a list of symbol names from an Excel spreadsheet to a Watchlist.

When you have selected the symbols you want, hold down your left mouse button and drag them to the List Management window, and drop them into the field on the bottom of the screen:

Volatility_List_5_Drop_Symbols

This window appears.

I_Don_t_Care_List_03_Custom

The values that you select here will apply to all of the symbols that you dragged and dropped on the I Don’t Care List.

On the top of the window, you can select a specific number of minutes, days, weeks or months:

I_Dont_Care_List_04_Custom

Or you can enter the number of days before or after the next corporate earnings report:

I_Dont_Care_List_05_Custom

Click I_Dont_Care_List_05_Custom_OK .  The record will be added to the I Don’t Care list with the custom time limit you provided.

Click the Default box if you want this value to be the new default value for all custom settings.  For example, suppose you set the  custom value for six weeks for stocks and options contracts for a mining company.  Click Default to keep this value in the Custom window.  Every time you use the Custom option when adding a new record to the I Don’t Care List, it will be set to expire in six weeks.  This default setting will last until you change the Custom screen again.

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Removing a Symbol from the I Don’t Care List

Highlight the symbol you want to remove.  Click your right mouse button and clickI_Care .  The symbol will disappear from the screen.  After that the symbol will not longer be excluded; it will appear on your RiskEdge reports.

Remember that you can also set up symbols to automatically expire and be removed from the I Don’t Care List.  For example, when you add a symbol to the I Don’t Care List, you can select “I Won’t Care Until” and then select 14 days.  The symbol will remain on the List for 14 days, and then RiskEdge will automatically delete it.  After that it will begin to appear again on RiskEdge Reports.

To learn more see Adding a Symbol to the I Don’t Care List.

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Carry Volatility Override

The Carry Volatility is the average volatility of all of the trades for a security over the life of the position, weighted by the size of the trades in that security. The Carry Volatility accounts for both buy and sell transactions.  You can use the Carry Volatility to evaluate the performance of a position held in a portfolio, and so determine those that are failed investments.

The Carry Volatility Override is a report editor, accessed from the Tools menu.  You can use the Carry Volatility Override to adjust the values that appear on the Risk Monitor Report.  Specifically, you can change the Origination date, or the date a position was formed, the Carry Volatility, and the Exit Volatility, for any position on the Risk Monitor, one position at a time.  The changes you enter in this tool appear on the Risk Monitor.

RiskEdge calculates the Carry Volatility assuming that any option trade in a position is hedged with shares of the underlying stock (delta neutral) when the trade is completed.  For example, if a trader sells call contracts he will likely buy shares of the underlying stock to cover at least part of this short position in the event the contracts are exercised against him. But if the trader does not trade shares, but only buys or sells options contracts, the implied volatility calculation is meaningless.

But RiskEdge cannot tell how every options contract trade is hedged, so it estimates.  The system determines exactly when a  contract was traded and then assumes that it was hedged at the same time with shares of underlying stock currently in the portfolio.  But as these assumptions are sometimes wrong, the Carry Volatility Tool allows a user to adjust hedge values manually for a position.

Below are some examples of how you might use the Carry Volatility Override:

Suppose you bought 107 call contracts for stock ABC for $1.05 at 11:26 AM.  RiskEdge looks for a trade for ABC around 11:26 in the morning for 107 call contracts at a price of $1.05, and finds a trade with a time stamp at 11:25:29 AM.  The system then calculates the Carry Volatility,or the Implied Volatility for that transaction, using the price of $1.05 and the share price of the underlying stock at the moment of the trade.  It also uses the strike price, interest rates, dividends, and days until the contract expires to determine the volatility, but these values are not time sensitive.  

 

The system finds that the share price of $26.45 for the stock at the moment of the trade (11:25:29), so the system calculates the Implied Volatility of the contract based on that share price (for example, a volatility of 43.21).  RiskEdge stores this volatility value in the database and displays it for the trade on the Volatility Trade History by Account Report.  Normally, this is good enough for the user.

 

But suppose you made an earlier arrangement with the counter party to have a stock hedge at $26.90 a share (for a delta neutral trade).  Or suppose that even though the time stamp on the option trade was 11:25:29, the trade may have occurred earlier when the stock price was higher.  In either case, the actual Carry Volatility would differ from the value calculated for the trade by Risk Edge (43.21).  So you could use the Carry Volatility Override tool to replace this Carry Volatility value with a different volatility that you calculate on your own.

Also, remember that you can also use this tool to change the Origination Date or Exit Volatility value for a position.  We describe both below.

Using the Window

When you open the Carry Volatility Override tool, the window shows a list of the position values that represent instances where you have applied an override value.  They will remain on the window until you delete them, as long as the security is still in your portfolio.  The values shown under Recent in the lower right corner are positions recently clicked on the Risk Monitor Report.

Each position record shown has four heading values.  Unlike the reports, you cannot add, remove, or edit headings.

Column Heading Name Description
Underlyer Underlying Symbol Symbol of underlying stock.
Position Position The symbol of the position, showing the symbol of the underlying stock and the trading account.
ExpDate Expiration Date Expiration date for a contract
StrikePrice Strike Price  Strike price of the At the Money options contract. 

ClickRefresh_button  to refresh the data that appears on the Carry Volatility Override Report in order to update the values that appear.

Entry Values

To select a position for editing on the Carry Override Volatility editor, click on it from the Position Navigator on the left side of the window.

In this case we have selected ALIM, so the position symbol appears in the edit window on the upper right side of the screen.

CarryVol_6

Exit Vol The Exit Volatility is the volatility you would like to see when you exit, or close, the position.  This is a target value.  The system will adjust the other values for the position on the Risk Monitor Report to show the performance the position would need in order to reach this target.  You can use the Exit Volatility to judge how long you should hold on to a position and what changes are needed in the market to make it possible..
Carry Vol The Carry Volatility is the average volatility of all of the trades for a security over the life of the position, weighted by the size of the trades in that security. The Carry Volatility accounts for both buy and sell transactions.
Origination Date The Origination Date is the date when the position was added to the portfolio.  By changing this date you also change the average Carry Volatility for the position.  If you move it back, you would be including more trades, and more changes in the underlying stock price.  If you move it up, you are excluding trades and price changes. Suppose you have held a position for nine months, but you want to get an idea of how well it has performed over the last six months.  For the first three months the stock price fell dramatically, but after that it recovered somewhat, and you want to look at the Carry Volatility since the price stabilized.  You would change the Origination Date for the position to six months ago to display the updated values on the Risk Monitor Report.

Click CarryVol_Save_button to post your changes, or click Cancel_button.

To delete a position record shown on the Carry Override Volatility window, click on it to select it.

CarryVol_1

Then, click CarryVol_Delete_button.

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Earnings Risk Report

This report is designed to help you determine how much risk you have in a stock position related to an earnings report.  Implied volatility values tend to change significantly before and after earnings events.  Use this report to identify your options contract positions that face price risks as earnings events approach.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking .

Column Heading Name Description
Account Account Trade account
Position Position The symbol of the position, showing the symbol of the underlying stock and the trading account.
Underlyer Underlying Symbol Symbol of underlying stock.
TotalTheta Total Theta Theta of the options contract, adjusted for the number of contracts in the position.  The Total Theta Value is the Raw Theta times the inventory.
ThetaEarnings Theta with Earnings The total theta in contracts that contain an earnings event.
ThetaNoEarnings Theta without Earnings The total theta in contracts not containing an earnings event.
TotalVega Total Theta Vega of the options contract, adjusted for the number of contracts in the position.  The Total Vega Value is the Raw Vega times the inventory.
VegaEarnings Vega with Earnings The total vega in contracts containing an earnings report.
VegaNoEarnings Vega without Earnings The total vega in contracts not containing an earnings report.
TotalWeightedVega Total Weighted Vega Total weighted vega for all contracts.
WeightedVegaEarnings Weighted Vega with Earnings The total vega time-weighted  (weighted to 60days) for contracts containing earnings events.
WeightedVegaNoEarnings Weighted Vega without Earnings The total weighted  vega in contracts not containing an earnings event.
TotalPremOverParity Total Premium Over Parity Total premium over parity for all contracts.
PremOverParityEarnings Premium Over Parity, with Earnings Premium over parity for contracts containing earnings.
PremOverParityNoEarnings Premium Over Parity, without Earnings Premium over parity for contracts not containing earnings.
AvgCloseMove Weighted Average Price Change related to Earnings The weighted average earning percentage price change for the last 12 quarters, or for as long as the data is available.  More recent earnings dates are  weighted more heavily.
LastEarnMove Last Earnings Move The percentage price change for the last earnings event.
AvgLastYrEarnMove Average Price Change for Last Year The average earning percentage price change for the last 4 quarters
AvgVolPctChg Average Volatility Change, Earnings The average implied volatility change due to earnings in the last 12 quarters (if data is available)
NumEarnings Number of Earnings Reports The maximum number of earnings reports in the contracts within the position that contain earnings
HistAvgImpledMove Historical Average Implied Move The average of the historical implied earnings moves over the last 12 earnings events. The implied moves are inferred from the term structure of implied volatilities going into the earnings event.
EPSVolCHg Volatility Change The AvgVolPctChg field above, or the average implied volatility change, times the current one month constant maturity volatility.  For example, if the one month volatility was to drop by it’s average percentage of base volatility, this value would be the volatility change for one month, in points.
EPSVegaExposure Vega Exposure The total Weighted Vega Earnings of the position multiplied by the EPSVolChg (above).  This gives an estimate of profit and loss if the stock doesn’t move and the volatility drops by the “normal” amount post earnings.
DaysUntilEarnings Days Until Earnings Number of calendar days until the next scheduled earnings announcement for this stock
BusDaysUntilEarnings Business Days Until Earnings Number of business or trading days until the next scheduled earnings announcement for this stock
ExpectedReportDate Expected Report Date The next scheduled earnings date for the underlying stock.
HasEarnings Has Earnings A code to show whether or not the underlying stock has an earnings report. A “1” appears if an earnings report was released for the underlying stock last night after the market closing or today before the open. A “0” means that no earnings were reported recently.
ImpEarnMove_Prev1-8 Implied Earnings Move, Previous events The implied earnings move for the last eight earnings reports.  The implied moves are inferred from the term structure of implied volatility values just before each earnings event.   Prev1 is the implied earnings move from the most recent earnings report and Prev8 is the implied earnings move from the eighth most recent earnings report.

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Haircut Changes Report

The report provides the source of the margin value applied to each position, which is either the Minimum Contract Requirement or the Maximum Drawdown.  The report also provides, for each of the margin calculations for each position, the values on the Start Date and End Date and the change between those two dates.

The OCC has set the Minimum Contract Requirement at $.375 per option contract.  This minimum amount might be less if the position is long and the premium is less than .375.  This number is then multiplied by the number of contracts held to find the total estimated minimum value for the position.

The Maximum Drawdown value, or the Risk Based Haircut amount, defines the margin amount that should be met for a position based on a sensitivity analysis.  The value is determined by considering the profit or loss impact on each position that would result from a pre-stated change in the share price of the underlying stock.  For example, if the share price were to drop by five percent, the Maximum Drawdown would show the margin amount needed to meet the haircut requirement for the position.  On this report, the volatility is held constant.

The actual haircut margin required for each position would be the greater of these two values, either the Minimum Contract Requirement or the Risk Based Haircut amount.

Use this report to quickly determine whether the margin has increased for a position due to an increase in actual risk, or simply because the Minimum Contract requirement changed for a contract.

See Configuring Your Reports to learn about configuring this report.

See Graphing your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking

Click Edit_parameters_button to set the parameters for the Haircut Changes Report.  Select a trading account and a Start Date and End Date.

Note that these dates do not represent a date range, but two different data points.  If you enter May 1 for the Start Date and May 31 as the End Date, the Haircut Changes Report will provide two sets of haircut values, one set for each day.  So you can use the Haircut Changes Report to show the change in haircut values between two specific dates.  You can select any two dates you like.

The Start Date defaults to the previous business day.  The End Date defaults to the current market trading session.  So by default the values shown on this report are the estimated total change in the margin per position.

Column 

Name

Description

Position Position The symbol of the position, showing the symbol of the underlying stock and the trading account.
Underlyer/Und Underlying symbol Ticker symbol of underlying stock
Account Account Trading account
Sector Sector Major business sector for underlying stock, such as Energy or Industrial
SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
Trader Trader ID code  
StartMinContract Minimum Contract Requirement at Start Date The minimum haircut margin held for this position at the Start Date, in dollars.  This value is $.375 times the number of contracts.
StartRisk Risk-Based Haircut Balance at Start Date The maximum haircut margin for this position at the Start Date, in dollars.  This dollar amount equals the maximum drawdown of capital that is drawn from the sensitivity analysis. The percentage of change in the underlying share price that would provoke the maximum drawdown is shown in the StartUndMove column.
StartUndMove Percent Move in Underlying Share Price The percent of change in underlying price that the Risk Analysis scenario found causes the maximum drawdown of capital at the Start Date.  The OCC provides a series of pre-defined values for the percent change in underlying price, and one of these incremental values will appear in this field.
StartHaircut Haircut Balance at Start Date The actual haircut, or margin, in dollars set aside for each position at the Start Date.  This will either be the Minimum Contract Value or the Risk Based Haircut Balance; whichever is greater.
EndMinContract Minimum Contract Requirement at End Date The minimum haircut margin held for this position at the End Date, in dollars.  This value is $.375 times the number of contracts.
EndRisk Risk-Based Haircut Balance at End Date The maximum haircut margin for this position at the End Date, in dollars.  This dollar amount equals the maximum drawdown of capital that is shown by the sensitivity analysis. The percentage of change in the underlying share price that would provoke the maximum drawdown is shown in the EndUndMove column.
EndUndMove Percent Move in Underlying Share Price The percent of change in underlying price that the Risk Analysis scenario found causes the maximum drawdown of capital at the End Date.  The OCC provides a series of pre-defined values for the percent change in underlying price, and one of these incremental values will appear in this field.
EndHaircut Haircut Balance at End Date The actual haircut, or margin, in dollars set aside for each position at the End Date.  This will either be the Minimum Contract Value or the Risk Based Haircut Balance; whichever is greater.
ChgMinContract Change in Minimum Contract Requirement The change in the minimum haircut margin requirement for the position between the Start Date and the End Date.
ChgRiskHaircut Change in Risk-Based Haircut Balance The change in the maximum haircut margin (based on risk analysis) for the position between the Start Date and the End Date.
ChgHaircut Change in Haircut Balance The change in the actual haircut margin held for each position between the Start Date and the End Date.

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Haircut Extended Report

The haircut margin, expressed as a dollar amount, is the amount of capital you need to hold in reserve to secure each position, based on requirements provided by the Options Clearing Corporation.

RiskEdge calculates the potential profit and loss amounts for the Haircut Extended Report using these three techniques.

1.      SD Move in Underlying Stock Price.  This is the haircut margin for each position estimated using a risk analysis based on SDMoves in the share price of the underlying stock.  This set of values shows the impact on the haircut margin for an options contract position in response to a sudden and sharp change in the share price, or a “price shock.”  The possible change in share price is described as an interval of Standard Deviation, such as 3, 6 or 9 SDMoves, up or down, rather than as a percent change (such as 3%, 6%, or 9%) as provided on the Haircut Changes Report.

2.      Percent Change in Underlying Stock Price and Change in Implied Volatility.  Here the haircut margin is estimated using a risk analysis that considers the result of both a sudden percentage change in the share price of the underlying stock and a sudden change in the implied volatility.  In this case the Haircut Extended Report uses the same standard set of intervals of percent change in underlying share price as does the Haircut Changes Report.

3.      SD Move in Underlying Stock Price and Change in Implied Volatility.  This risk analysis method estimates the haircut margin that results both from a sudden change in the underlying share price and a sudden change in implied volatility, as with number 2 above.  But in this case the change in share price for the underlying stock is described in terms of intervals of Standard Deviation, rather than using a percentage change of the share price.  Volatility price shock intervals are always offered in units of percent of volatility, regardless of whether the underlying price changes as percentages or SDMoves.

Note that the Haircut Extended Report presents the final haircut margin amount for each position in two ways.  The first is the Haircut Margin Requirement Percent Change in Underlying Price, or PctHaircut.  This value also appears on the Haircut Changes Report.  The other is the Haircut Margin Requirement SDMove in Underlying Price, or SDHaircut.  These two haircut dollar amounts, PctHaircut and SDHaircut, generally do not match because they are calculated in different ways.

The PctHaircut represents the margin level provided by the Options Clearing Corporation, so it is a quick and effective way to calculate the haircut for an options position and it meets the regulatory requirements.  But this method is not specific to any stock; it merely assigns hypothetical changes to share price at the level of the options class.  As a result it is not a particularly accurate method for assessing risk or actual market performance over time.

The SDHaircut method factors in the implied volatility of a specific underlying symbol to yield a more precise range of potential changes in the share price for that stock.  The SDMove method can consider the history of share price changes for a specific stock, so it can produce a margin amount for a position that is more reliable.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking

Click  Edit_parameters_button to set the parameters for the Haircut Extended Report.  Select a trading account and a Start Date and End Date.

Unlike the Haircut Changes Report, these dates represent a date range.  If you enter May 1 for the Start Date and May 31 as the End Date, the Haircut Extended Report will provide one record for each set of haircut values for each position, one line item for each trading date.  Use the Haircut Extended Report to show how the haircut values for a position have changed over time.  You can select any two dates you like.  By default both the Start Date and the End Date are set to the current trading date, so the report only shows values for the current day.

Column Heading Name Description
TradeDate Trade Date All of the trade dates that fall between the Start Date and the End Date for each position will be shown, one per line, with one options record for each date.
Position Position The symbol of the position, showing the symbol of the underlying stock and the trading account.
Sector Sector Major business sector for underlying stock, such as Energy or Industrial
SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
Trader Trader ID Code
Underlyer Underlying Stock Ticker symbol for underlying stock
Account Trading Account Most RiskEdge users will have a single trading account at their firms.
MinContractHaircut Minimum Amount of Contract Haircut The minimum haircut margin held for this position as of the date shown, in dollars.  This value is $.375 times the number of contracts. This is the same value as shown in the Minimum Haircut Requirement column (End Date Minimum Contract) on the Haircut Changes Report
PctHaircut Haircut Margin Requirement, Percent Change in Share Price The actual haircut, or margin, in dollars set aside for each position as of the date shown, estimated by RiskEdge.This is the same value as shown in the Haircut Balance column (End Date Haircut) on the Haircut Changes Report
PctUndMove Percent Change in Underlying Share Price The percent of change in underlying price that the risk analysis found leads to the maximum drawdown or haircut balance. 
SDHaircut Haircut Margin Requirement, Standard Deviation Move in Underlying Share Price The maximum drawdown calculated by the risk analysis using underlying price changes based on the SDMove and considering implied volatility for the underlying stock.  Unlike the PctHaircut column, the  units of change in the underlying price for the SDHaircut are considered in units of  Standard Deviations rather than as percentages.
SDUndMove Standard Deviation Move in Underlying Share Price The projected number of SDMoves in the underlying share price that the Risk Analysis scenario uses to calculate the SDHaircut balance described above.
MaxPctLoss Maximum Percent Loss The maximum loss determined by the Risk Analysis.  This analysis includes both price shocks and volatility shocks to the underlying stock.  Underlying price changes are based on percentage values.
MaxPctProfit Maximum Percent Profit The maximum profit determined by the Risk Analysis.  This analysis includes both price shocks and volatility shocks to the underlying stock.  Underlying price changes are based on percentage values.
NegPctUndMove Negative Percent  Underlying Move The percent change in the underlying share price.  This value is combined with the Negative Percent Volatility Move (NegPctVolMove) to cause the maximum loss value (MaxPctLoss).
NegPctVolMove Negative Percent  Volatility Move The percent change in the volatility.  This value is combined with the Negative Percent Underlying Move (NegPctUndMove) to cause the maximum loss value (MaxPctLoss).
PosPctUndMove Positive Percent Underlying Move The percent change in the underlying share price.  This value is combined with the Positive Percent Volatility Move (PosPctVolMove) to cause the maximum profit value (MaxPctProfit).
PosPctVolMove Positive Percent Volatility Move The percent change in the volatility.  This value is combined with the Positive Percent Underlying Move (PosPctUndMove) to cause the maximum profit value (MaxPctProfit).
MaxSDLoss Maximum Loss, by Standard Deviation Maximum loss found by the Risk Analysis using both share price and volatility shocks.  The underlying share price changes are based on SDMoves.
MaxSDProfit Maximum Profit, by Standard Deviation Maximum profit found by the Risk Analysis using both share price and volatility shocks.  The underlying share price changes are based on SDMoves.
NegSDUndMove Negative Underlying Move by Standard Deviation The number of SD Moves of the underlying share price.  This value is combined with the Negative Volatility Move by Standard Deviation (NegSDVolMove) to cause the maximum loss value (MaxSDLoss).
PosSDUndMove Positive Underlying Move by Standard Deviation The number of SD Moves of the underlying share price.  This value is combined with the Positive Volatility Move by Standard Deviation (PosSDVolMove) to cause the maximum profit value (MaxSDProfit).
NegSDVolMove Negative Volatility Move by Standard Deviation The percent change in volatility. This value is combined with the Negative Underlying Move by Standard Deviation (NegSDUndMove) to cause the maximum loss value (MaxSDLoss).
PosSDVolMove Positive Volatility Move by Standard Deviation The percent change in volatility. This value is combined with the Positive Underlying Move by Standard Deviation (PosSDUndMove) to cause the maximum profit value (MaxSDProfit).

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Hedge Basket Report

Use the Hedge Basket Report to generate a list of potential stock trades intended to hedge your deltas in each underlying position.  The records that appear are based on the values that you enter in the Parameters window.

The purpose of the Hedge Basket Report is to find the optimal hedge values for a position quickly.  You can also use it to guide you to creating actual trades to send to an execution system.

After you have the trade records you want, you can click Export_button to export the records shown on the Hedge Basket Report to an Excel spreadsheet.  Then, you can import these records into a trading system and execute them from there.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking.

Click Edit_parameters_button to set the parameters for the Hedge Basket Report. Use these to set up a basket of delta hedge trade records.

Trading Account Select a local trading account.
Minimum Long Gamma The lowest gamma value for long positions.  Any long positions with a smaller gamma value will not appear.
Minimum Short Gamma The lowest gamma value for short positions.  Any short positions with a smaller gamma value will not appear.
Long Gamma Ratio Delta divided by gamma for long options positions.  This determines the delta hedge, or weight.
Short Gamma Ratio Delta divided by gamma for short options positions.  This determines the delta hedge, or weight.
Slide Forward Enter a value of 1 to calculate the delta hedge (weight) based on the next trading date rather than today.  Enter 2 to determine the delta hedge two days in the future.

After you enter your parameters, click  Refresh_button to refresh the Report, and a list of basket trades appear.

Column Heading Name Description
Account Account Most RiskEdge users will have a single trading account at their firms.
Sector Sector Major business sector for underlying stock, such as Energy or Industrial
Subsector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
BuySide Buy Side Buy, Sell, or SSH (Sell Short)
SellSide Sell Side Buy, Sell, or SSH (Sell Short)
DayMM Daily contract value, Mark to Market The Mark to Market P/L for trades executed today.
DollarDelta Dollar Delta The Total Delta amount times the share price of the underlying stock.  This serves to render the Delta as a dollar value.
NetMM Net Mark to Market Net Mark to Market profit or loss for all positions, including day trades.
NetUndChange Net Underlying Change The net change in the price of a share of the underlying stock from the previous trading day.
OpenMM Mark to Market price at market open Mark to Market value for the position held at market open.
PercentUndChange Percentage Underlying Change The percent change in the value of a share of the underlying stock since the previous trading day.
PnlDelta Profit/Loss Delta  The amount of the Profit/Loss of the position that can be attributed to delta at the market open.   This is calculated by multiplying the change in share price by the position’s delta at market open.
PnlGamma Profit/Loss Gamma The amount of the Profit/Loss of the position that can be attributed to gamma at the market open.
PnlRho Profit/Loss Rho  The amount of the Profit/Loss of the position that can be attributed to rho at the market open.
PnlTheta Profit/Loss Theta The amount of the Profit/Loss of the position that can be attributed to time decay (theta) at the market open.
PnlVega Profit/Loss Vega The amount of the Profit/Loss of the position that can be attributed to changes in volatility (vega) at the market open.
PnlTotal Profit/Loss Total Total theoretical profit/loss for the opening position.  This is the total for all greek values plus day trades.
PnlTrackingError Profit/Loss Tracking Error The difference between the theoretical profit/loss and the net mark to market value, in absolute terms.
TotalDelta Total Delta Delta of the options contract, adjusted for the number of contracts.  The Total Delta value is the Raw Delta times the inventory.  So if the Raw Delta for an option is .9, the Total Delta would be 90 if the position holds 100 contracts.
TotalGamma Total Gamma Gamma of the options contract, adjusted for the number of contracts in the position.  The Total Gamma Value is the Raw Gamma times the inventory.
Trader Trader ID Code
Underlyer Underlyer Ticker symbol for underlying stock
UndPosition Underlying Position Number of shares held in underlying stock for this position
UndPrice Underlying Price Share price for underlying stock
Weight Weight Size of the trade order in shares

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Historical Position Risk Report

Type the position name (such as EOG.FTO002) in the Position field at the top of the report, or select the position using the Position Navigator.

All of the headings found on the Historical Position Risk Report also appear on the Historical Risk Report. The primary difference is that this report only displays a single position.

 Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking.

Column Heading Caption Name Description
Day DayMM Daily contract value, Mark to Market The Mark to Market P/L for trades executed today.
Open OpMM Open Mark to Market Mark to Market value for the position held at market open.
Net NetMM Net Mark to Market P/L Net Mark to Market profit or loss for all positions, including day trades.
ChangeEdge chEdge Change in Theoretical Edge The change in theoretical edge from yesterday to today, using a constant volatility
ConstVolEdge cvEdge Constant Volatility Edge The theoretical edge for a contract using today’s trade date but with the volatility held constant from the day before.
OpeningEdge oEdge Edge price at market open This value excludes day trading.
DeltaDecay dltDcy Delta Decay The decay in delta from today’s value to the delta calculated by the system for tomorrow, or for the next trading day.
DollarDelta doDlt Dollar Delta The Total Delta amount times the share price of the underlying stock.  This serves to render the Delta as a dollar value.
NetUndChange netUch Net Underlying Change The net change in the price of a share of the underlying stock from the previous trading day.
PercentUndChange pctUch Percentage Underlying Change The percent change in the value of a share of the underlying stock since the previous trading day.
Position Position Position The symbol of the position, showing the symbol of the underlying stock and the trading account.
pCapture pCapture Profit/Loss Capture The actual Profit/Loss on the position, not the amount on paper.  This is the Profit/Loss Gamma minus the Profit/Loss Theta and Delta.
PnlDelta pDlt Profit/Loss Delta The amount of the Profit/Loss of the position that can be attributed to delta at the market open.   This is calculated by multiplying the change in share price by the position’s delta at market open.
PnlGamma pGma Profit/Loss Gamma   The amount of the Profit/Loss of the position that can be attributed to gamma at the market open.
PnlRho pRho Profit/Loss Rho The amount of the Profit/Loss of the position that can be attributed to rho at the market open.
PnlTheta pTht Profit/Loss Theta The amount of the Profit/Loss of the position that can be attributed to time decay (theta) at the market open.
PnlTotal pTot Profit/Loss Total Total theoretical profit/loss for the opening position.  This is the total for all greek values plus day trades.
PnlVega pVeg Profit/Loss Vega The amount of the Profit/Loss of the position that can be attributed to changes in volatility (vega) at the market open.
TotalCalcTheta tcTht Total Calculated Theta Time Decay of the option contract, from today to the next business day and adjusted for the total quantity of contracts held.  This value is calculated by moving the trade date forward by one business day.
TotalDelta tDlt Total Delta Delta of the options contract, adjusted for the number of contracts.  The Total Delta value is the Raw Delta times the inventory.  So if the Raw Delta for an option is .9, the Total Delta would be 90 if the position holds 100 contracts.
TotalGamma tGma Total Gamma Gamma of the options contract, adjusted for the number of contracts in the position.  The Total Gamma Value is the Raw Gamma times the inventory.
TotalRho tRho Total Rho Rho of the options contract, not adjusted for the quantity or shares.  This is the Rho assigned to the individual security.  The Total Rho Value is the Raw Rho times the inventory.  
TotalTheoEdge tThEd Total Theoretical Edge Edge adjusted for the number of contracts in the position.
TotalTheta tTht Total Theta Theta of the options contract, adjusted for the number of contracts in the position.  The Total Theta Value is the Raw Theta times the inventory.
TotalVega tVga Total Vega Vega of the options contract, adjusted for the number of contracts in the position.  The Total Vega Value is the Raw Vega times the inventory.
Trade Date TradeDate Trade Date Date of last trade
Updated Updated Updated Date Date the record was last posted to RiskEdge
UndPosition uPos Underlying Position Number of shares held in underlying stock for this position
UndPrice uPrc Underlying Price Share price for underlying stock

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Historical Risk Report

This is a trade history.  It provides detailed values for each position based on the values shown on the date that your firm most recently completed trades.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking.

Click  Edit_parameters_buttonto display the Edit Parameters window and select a trading account and a range of trading dates.

The Historical Risk defaults to the current business day, but you can enter a range of trading dates to show historical trading activity for a group of positions in an account.  You can also select a single trading account or all accounts.

Column Heading Caption Name Description
Sector Sector Sector Major business sector for underlying stock, such as Energy or Industrial
SubSector SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
Trader Trader Trader ID Code
Account Account Trading Account Most RiskEdge users will have a single trading account at their firms.
Day DayMM Daily contract value, Mark to Market The Mark to Market P/L for trades executed today.
Open OpMM Open Mark to Market Mark to Market value for the position held at market open
Net NetMM Net Mark to Market P/L Net Mark to Market profit or loss for all positions, including day trades.
ChangeEdge chEdge Change in Theoretical Edge The change in theoretical edge from yesterday to today, using a constant volatility.
ConstVolEdge cvEdge Constant Volatility Edge The theoretical edge for a contract using today’s trade date but with the volatility held constant from the day before.
OpeningEdge oEdge Edge price at market open This value excludes day trading.
Day_DollarDelta $Dlt(d) Daily Dollar Delta The Total Delta amount times the share price of the underlying stock but limited to the trading for the current day.  This serves to render the Delta as a dollar value.
Day_TotalDelta tDlt(d) Daily Total Delta Delta of the options contract, adjusted for the quantity or shares but limited to the trading for the current day.  The Total Delta Value is the Raw Delta times the inventory.  So if the Raw Delta for an option is .9, the Total Delta would be 90 if you held 100 contracts.
Day_TotalGamma tGma(d) Daily Total Gamma Gamma of the options contract, adjusted for the quantity of contracts or shares but limited to the trading for the current day.  The Total Gamma Value is the Raw Gamma times the inventory.
Day_TotalTheta tThd(d) Daily Total Theta Theta of the options contract, adjusted for the quantity of contracts or shares but limited for the current trading day.  The Total Theta Value is the Raw Theta times the inventory.
Day_TotalCalcTheta tcTht(d) Daily Total Calculated Theta Time Decay of the option contract for the current trading day and adjusted for the total quantity or shares held.  The Calculated Theta is based on historical values, while the Raw Theta is a projected value returned by the pricing model.
Day_TotalVega tVeg(d) Daily Total Vega Vega of the options contract, adjusted for the quantity of contracts or shares but limited to the trading for the current day.  The Total Vega Value is the Raw Vega times the inventory.
Day_TotalRho tRho(d) Daily Total Rho Rho of the options contract, adjusted for the quantity of contracts or shares but limited to the trading for the current day.  The Total Rho Value is the Raw Rho times the inventory.
Day_TotalTheoEdge tThEd(d) Daily Total Theoretical Edge The total theoretical Edge value for the current trading day.
DeltaDecay dltDcy Delta Decay The decay in delta from today’s value to the delta calculated by the system for tomorrow, or for the next trading day.
DollarDelta doDlt Dollar Delta The Total Delta amount times the share price of the underlying stock.  This serves to render the Delta as a dollar value.
NetUndChange netUch Net Underlying Change The net change in the price of a share of the underlying stock from the previous trading day.
PercentUndChange pctUch Percentage Underlying Change The percent change in the value of a share of the underlying stock since the previous trading day.
Position Position Position The symbol of the position, showing the symbol of the underlying stock and the trading account.
PnlDelta pDlt Profit/Loss Delta The amount of the Profit/Loss of the position that can be attributed to delta at the market open.   This is calculated by multiplying the change in share price by the position’s delta at market open.
PnlGamma pGma Profit/Loss Gamma The amount of the Profit/Loss of the position that can be attributed to gamma at the market open.
PnlRho pRho Profit/Loss Rho The amount of the Profit/Loss of the position that can be attributed to rho at the market open.
PnlTheta pTht Profit/Loss Theta The amount of the Profit/Loss of the position that can be attributed to time decay (theta) at the market open.
PnlTotal pTot Profit/Loss Total Total theoretical profit/loss for the opening position.  This is the total for all greek values plus day trades.
PnlVega pVeg Profit/Loss Vega The amount of the Profit/Loss of the position that can be attributed to changes in volatility (vega) at the market open.
TotalCalcTheta tcTht Total Calculated Theta Time Decay of the option contract, from today to the next business day and adjusted for the total quantity of contracts held.  This value is calculated by moving the trade date forward by one business day.
TotalDelta tDlt Total Delta Delta of the options contract, adjusted for the number of contracts.  The Total Delta value is the Raw Delta times the inventory.  So if the Raw Delta for an option is .9, the Total Delta would be 90 if the position holds 100 contracts.
TotalGamma tGma Total Gamma Gamma of the options contract, adjusted for the number of contracts in the position.  The Total Gamma Value is the Raw Gamma times the inventory.
TotalRho tRho Total Rho Rho of the options contract, not adjusted for the quantity or shares.  This is the Rho assigned to the individual security.  The Total Rho Value is the Raw Rho times the inventory.
TotalTheoEdge tThEd Total Theoretical Edge Edge adjusted for the number of contracts in the position.
TotalTheta tTht Total Theta Theta of the options contract, adjusted for the number of contracts in the position.  The Total Theta Value is the Raw Theta times the inventory.
TotalVega tVga Total Vega Vega of the options contract, adjusted for the number of contracts in the position.  The Total Vega Value is the Raw Vega times the inventory.
Trade Date TradeDate Trade Date Date of last trade
Updated Updated Updated Date Date the record was last posted to RiskEdge
UndPosition uPos Underlying Position Number of shares held in underlying stock for this position
UndPrice uPrc Underlying Price Share price for underlying stock

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PNL Reconciliation Report

RiskEdge creates approximate settlement prices from the closing bid and ask prices.  All three of these values appear on the Reconciliation Report, to help you determine any “breaks” (discrepancies) related to the settlement prices as identified by the clearing corporation.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking.

Click  Edit_parameters_button to set the parameters for the PNL Reconciliation Report.

Select a single trading account to appear (defaults to All accounts).

Choose a minimum Dollar Difference.  This is the dollar amount of any discrepancy in profit or loss that results from a break in the price or quantity.  The Dollar Difference defaults to 0, meaning that any record with a discrepancy appears on the report.  You can enter a larger number to filter for more important discrepancies in the trade records.

Column Heading Caption Name Description
Account Account Trading Account Most RiskEdge users will have a single trading account at their firms.
Position Position Position The symbol of the position, showing the symbol of the underlying stock and the trading account.
Security Security Security This is the ticker symbol for the underlying stock, followed by the expiration date, the strike price, and whether the contract is call or put.
Symbol Symbol Symbol The OSI ticker symbol for the security. The Options Symbology Institute is an initiative by the Options Clearing Corporation and the Canadian Derivatives Clearing Corporation to create a standard set of symbols for listed options contracts.
Today_PrevMark Today_PrevMark Today’s Previous Mark Price The settlement price per contract provided by and downloaded from the clearing firm for this position.
Yest_Mark Yest_Mark Previous Mark Price The settlement price for the previous trading day, estimated by RiskEdge, and used for yesterday’s PNL calculations.
Today_Qty Today_Qty Today’s Quantity The number of contracts or securities held  today, as shown in RiskEdge.  The quantity is based on the Dollar Difference ($Diff)  calculations described below.
Yest_Qty Yest_Qty Previous Quantity The number of contracts or securities held as of market close yesterday, provided by the clearing firm.
Yest_Bid Yest_Bid Previous Bid Price Bid price at the close of the previous trading day provided by the clearing firm.
Yest_Ask Yest_Ask Previous Ask Price Ask price at the close of the previous trading day provided by the clearing firm.
$Diff ($MTMDiff) DollarDiff Dollar Difference The net collar amount of any profit or loss discrepancy resulting from breaks in the settlement prices.

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Position Reconciliation Report

Click Configuring Your Reports to learn about configuring this report.
Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.
Click Exporting Data to learn about exporting data from this report.
To display a position record in the VolEdge System, turn on Active Tracking.

Select a trading account to limit the records to that account on the Report, or select all accounts.

Column Heading Name Description
Account Account Trade account
BreakType Break Type The Break Type describes the type of discrepancy found between the records stored in RiskEdge and the matching records downloaded from your clearing firm. 

  • Quantity Out means that the number of contracts held for a position, as stated in the RiskEdge database, does not match the number of contracts stated by the clearing firm.

 

  • Today Position Missing means that a security symbol shown as held in RiskEdge on the previous trading day no longer appears for the current trading day.  Either the position was closed completely or the clearing firm found an error.

 

  • Yesterday Position Missing means that a new security symbol appears in the records from RiskEdge that the clearing firm did not find in the RiskEdge portfolio on the previous trading day.  Either this is a new position or the clearing firm found an error.

 

Today_Position Today’s Position The symbol of the position, showing the symbol of the underlying stock and the trading account.If the Break Type is Today Position Missing, this field will be blank.
Yest_Position Yesterday’s Position The symbol of the position, showing the symbol of the underlying stock and the trading account. If the Break Type is Yesterday Position Missing, this field will be blank.
Today_Security Today’s Security

This is the ticker symbol for the underlying stock, followed by the expiration date, the strike price, and whether the contract is call or put.

If the Break Type is Today Position Missing, this field will be blank.

Yest_Security Yesterday’s Security

This is the ticker symbol for the underlying stock, followed by the expiration date, the strike price, and whether the contract is call or put.

  
If the Break Type is Yesterday Position Missing, this field will be blank.

Today_Symbol Today’s Symbol

The OSI ticker symbol for the security. The Options Symbology Institute is an initiative by the Options Clearing Corporation and the Canadian Derivatives Clearing Corporation to create a standard set of symbols for listed options contracts.

If the Break Type is Today Position Missing, this field will be blank.

Yest_Symbol Yesterday’s Symbol The OSI ticker symbol for the security. The Options Symbology Institute is an initiative by the Options Clearing Corporation and the Canadian Derivatives Clearing Corporation to create a standard set of symbols for listed options contracts.

If the Break Type is Yesterday Position Missing, this field will be blank.

Today_Qty Today’s Quantity Number of contracts currently held for this position.  If the Break Type is Today Position Missing, this value will be zero.
Yest_Qty Yesterday’s Quantity Number of contracts held for this position at the close of trading yesterday.   If the Break Type is Yesterday Position Missing, this value will be zero.
Today_TradeDate Current Trade Date The current business day.
Yest_TradeDate Yesterday’s Trading Date The date of the last trading day.
Today_Delta Raw Delta, Today Delta of the options contract, not adjusted for the quantity or shares.  This is the Delta assigned to the individual security.  The Total Delta Value is the Raw Delta times the inventory.  So if the Raw Delta for an equity option is .9, the Total Delta would be 900 if you held 10 contracts.

If the Break Type is Today Position Missing, this field will be blank.

Yest_Delta Raw Delta, Yesterday Delta of the options contract, not adjusted for the quantity or shares.  This is the Delta assigned to the individual security.  The Total Delta Value is the Raw Delta times the inventory.  So if the Raw Delta for an equity option is .9, the Total Delta would be 900 if you held 10 contracts.

If the Break Type is Yesterday Position Missing, this field will be blank.

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Raw Position Data Report

For the Raw Position Data Report, two headings will be provided with a future version of the software:

  • Past Expiration Date Adjustment
  • Market Weighted Vega

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking.

Column Heading Name Description
Position Position The symbol of the position, showing the symbol of the underlying stock and the trading account.
Account Account Most RiskEdge users will have a single trading account at their firms.
Underlyer Underlying Symbol Ticker symbol for underlying stock
Sector Sector Major business sector for underlying stock, such as Energy or Industrial
SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
Trader Trader ID Code  
UndPrice Underlying Price Current share price.
UndPosition Underlying Position Number of shares held in underlying stock.
Open Mark to Market price at market open This value excludes day trading.
Day Daily contract value, Mark to Market The Mark to Market P/L for trades executed today.
Net Net Mark to Market Net Mark to Market profit or loss for all positions, including day trades.
DollarDelta Dollar Delta The Total Delta amount times the share price of the underlying stock.  This serves to render the Delta as a dollar value.
NetUndChange Net Underlying Change The net change in the price of a share of the underlying stock from the previous trading day.
PercentUndChange Percentage Underlying Change The percent change in the value of a share of the underlying stock since the previous trading day.
OpeningEdge Edge price at market open This value excludes day trading.
ChangeEdge Change in Theoretical Edge The change in theoretical edge from yesterday to today, using a constant volatility
ConstantVolEdge Constant Volatility Edge The theoretical edge for a contract using today’s trade date but with the volatility held constant from the day before.
PnlDelta Profit/Loss Delta  The amount of the Profit/Loss of the position that can be attributed to delta at the market open.   This is calculated by multiplying the change in share price by the position’s delta at market open.
PnlGamma Profit/Loss Gamma The amount of the Profit/Loss of the position that can be attributed to gamma at the market open.
PnlRho Profit/Loss Rho  The amount of the Profit/Loss of the position that can be attributed to rho at the market open.
PnlTheta Profit/Loss Theta The amount of the Profit/Loss of the position that can be attributed to time decay (theta) at the market open.
PnlVega Profit/Loss Vega The amount of the Profit/Loss of the position that can be attributed to changes in volatility (vega) at the market open.
PnlTotal Profit/Loss Total Total theoretical profit/loss for the opening position.  This is the total for all greek values plus day trades.
PnlTrackingError Profit/Loss Tracking Error The difference between the theoretical profit/loss and the net mark to market value, in absolute terms.
DeltaDecay Delta Decay The decay in delta from today’s value to the delta calculated by the system for tomorrow, or for the next trading day.
SDMove Standard Deviation Move in Underlying Share Price The implied change in the underlying share price extracted by the Implied Volatility level. SDMove = (Underlying Price * Vol%) / Square Root(252)
ATMVol At the Money Volatility
DollarDeltaDecay Dollar Delta Decay The change in the Dollar Delta for a contract from today to the next trading day.  This value parallels the Delta Decay, except that it shows the decay in delta for the position in terms of dollars.
DollarDeltaDecay Dollar Delta Decay The change in the Dollar Delta for a contract from today to the next trading day.  This value parallels the Delta Decay, except that it shows the decay in delta for the position in terms of dollars.
TotalCalcTheta Total Calculated Theta Time Decay of the option contract, from today to the next business day and adjusted for the total quantity of contracts held.  This value is calculated by moving the trade date forward by one business day.
TotalDelta Total Delta Delta of the options contract, adjusted for the number of contracts.  The Total Delta value is the Raw Delta times the inventory.  So if the Raw Delta for an option is .9, the Total Delta would be 90 if the position holds 100 contracts.
TotalGamma Total Gamma Gamma of the options contract, adjusted for the number of contracts in the position.  The Total Gamma Value is the Raw Gamma times the inventory.
TotalRho Total Rho Rho of the options contract, adjusted for the number of contracts in the position.  The Total Rho Value is the Raw Rho times the inventory.
TotalTheoEdge Total Theoretical Edge Edge adjusted for the number of contracts in the position.
TotalTheta Total Theta Theta of the options contract, adjusted for the number of contracts in the position.  The Total Theta Value is the Raw Theta times the inventory.
TotalVega Total Vega Vega of the options contract, adjusted for the number of contracts in the position.  The Total Vega Value is the Raw Vega times the inventory.
Day_DeltaDecay Daily Delta Decay The decay in delta from today’s opening value to the current delta calculated by the system.
Day_DollarDelta Daily Dollar Delta The Total Delta amount times the share price of the underlying stock but limited to the trading for the current day.  This serves to render the Delta as a dollar value.
Day_TotalDelta Daily Total Delta Delta of the options contract, adjusted for the quantity or shares but limited to the trading for the current day.  The Total Delta Value is the Raw Delta times the inventory.  So if the Raw Delta for an option is .9, the Total Delta would be 90 if you held 100 contracts.
Day_TotalGamma Daily Total Gamma Gamma of the options contract, adjusted for the quantity of contracts or shares but limited to the trading for the current day.  The Total Gamma Value is the Raw Gamma times the inventory.
Day_TotalTheta Daily Total Theta Theta of the options contract, adjusted for the quantity of contracts or shares but limited for the current trading day.  The Total Theta Value is the Raw Theta times the inventory.
Day_TotalCalcTheta Daily Total Calculated Theta Time Decay of the option contract for the current trading day and adjusted for the total quantity or shares held.  The Calculated Theta is based on historical values, while the Raw Theta is a projected value returned by the pricing model.
Day_TotalVega Daily Total Vega Vega of the options contract, adjusted for the quantity of contracts or shares but limited to the trading for the current day.  The Total Vega Value is the Raw Vega times the inventory.
Day_TotalRho Daily Total Rho Rho of the options contract, adjusted for the quantity of contracts or shares but limited to the trading for the current day.  The Total Rho Value is the Raw Rho times the inventory.
Day_TotalTheoEdge Daily Total Theoretical Edge The total theoretical Edge value for the current trading day
Open_TotalCalcTheta Total Calculated Theta at Market Open Time Decay of the option contract at market open for the current trading day.  The Calculated Theta is based on historical values, while the Raw Theta is a projected value returned by the pricing model.
Open_TotalDelta Open Total Delta Delta of the options contract, adjusted for the number of contracts and at the market open.  The Total Delta value is the Raw Delta times the inventory.  So if the Raw Delta for an option is .9, the Total Delta would be 90 if the position holds 100 contracts.
Open_TotalGamma Open Total Gamma Gamma of the options contract, adjusted for the number of contracts in the position and at market open.  The Total Gamma Value is the Raw Gamma times the inventory.
Open_TotalRho Open Total Rho Rho of the options contract, adjusted for the number of contracts in the position and at market open.  The Total Rho Value is the Raw Rho times the inventory.
Open_TotalTheoEdge Open Total Theoretical Edge Edge adjusted for the number of contracts in the position at market open.
Open_TotalTheta Open Total Theta Theta of the options contract, adjusted for the number of contracts in the position at market open.  The Total Theta Value is the Raw Theta times the inventory.
Open_TotalVega Open Total Vega Vega of the options contract, adjusted for the number of contracts in the position and at market open.  The Total Vega Value is the Raw Vega times the inventory.
Open_DollarDelta Dollar Delta, Market Open The Total Delta amount at the market open times the share price of the underlying stock.  This serves to render the Delta as a dollar value.
Vegapct Vega Percentage The vega multiplied by the Implied Volatility, or the volatility weighted vega.
SDGamma Standard Deviation Gamma The gamma multiplied by the SDMove, or the Standard Deviation move in the underlying share price.The SDMove is the implied change in the underlying share price extracted by the Implied Volatility level.SDMove = (Underlying Price * Vol%) / Square Root (252)
DollarGamma Dollar Gamma Gamma multiplied by the underlying share price.
DollarGammaPct Dollar Gamma Percentage Dollar gamma per percent change in the share price of the underlying security.
WeightedVega Weighted Vega Vega normalized to last two months (time weighted vega)
WeightedVegaPct Weighted Vega Percentage Volatility weighted vega, normalized by time.  This is the time and volatility weighted vega.
PremOverParity Premium over Parity The dollar amount by which each contract is trading over parity, multiplied by the total number of contracts held in the position.  If the contract is not In the Money, this value will be zero.  Long positions are positive and short positions negative.
MinHaircut Minimum Haircut The minimum haircut value using the Options Clearing Corporation’s minimum haircut calculation.

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Creating Smaller Custom Position Reports — RiskEdge

Note that after you add a set of changes to a report you can save it as a custom report and access it again later from the View Menu.  For example, you might want to create a combined report that describes all options contracts due to be exercised, and includes headings found in both the Call Exercise and Put Exercise Reports.  You could also filter the values that appear in the column headings on this new report so that it only shows contracts that are In the Money or where the strike prices are within 50 cents of being At the Money.  Or you could filter the values to appear in the Earnings Report to only show the positions that earned or lost the most money over the last month.

After you finish your edits to create a custom report, click Custom_View_button to save it as a Custom View.  RiskEdge will ask you to assign a name to the new report:

Custom_View_name_window

Give the edited report whatever name you like.  It will appear as one of the tab items on the top of the screen.

Your new custom report will also be saved so you can access it from the View Menu.  Click View and Customized, and the report appears.

Custom_View_access

Copying a Custom Report to a Different Workstation

After you use RiskEdge to create a custom report, you don’t have to keep your good fortune to yourself.  You can copy the report to another workstation so that another trader in your office can use it.

1.      Close the RiskEdge software on both workstations.

2.      Open the RiskEdge/Settings/Customized Views folder on both computers.

3.      Find the DESC file and the LAYOUT file for the custom report on the source computer and copy both files to the Customized Views folder on the target workstation.

4.      Open the RiskEdge/Settings/GUI folder on both machines.

5.      Find the XML file for the custom report you created in this directory.  It should have the name that you assigned to the custom report when you created it in RiskEdge.

6.      Copy this XML file to the RiskEdge/Settings/GUI folder on the target workstation.

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Raw Security Data Report

All of the headings found on the Raw Security Data Report also appear on the Raw Security Data Plus Volatilities Report.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking

Column Heading Name Description
Security Security This is the ticker symbol for the underlying stock, followed by the expiration date, the strike price, and whether the contract is call or put.
Position Position The symbol of the position, showing the symbol of the underlying stock and the trading account.
Account Account Most RiskEdge users will have a single trading account at their firms.
Underlyer Underlyer Ticker symbol of underlying stock.
StrikePrice Strike Price on Contract
ExpDateDisplay Expiration Date Expiration date for options contracts, but shown in a simpler way, such as “October 2011.”  For a contract not due to expire for four months, the field might show the date as simply the month or the month and year, as the exact date of expiration is not relevant so far into the future.
Type Type of Security Und (underlying stock), call, or put.
Sector Sector Major business sector for underlying stock, such as Energy or Industrial
SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
Trader Trader ID Code  
Symbol Symbol The OSI ticker symbol for the security. The Options Symbology Institute is an initiative by the Options Clearing Corporation and the Canadian Derivatives Clearing Corporation to create a standard set of symbols for listed options contracts.
AvgCost Average cost The cumulative net amount spent to buy and sell contracts or shares for this position for the current trading day.
Quantity Quantity Number of shares or contracts held for the position.
Mark Mark Price Current mark price for share or contract.
Bid Bid Price Current bid price for a contract or share.
Ask Ask Price Current ask price for a  contract or share.
LastSale Last price Last Sale price for the share or contract.
Volume Previous Volume Trade volume for position for previous day.
PrevMark Mark Price for Previous Day Closing Mark for previous day.
PrevBid Previous Bid Price Bid price at the close of the previous trading day.
PrevAsk Previous Ask Price Ask price at the close of the previous trading day.
Close Price at Market Close
PrevVolume Previous Volume Trade volume for position for previous day.
HedgePrice Hedge Price The underlying hedge price for the options class.  In nearly every case the Hedge Price will equal the share price for the underlying stock, because most of the time a contract represents 100 shares of stock.  But the Hedge takes into account corporate actions that can change the ratio of an options contract to the underlying equity, such as a stock split or a merger.
UndPrice Underlying Price Share price for underlying stock.
UndPosition Underlying Position Number of shares held in underlying stock for this position.
PinPrice Pin Price Current share price for the underlying stock.
DollarDiff Dollar Difference The difference in dollars between the strike price on an options contract and the current share price of the underlying stock.  This value shows how close a contract is to being In the Money.  
PercentDiff Percent Difference The percent difference between the strike price on an options contract and the current share price of the underlying stock.  This shows you how close a contract is to being In the Money.  The value is shown as an absolute value (positive).
ImpliedVol Implied Volatility  
CallPutVol Call/Put Volatility This is the volatility provided to the pricing model to calculate the theoretical value for the option contract.  The system assigns a single volatility value per strike price for all options contracts in a class, both call and put contracts.
PrevImpliedVol Previous Implied Volatility Implied Volatility for the previous trading day for a single call or put contract.
PrevAvgImpliedVol Previous Average Implied Volatility Average implied volatility for the previous trading day, across all calls and puts for a strike.
TheoPrice Theoretical Price Calculated theoretical price from the pricing model for a contract or share
Delta Raw Delta Delta of the options contract, not adjusted for the quantity or shares.  This is the Delta assigned to the individual security.  The Total Delta Value is the Raw Delta times the inventory.  So if the Raw Delta for an equity option is .9, the Total Delta would be 900 if you held 10 contracts.
Gamma Raw Gamma Gamma of the options contract, not adjusted for the quantity or shares.  This is the gamma assigned to the individual security.  The Total Gamma Value is the Raw Gamma times the inventory.  
Theta Raw Theta Theta of the options contract, not adjusted for the quantity or shares.  This is the Theta assigned to the individual security.  The Total Theta value is the Raw Theta times the inventory.
Vega Raw Vega Vega of the options contract, not adjusted for the quantity or shares.  This is the Vega assigned to the individual security.  The Total Vega Value is the Raw Vega times the inventory.  
Rho Raw Rho Rho of the options contract, not adjusted for the quantity or shares.  This is the Rho assigned to the individual security.  The Total Rho Value is the Raw Rho times the inventory.
RawCalcTheta Raw Calculated Theta Time Decay of the option contract, from today to the next business day.  This value is calculated by incrementing the trade date by one business day, and thus is based on historical values, while the Raw Theta is a projected value returned by the pricing model.
NetUndChange Net Underlying Change The net change in the price of a share of the underlying stock from the previous trading day.
PercentUndChange Percent Underlying Change The percent change in the value of a share of the underlying stock since the previous trading day.
OpeningEdge Edge price at market open This value excludes day trading.
Change Edge Change in Theoretical Edge The change in theoretical edge from yesterday to today, using a constant volatility
ConstVolEdge Constant Volatility Edge The theoretical edge for a contract using today’s trade date but with the volatility held constant from the day before.
DeltaDecay Delta Decay The decay in delta from today’s value to the delta calculated by the system for tomorrow, or for the next trading day.  
Open Mark to Market price at market open This value excludes day trading.
Day Daily contract value, Mark to Market The Mark to Market P/L for trades executed today.
Net Net Mark to Market Net Mark to Market profit or loss for all positions, including day trades.
DollarDelta Dollar Delta The Total Delta amount times the share price of the underlying stock.  This serves to render the Delta as a dollar value.
PnlDelta Profit/Loss Delta The amount of the Profit/Loss of the position that can be attributed to delta at the market open.   This is calculated by multiplying the change in share price by the position’s delta at market open.
PnlGamma Profit/Loss Gamma The amount of the Profit/Loss of the position that can be attributed to gamma at the market open.
PnlRho Profit/Loss Rho The amount of the Profit/Loss of the position that can be attributed to rho at the market open.
PnlTheta Profit/Loss Theta The amount of the Profit/Loss of the position that can be attributed to time decay (theta) at the market open.
PnlTotal Profit/Loss Total Total theoretical profit/loss for the opening position.  This is the total for all greek values plus day trades.
PnlVega Profit/Loss Vega The amount of the Profit/Loss of the position that can be attributed to changes in volatility (vega) at the market open.
TotalCalcTheta Total Calculated Theta Time Decay of the option contract, from today to the next business day and adjusted for the total quantity of contracts held.  This value is calculated by moving the trade date forward by one business day.
TotalDelta Total Delta Delta of the options contract, adjusted for the number of contracts.  The Total Delta value is the Raw Delta times the inventory.  So if the Raw Delta for an option is .9, the Total Delta would be 90 if the position holds 100 contracts.
TotalGamma Total Gamma Gamma of the options contract, adjusted for the number of contracts in the position.  The Total Gamma Value is the Raw Gamma times the inventory.
TotalRho Total Rho Rho of the options contract, adjusted for the number of contracts in the position.  The Total Rho Value is the Raw Rho times the inventory.
TotalTheoEdge Total Theoretical Edge Edge adjusted for the number of contracts in the position.
TotalTheta Total Theta Theta of the options contract, adjusted for the number of contracts in the position.  The Total Theta Value is the Raw Theta times the inventory.
TotalVega Total Vega Vega of the options contract, adjusted for the number of contracts in the position.  The Total Vega Value is the Raw Vega times the inventory.
PnlTrackingError Profit/Loss Tracking Error The difference between the theoretical profit/loss and the net mark to market value.
Day_DeltaDecay Daily Delta Decay The decay in delta from today’s opening value to the current delta calculated by the system.
Day_DollarDelta Daily Dollar Delta The Total Delta amount times the share price of the underlying stock but limited to the trading for the current day.  This serves to render the Delta as a dollar value.
Day_Quantity Daily Quantity Quantity traded on the current trading day.
Day_TotalCalcTheta Daily Total Calculated Theta Time Decay of the option contract for the current trading day and adjusted for the total quantity or shares held.  The Calculated Theta is based on historical values, while the Raw Theta is a projected value returned by the pricing model.
Day_TotalDelta Daily Total Delta Delta of the options contract, adjusted for the quantity or shares but limited to the trading for the current day.  The Total Delta Value is the Raw Delta times the inventory.  So if the Raw Delta for an option is .9, the Total Delta would be 90 if you held 100 contracts.
Day_TotalGamma Daily Total Gamma Gamma of the options contract, adjusted for the quantity of contracts or shares but limited to the trading for the current day.  The Total Gamma Value is the Raw Gamma times the inventory.
Day_TotalRho Daily Total Rho Rho of the options contract, adjusted for the quantity of contracts or shares but limited to the trading for the current day.  The Total Rho Value is the Raw Rho times the inventory.
Day_TotalTheoEdge Daily Total Theoretical Edge The total theoretical edge value for the current trading day
Day_TotalTheta Daily Total Calculated Theta Time Decay of the option contract for the current trading day and adjusted for the total quantity or shares held.  The Calculated Theta is based on historical values, while the Raw Theta is a projected value returned by the pricing model.
Day_TotalVega Daily Total Vega Vega of the options contract, adjusted for the quantity of contracts or shares but limited to the trading for the current day.  The Total Vega Value is the Raw Vega times the inventory.
Day_DeltaDecay Daily Delta Decay The decay in delta from today’s opening value to the current delta calculated by the system.
Open_Quantity Open Quantity Number of shares or contracts for position held at market open.
Open_TotalCalcTheta Total Calculated Theta at Market Open Time Decay of the option contract at market open for the current trading day.  The Calculated Theta is based on historical values, while the Raw Theta is a projected value returned by the pricing model.
Open_TotalDelta Open Total Delta Delta of the options contract, adjusted for the number of contracts and at the market open.  The Total Delta value is the Raw Delta times the inventory.  So if the Raw Delta for an option is .9, the Total Delta would be 90 if the position holds 100 contracts.
Open_TotalGamma Open Total Gamma Gamma of the options contract, adjusted for the number of contracts in the position and at market open.  The Total Gamma Value is the Raw Gamma times the inventory.
Open_TotalRho Open Total Rho Rho of the options contract, adjusted for the number of contracts in the position and at market open.  The Total Rho Value is the Raw Rho times the inventory.
Open_TotalTheoEdge Open Total Theoretical Edge Edge adjusted for the number of contracts in the position at market open.
Open_TotalTheta Open Total Theta Theta of the options contract, adjusted for the number of contracts in the position at market open.  The Total Theta Value is the Raw Theta times the inventory.
Open_TotalVega Open Total Vega Vega of the options contract, adjusted for the number of contracts in the position and at market open.  The Total Vega Value is the Raw Vega times the inventory.
Open_DeltaDecay Delta Decay, Market Open The decay in delta from the market open to the current delta value calculated by the system.
Open_DollarDelta Dollar Delta, Market Open The Total Delta amount at the market open times the share price of the underlying stock.  This serves to render the Delta as a dollar value.
Vegapct Vega Percentage The vega multiplied by the Implied Volatility, or the volatility weighted vega.
SDGamma Standard Deviation Gamma The gamma multiplied by the SDMove, or the Standard Deviation move in the underlying share price.The SDMove is the implied change in the underlying share price extracted by the Implied Volatility level.SDMove = (Underlying Price * Vol%) / Square Root (252)
DollarGamma Dollar Gamma Gamma multiplied by the underlying share price.
DollarGammaPct Dollar Gamma Percentage Dollar gamma per percent change in the share price of the underlying security.
WeightedVega Weighted Vega Vega normalized to last two months (time weighted vega)
WeightedVegaPct Weighted Vega Percentage Volatility weighted vega, normalized by time.  This is the time and volatility weighted vega.
PremOverParity Premium over Parity The dollar amount by which each contract is trading over parity, multiplied by the total number of contracts held in the position.  If the contract is not In the Money, this value will be zero.  Long positions are positive and short positions negative.
MinHaircut Minimum Haircut The minimum haircut value using the Options Clearing Corporation’s minimum haircut calculation.

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Raw Securities Data Plus Volatilities Report

 

You may want to select just the headings you need and sort them as best for your use, and then save your changes to create smaller custom volatilities reports based on the information shown on the Raw Security Data Plus Volatilities Report.

 

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking

Column Heading Name Description
Security Security This is the ticker symbol for the underlying stock, followed by the expiration date, the strike price, and whether the contract is call or put.
Position Position The symbol of the position, showing the symbol of the underlying stock and the trading account.
Account Account Most RiskEdge users will have a single trading account at their firms.
Underlyer Underlyer Ticker symbol of underlying stock
StrikePrice Strike Price on Contract
ExpDateDisplay Expiration Date Expiration date for options contracts, but shown in a simpler way, such as “October 2011.”  For a contract not due to expire for four months, the field might show the date as simply the month or the month and year, as the exact date of expiration is not relevant so far into the future.
Type Type of Security Und (underlying stock), call, put
Sector Sector Major business sector for underlying stock, such as Energy or Industrial
SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
Trader Trader ID Code
Symbol Symbol The OSI ticker symbol for the security. The Options Symbology Institute is an initiative by the Options Clearing Corporation and the Canadian Derivatives Clearing Corporation to create a standard set of symbols for listed options contracts.
AvgCost Average cost The cumulative net amount spent to buy and sell contracts or shares for this position for the current trading day.
Quantity Quantity Number of shares or contracts held for the position.
Mark Mark Price Current mark price for share or contract.
Bid Bid Price Current bid price for a contract or share.
Ask Ask Price Current ask price for a  contract or share.
LastSale Last price Last Sale price for the share or contract.
Volume Previous Volume Trade volume for position for previous day.
PrevMark Mark Price for Previous Day Closing Mark for previous day.
PrevBid Previous Bid Price Bid price at the close of the previous trading day.
PrevAsk Previous Ask Price Ask price at the close of the previous trading day.
Close Close Price at market close.
PrevVolume Previous Volume Trade volume for position for previous day.
HedgePrice Hedge Price The underlying hedge price for the options class.  In nearly every case the Hedge Price will equal the share price for the underlying stock, because most of the time a contract represents 100 shares of stock.  But the Hedge takes into account corporate actions that can change the ratio of an options contract to the underlying equity, such as a stock split or a merger.
UndPrice Underlying Price Share price for underlying stock.
UndPosition Underlying Position Number of shares held in underlying stock for this position.
PinPrice Pin Price Current share price for the underlying stock.
DollarDiff Dollar Difference The difference in dollars between the strike price on an options contract and the current share price of the underlying stock.  This value shows how close a contract is to being In the Money.  
PercentDiff Percent Difference The percent difference between the strike price on an options contract and the current share price of the underlying stock.  This shows you how close a contract is to being In the Money.  The value is shown as an absolute value (positive).
ImpliedVol Implied Volatility 
CallPutVol Call/Put Volatility This is the volatility provided to the pricing model to calculate the theoretical value for the option contract.  The system assigns a single volatility value per strike price for all options contracts in a class, both call and put contracts.
PrevImpliedVol Previous Implied Volatility Implied Volatility for the previous trading day for a single call or put contract.
PrevAvgImpliedVol Previous Average Implied Volatility Average implied volatility for the previous trading day, across all calls and puts for a strike.
TheoPrice Theoretical Price Calculated theoretical price from the pricing model for a contract or share
Delta Raw Delta Delta of the options contract, not adjusted for the quantity or shares.  This is the Delta assigned to the individual security.  The Total Delta Value is the Raw Delta times the inventory.  So if the Raw Delta for an equity option is .9, the Total Delta would be 900 if you held 10 contracts.
Gamma Raw Gamma   Gamma of the options contract, not adjusted for the quantity or shares.  This is the gamma assigned to the individual security.  The Total Gamma Value is the Raw Gamma times the inventory.  
Theta Raw Theta Theta of the options contract, not adjusted for the quantity or shares.  This is the Theta assigned to the individual security.  The Total Theta value is the Raw Theta times the inventory.
Vega Raw Vega   Vega of the options contract, not adjusted for the quantity or shares.  This is the Vega assigned to the individual security.  The Total Vega Value is the Raw Vega times the inventory.  
Rho Raw Rho Rho of the options contract, not adjusted for the quantity or shares.  This is the Rho assigned to the individual security.  The Total Rho Value is the Raw Rho times the inventory.
RawCalcTheta Raw Calculated Theta Time Decay of the option contract, from today to the next business day.  This value is calculated by incrementing the trade date by one business day, and thus is based on historical values, while the Raw Theta is a projected value returned by the pricing model.
NetUndChange Net Underlying Change The net change in the price of a share of the underlying stock from the previous trading day.
PercentUndChange Percent Underlying Change The percent change in the value of a share of the underlying stock since the previous trading day.
OpeningEdge Edge price at market open This value excludes day trading.
Change Edge Change in Theoretical Edge The change in theoretical edge from yesterday to today, using a constant volatility
ConstVolEdge Constant Volatility Edge The theoretical edge for a contract using today’s trade date but with the volatility held constant from the day before.
DeltaDecay Delta Decay The decay in delta from today’s value to the delta calculated by the system for tomorrow, or for the next trading day.  
Open Mark to Market price at market open This value excludes day trading.
Day Daily contract value, Mark to Market

The Mark to Market P/L for trades executed today.

 

Net Net Mark to Market Net Mark to Market profit or loss for all positions, including day trades.
DollarDelta Dollar Delta The Total Delta amount times the share price of the underlying stock.  This serves to render the Delta as a dollar value.
PnlDelta Profit/Loss Delta The amount of the Profit/Loss of the position that can be attributed to delta at the market open.   This is calculated by multiplying the change in share price by the position’s delta at market open.
PnlGamma Profit/Loss Gamma  The amount of the Profit/Loss of the position that can be attributed to gamma at the market open.
PnlRho Profit/Loss Rho The amount of the Profit/Loss of the position that can be attributed to rho at the market open.
PnlTheta Profit/Loss Theta The amount of the Profit/Loss of the position that can be attributed to time decay (theta) at the market open.
PnlTotal Profit/Loss Total Total theoretical profit/loss for the opening position.  This is the total for all greek values plus day trades.
PnlVega Profit/Loss Vega The amount of the Profit/Loss of the position that can be attributed to changes in volatility (vega) at the market open.
TotalCalcTheta Total Calculated Theta Time Decay of the option contract, from today to the next business day and adjusted for the total quantity of contracts held.  This value is calculated by moving the trade date forward by one business day.
TotalDelta Total Delta Delta of the options contract, adjusted for the number of contracts.  The Total Delta value is the Raw Delta times the inventory.  So if the Raw Delta for an option is .9, the Total Delta would be 90 if the position holds 100 contracts.
TotalGamma Total Gamma Gamma of the options contract, adjusted for the number of contracts in the position.  The Total Gamma Value is the Raw Gamma times the inventory.
TotalRho Total Rho Rho of the options contract, adjusted for the number of contracts in the position.  The Total Rho Value is the Raw Rho times the inventory.
TotalTheoEdge Total Theoretical Edge Edge adjusted for the number of contracts in the position.
TotalTheta Total Theta Theta of the options contract, adjusted for the number of contracts in the position.  The Total Theta Value is the Raw Theta times the inventory.
TotalVega Total Vega Vega of the options contract, adjusted for the number of contracts in the position.  The Total Vega Value is the Raw Vega times the inventory.
PnlTrackingError Profit/Loss Tracking Error The difference between the theoretical profit/loss and the net mark to market value.
Day_DeltaDecay Daily Delta Decay The decay in delta from today’s opening value to the current delta calculated by the system.
Day_DollarDelta Daily Dollar Delta The Total Delta amount times the share price of the underlying stock but limited to the trading for the current day.  This serves to render the Delta as a dollar value.
Day_Quantity Daily Quantity Quantity traded on the current trading day.
Day_TotalCalcTheta Daily Total Calculated Theta Time Decay of the option contract for the current trading day and adjusted for the total quantity or shares held.  The Calculated Theta is based on historical values, while the Raw Theta is a projected value returned by the pricing model.
Day_TotalDelta Daily Total Delta Delta of the options contract, adjusted for the quantity or shares but limited to the trading for the current day.  The Total Delta Value is the Raw Delta times the inventory.  So if the Raw Delta for an option is .9, the Total Delta would be 90 if you held 100 contracts.
Day_TotalGamma Daily Total Gamma Gamma of the options contract, adjusted for the quantity of contracts or shares but limited to the trading for the current day.  The Total Gamma Value is the Raw Gamma times the inventory.
Day_TotalRho Daily Total Rho Rho of the options contract, adjusted for the quantity of contracts or shares but limited to the trading for the current day.  The Total Rho Value is the Raw Rho times the inventory.
Day_TotalTheoEdge Daily Total Theoretical Edge The total theoretical Edge value for the current trading day
Day_TotalTheta Daily Total Calculated Theta Time Decay of the option contract for the current trading day and adjusted for the total quantity or shares held.  The Calculated Theta is based on historical values, while the Raw Theta is a projected value returned by the pricing model.
Day_TotalVega Daily Total Vega Vega of the options contract, adjusted for the quantity of contracts or shares but limited to the trading for the current day.  The Total Vega Value is the Raw Vega times the inventory.
Day_DeltaDecay Daily Delta Decay The decay in delta from today’s opening value to the current delta calculated by the system.
Open_Quantity Open Quantity Number of shares or contracts for position held at market open.
Open_TotalCalcTheta Total Calculated Theta at Market Open Time Decay of the option contract at market open for the current trading day.  The Calculated Theta is based on historical values, while the Raw Theta is a projected value returned by the pricing model.
Open_TotalDelta Open Total Delta Delta of the options contract, adjusted for the number of contracts and at the market open.  The Total Delta value is the Raw Delta times the inventory.  So if the Raw Delta for an option is .9, the Total Delta would be 90 if the position holds 100 contracts.
Open_TotalGamma Open Total Gamma Gamma of the options contract, adjusted for the number of contracts in the position and at market open.  The Total Gamma Value is the Raw Gamma times the inventory.
Open_TotalRho Open Total Rho Rho of the options contract, adjusted for the number of contracts in the position and at market open.  The Total Rho Value is the Raw Rho times the inventory.
Open_TotalTheoEdge Open Total Theoretical Edge Edge adjusted for the number of contracts in the position at market open.
Open_TotalTheta Open Total Theta Theta of the options contract, adjusted for the number of contracts in the position at market open.  The Total Theta Value is the Raw Theta times the inventory.
Open_TotalVega Open Total Vega Vega of the options contract, adjusted for the number of contracts in the position and at market open.  The Total Vega Value is the Raw Vega times the inventory.
Open_DeltaDecay Delta Decay, Market Open The decay in delta from the market open to the current delta value calculated by the system.
Open_DollarDelta Dollar Delta, Market Open The Total Delta amount at the market open times the share price of the underlying stock.  This serves to render the Delta as a dollar value.
OneWkHVNetEarn Historical Volatility Net Earnings  Historical Volatility for previous week, with the effect of Net Earnings removed.  The goal of this set of values is to display only the impact of market forces on volatility, and exclude how earnings reports affect share prices.
TwoWkHVNetEarn Historical Volatility for previous two weeks with the effect of Net Earnings removed.
OneMHVNetEarn   Historical Volatility for the previous month with the effect of Net Earnings removed.
TwoMHVNetEarn Historical Volatility for the previous two months with the effect of Net Earnings removed.
ThreeMHVNetEarn   Historical Volatility for the previous three months with the effect of Net Earnings removed.
SixMHVNetEarn Historical Volatility for the previous six months with the effect of Net Earnings removed.
OneYHVNetEarn   Historical Volatility for the previous 12 months with the effect of Net Earnings removed.
OneMATM At the Money Volatility The Implied Volatility for the At the Money contracts for the first expiration month.
TwoMATM   The Implied Volatility for the At the Money contracts for the second expiration month.
ThreeMATM The Implied Volatility for the At the Money contracts for the third expiration month.
FourMATM   The Implied Volatility for the position for At the Money contracts for the fourth expiration month.
FiveMATM The Implied Volatility for At the Money contracts for the fifth expiration month.
SixMATM   The Implied Volatility for At the Money contracts for the sixth expiration month.
UpcomingEarningsDate Upcoming Earnings Date The next scheduled earnings date for the underlying stock.
EarningsReleaseTime Earnings Release Time When the earnings report will be released, with respect to the market session on the Upcoming Earnings Date.  The value that appears can be “Before,” “During,” “After,” or “Unknown.”  For example, an Earnings Date can be offered as July 15, but it can be projected to happen After the market closes on this date.
EarningsStatus Earnings Status Either “Estimated” or “Confirmed” appears.  This applies to the other earnings values shown on the Earnings Report, such as Days until Earnings and Earnings Date.
Avg_Total_Volume Average Total Volume Average trade volume for all puts and calls for this underlyer over the last 30 days.
HasEarnings A code to show whether or not the underlying stock has an earnings report. A “1” appears if an earnings report was released for the underlying stock last night after the market closing or today before the open. A “0” means that no earnings were reported recently.
DaysUntilEarnings Days until Earnings Number of days until the next earnings report for the underlying stock, either estimated or confirmed.
OneMIVOneWkChg Monthly Implied Volatility Weekly Change Change in the One Month Implied Volatility over the last week.RiskEdge calculates a new set of Implied Volatility values each day for one month, two months, three months, six months, one year, and two years.  These sets of daily data points are collected and used to calculate volatility averages, changes, and high and low values.  For example, every day the system calculates a new three month Implied Volatility value for each position.  So in the course of the year, from July 10, 2009 to July 9, 2010, the system will compile about 240 three-month volatility numbers.  From this data set the system calculates the lowest three-month volatility value over the last 12 months, as of the current day, the highest three-month value, and the average of all values.  This report, the Raw Security Data Plus Volatilities, provides the changes for each monthly volatility value for the last trading week.
TwoMIVOneWkChg   Change in the Two Month Implied Volatility over the last week.
ThreeMIVOneWkChg Change in the Three Month Implied Volatility over the last week.
SixMIVOneWkChg   Change in the Six Month Implied Volatility over the last week.
OneYIVOneWkChg Change in the One Year Implied Volatility over the last week.

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Risk Monitor

You can use this report to keep track of the risk performance of each position, starting with the price and volatility levels for each position when it was first purchased.  This allows you to consider the prices and volatility levels at which positions were accumulated, or “carried,” and compare those values to current market levels.  The carry volatility is the average volatility of all of the trades for a security over the life of the position, weighted by the size of the trades in that security. The carry volatility accounts for both buy and sell transactions. So you can use the Risk Monitor to identify existing positions that should be busted, or closed.

The report can also show multiple rows per underlying stock symbol.  The report provides the Implied Volatility for each security and calculates the Carry Volatility since the Origination Date of the position.

You can enter your own  Origination Date, Carry Volatility, and Exit Volatility values for any position on the Risk Monitor using the Carry Volatility Override tool.  If you don’t provide an Origination Date, the report defaults to the date that the position was purchased or added to the portfolio.  RiskEdge will calculate a Carry Volatility for each position if you don’t enter one manually on the Carry Volatility Override, but it will not supply an Exit Volatility.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking

Click  Edit_parameters_button to set the parameters for the Risk Monitor. These three values limit the information that appears.

Position To limit the report to only show values for a specific position, type that position in this field.  To show all positions, delete any value in the Position field.
VolListName Select a Volatility List Name to serve as the source of the exit volatilities per symbol.  The Risk Monitor uses the buy and sell level from your Volatility List and adjusts them according to the market curve per expiration.  So your levels are skew-adjusted per strike when populating the exit volatility.  Your buy level will be used as the source for the exit volatility for short contracts and the sell level for long contracts.
Buy or Sell Compression Ratio Use the compression ratio to tighten, or compress, your volatility list levels when you convert them to exit volatilities.   For example, you may have 30/36 levels in AAPL July.  You want to open positions there, but you may be willing to exit at tighter level.  Using a BuyCompression of 0.02 means your exit volatility for a short position in the ATM strike will be 30+.02*30=30.6.
Include Underlyers Check this box to include a row for each underlying stock symbol. This describes the overall stock position on the report, as opposed to the individual options contract positions based on an underlying stock.RiskEdge does not calculate carry levels for stock, but if you enter a Carry Volatility override value it will apply it to the stock positions.
Ignore Carry Overrides Check this box to show the Carry Volatility Override levels for stocks.  It will show Carry Volatilities and Edge calculations provided by RiskEdge and ignore any manual override values entered for any security positions by users with the Carry Volatility Override tool.
Column Heading Name Description
Account Account Trade account
Position Position The symbol of the position, showing the symbol of the underlying stock and the trading account.
Underlyer Underlying Symbol Symbol of underlying stock.
OriginationDate Origination Date for position The date entered by the user in the Carry Volatility Editor tool, to use as the starting date for calculating Carry Volatility values. If the user has entered an override value for the Carry Volatility in the editor tool, however, the report ignores the Origination Date.
Sector Sector Major business sector for underlying stock, such as Energy or Industrial
SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
Trader Trader ID Code
CurrentPosition Current Position Number of shares or contracts held, or short
CurrentPremium Current Premium Premium
Day_Quantity Daily Quantity Quantity traded on the current trading day.
Open_Quantity Open Quantity Number of shares or contracts for position held at market open.
Symbol Symbol The OSI ticker symbol for the security. The Options Symbology Institute is an initiative by the Options Clearing Corporation and the Canadian Derivatives Clearing Corporation to create a standard set of symbols for listed options contracts.
ExpDate Expiration Date Date contract expires
StrikePrice Strike Price on Contract  
Type Contract Type Put or call
Mark Mark Price Current mark price for share or contract.
PrevMark Mark Price for Previous Day Closing Mark for previous day.
PositionVega Position Vega The Vega for the position
PositionPNLVega Position PNL Vega The profit or loss attributable to Vega for all options positions for each underlying stock.
SecurityVega Security Vega The Vega for the individual security
SecurityPNLVega Security PNL Vega The profit or loss attributable to Vega for the single security.
Delta Raw Delta Delta of the options contract, not adjusted for the quantity or shares.  This is the Delta assigned to the individual security.  The Total Delta Value is the Raw Delta times the inventory.  So if the Raw Delta for an equity option is .9, the Total Delta would be 900 if you held 10 contracts.
Bid Bid Price Current bid price for a contract or share.
Ask Ask Price Current ask price for a  contract or share.
BidVol Bid Price Volatility The volatility of the bid price when the last trade was completed for this security.
AskVol Ask Price Volatility The volatility of the ask price when the last trade was completed for this security.
TotalCompositeVolume Total Composite Volume The total trade volume for this position from the date the position was added to the portfolio.
UndPrice Underlying Share Price Price of underlying stock.
NetUndChange Net Underlying Change The net change in the price of a share of the underlying stock from the previous trading day.
PercentUndChange Percentage Underlying Change The percent change in the value of a share of the underlying stock since the previous trading day.
CurrentPremiumOverParity Premium Over Parity The dollar amount by which each contract is trading over parity, multiplied by the total number of contracts held in the position.  If the contract is not In the Money, this value will be zero.  Long positions are positive and short positions negative.
PositionSide Position and Side This describes the Vega and Gamma for the position for the underlying stock.  The values that appear will be LongShort, ShortLong, LongLong, or ShortShort.
BuyTodayQuantity Buy Quantity Total number of shares or contracts purchased today
SellTodayQuantity Sell Quantity Total number of shares or contracts sold today
BuyTodayPremium Premium for Today’s Purchases Premium
SellTodayPremium Premium for Today’s Sales Premium
BuyTodayAvgPrice Average Price for Today’s Purchases
SellTodayAvgPrice Average Price for Today’s Sales  
BuyTodayAvgVolatility Average Volatility for Today’s Purchases The average Implied Volatility of the buys for this security for the day.
SellTodayAvgVolatility Average Volatility for Today’s Sales The average Implied Volatility of the sales for this security for the day.
CarryVol Carry Volatility The average Implied Volatility for the historical transactions for this security, weighted for the size of the trades.  This value can be calculated by the system or a user can enter an override value.
ExitVol Exit Volatility The target volatility for closing a position, provided by the user.
CarryPrice Carry Price The average price at which the security is carried, or accumulated.
BustEdgePct Bust Edge Percentage The percentage difference between the Carry Volatility and the current market volatility.  If the position is profitable, this number will be positive.  This is a percentage of the base volatility.  For example, a Carry Volatility of 30 percent in a long position, with a market bid volatility of 33 percent, would show a 10 percent Bust Edge Percentage. The difference is three points, which is ten percent of the Carry Volatility shown (30). This edge value is calculated using the market bid if the position is long, and market ask if the position is short. 

The term “Bust” here refers to exiting, or closing out, an existing position.  The Bust Edge Percentage helps you to determine if you ought to trade out of a position that is performing poorly.

BustEdgePNL Bust Edge Profit or Loss The dollar amount of profit or loss from busting the position in the market right now, relative to the Carry Volatility.  If the position is profitable, this number will be positive.  This edge value is calculated using the market bid if the position is long, and market ask if the position is short.The term “Bust” here refers to existing, or closing out, an existing position.  The Bust Edge Percentage helps you to determine if you ought to trade out of a position that is performing poorly.
ExitEdgePct Exit Edge Percentage The percentage difference between the Exit Volatility and the current market volatility.  If the position is profitable, this number will be positive. This is a percentage of the base volatility.  For example, an Exit Volatility of 30 percent in a long position, with a market bid volatility of 33 percent, would show a 10 percent Bust Edge Percentage. The difference is three points, which is ten percent of the Exit Volatility shown (30). 

This edge value is calculated using the market bid if the position is long, and market ask if the position is short.

ExitEdgePNL Exit Edge Profit or Loss The dollar amount of profit or loss from busting the position in the market right now, relative to the Exit Volatility.   If the position is profitable, this number will be positive. The Exit Edge PNL is similar to the amount of edge still in the security position.This edge value is calculated using the market bid if the position is long, and market ask if the position is short.

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Risk Slide and Risk Slide History

The Risk Slide shows how values vary depending on stepwise percentage changes in the share price and volatility for the underlying stock.  That is, first you would select a metric to consider, such as profit/loss or Delta or Vega.  Then, you would look at the Risk Slide Report for a given security to see how the profit/loss or Delta or Vega changes at each incremental change in the share price of the underlying stock and the Implied Volatility.  For example, you could see how the Delta would change for a position if the share price of the underlying stock was unchanged while the volatility was up by 2 steps.  Or you could see how the profitability would change if the stock price was up by 4 steps and the volatility was down by 4 steps.  The values on this report update every two minutes based on market conditions.

The two reports, Risk Slide and Risk Slide History, are identical except that for the Risk Slide History you can enter a date range for historical analysis.  The Risk Slide History offers parameters to enter a Start Date and an End Date.

Click Configuring Your Reports to learn about configuring this report.
Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking

Click Edit_parameters_button to set the parameters for the Risk Slide or Risk Slide History Report. These values limit the information that appears.

For the History Report, select a Start Date and End Date to define the time period.  Enter December 1 and December 31 to show the Risk Slide values that were recorded for your portfolio for each day in the month of December.  Both dates default to the previous trade date.

Select a trade account, or select all accounts.

Risk Metric Select the Risk Metric used.  Defaults to profit/loss. 
 The Metric is the result shown in the screen for each combination of volatility and stock price change.  For example, you could set up the metric to show the change in Delta or Calculated Theta based on the same sensitivity analysis. The available metric values for the Risk Matrix include: 

  • Profit/Loss
  • Delta
  • Dollar Delta
  • Delta Decay
  • Gamma
  • Dollar Gamma
  • Theta
  • Calculated Theta
  • Vega
  • Rho
Slide Volatility True or False.  Set this value to false if you don’t want to display the effect of the incremental percentage changes in volatility for the report. If this value is turned off, the report will only show the effect of incremental changes in the underlying share price.  For example, you will be able to see the impact on profit/loss or Delta values for a 2 percent increase in the value of the underlying stock, but any changes to the Implied Volatility will be disregarded, and will not appear.
Column Heading Name Description
Trade Date Trade Date Current trade date
Position Position The symbol of the position, showing the symbol of the underlying stock and the trading account.
Account Account Trade account
Underlyer Underlyer Ticker symbol for underlying stock
Sector Sector Major business sector for underlying stock, such as Energy or Industrial
SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
Trader Trader ID Code
UndDown6VolUp6 Underlying share price down six, Volatility up six The resulting change to the metric value (such as profit/loss or delta) based on the proposed change in share price and volatility.  For example, you could see the change in vega for a proposed six step increase in the underlying share price and a six step drop in the volatility.
UndDown5VolUp5 Underlying share price down five, Volatility up five
UndDown4VolUp4 Underlying share price down four, Volatility up four  
UndDown3VolUp3 Underlying share price down three, Volatility up three
UndDown2VolUp2 Underlying share price down two, Volatility up two  
UndDown1VolUp1 Underlying share price down one, Volatility up one
UndUnchVolUp2 Underlying share price unchanged, Volatility up two
UndUnchVolUnch Underlying share price unchanged, Volatility unchanged
UndUnchVolDown2 Underlying share price unchanged, Volatility down two
UndUp1VolDown1 Underlying share price up one, Volatility down one
UndUp2VolDown2 Underlying share price up two, Volatility down two  
UndUp3VolDown3 Underlying share price up three, Volatility down three
UndUp4VolDown4 Underlying share price up four, Volatility down four
UndUp5VolDown5 Underlying share price up five, Volatility down five
UndUp6VolDown6 Underlying share price up six, Volatility down six

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Risk Slide by Position

The Risk Slide by Position Report is similar to the Risk Slide Report.  Like the Risk Slide it is a quick version of the Risk Matrix.  The Risk Slide by Position allows you to sort and filter records that appear, like most other reports in the system, but shows you how a given metric value might vary depending on stepwise percentage changes in the share price and volatility for the underlying stock.

The available metric values for the Risk Slide by Position include:

  • Profit/Loss
  • Delta
  • Dollar Delta

    The Total Delta amount times the share price of the underlying stock.  This serves to render the Delta as a dollar value.

  • Delta Decay

    The decay in delta from today’s value to the delta calculated by the system for tomorrow, or for the next trading day.

  • Gamma
  • Dollar Gamma

    The Total Gamma times the share price of the underlying stock.  This renders the Gamma as a dollar value.

  • Theta
  • Calculated Theta

    Time Decay of the option contract, from today to the next business day and adjusted for the total quantity of contracts held.  This value is calculated by moving the trade date forward by one business day.

  • Vega
  • Rho

To look at the current price and volatility percentage step values, see below.

Underlying down 6 Volatility up 6 Underlying down 5 Volatility up 5 Underlying down 4 Volatility up 4 Underlying down 3 Volatility up 3 Underlying down 2 Volatility up 2 Underlying down 1 Volatility up 1 Underlying unchanged Volatility up 2 Underlying unchanged
Volatility unchanged
Price Step
Percent
-50 -35 -20 -10 -5 -1 0 0
Vol Step
Percent
75 50 30 20 10 5 10 0
Underlying unchanged Volatility down 2 Underlying up 1 Volatility down 1 Underlying up 2 Volatility down 2 Underlying up 3 Volatility down 3 Underlying up 4 Volatility down 4 Underlying up 5 Volatility down 5 Underlying up 6 Volatility down 6
Price Step
Percent
0 1 5 10 20 35 50
Vol Step
Percent
-10 -5 -10 -20 -30 -50 -75

Unlike the Risk Slide and Risk Slide History Report, you have to select a single position using the Position Navigator, and you can only look at values for one position at a time.  Also, the metric values all appear on the report by default.  You don’t have to select one metric value to consider.

You can use the Risk Slide Position Report for a given security to see how the profit/loss or Delta or Vega changes at each  incremental change in the share price of the underlying stock and the Implied Volatility.  For example, you could see how the Delta would change for a position if the share price of the underlying stock was unchanged while the volatility was up by 2 steps.  Or you could see how the profitability would change if the stock price was up by 4 steps and the volatility was down by 4 steps.  The values on this report update every two minutes based on market conditions.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking

Click Edit_parameters_button to set the parameters for the Earnings Report. These three values limit the information that appears.

Position -The position you selected using the Position Navigator appears.  You can also type in a position value to change the position covered by the report.
Slide Volatility -True or False.  Set this value to false if you don’t want to display the effect of the incremental percentage changes in volatility for the report. If this value is turned off, the report will only show the effect of incremental changes in the underlying share price.  For example, you will be able to see the impact on profit/loss or Delta values for a 2 percent increase in the value of the underlying stock, but any changes to the Implied Volatility will be disregarded, and will not appear.
Column Heading Name Description
Position Position The symbol of the position, showing the symbol of the underlying stock and the trading account.
Account Account Trade account
Underlyer Underlyer Ticker symbol for underlying stock
Sector Sector Major business sector for underlying stock, such as Energy or Industrial
SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
Trader Trader ID Code  
Metric Metric value Each of the available metric values appear for each share price and volatility value:

  • Profit/Loss
  • Delta
  • Dollar Delta
  • Delta Decay
  • Gamma
  • Dollar Gamma
  • Theta
  • Calculated Theta
  • Vega
  • Rho
MetricSort Metric value sorting Click on the heading for the Metric Sort column to sort the values shown.  PNL is number 1, so you can sort the records to show the profit/loss value first.
UndDown6VolUp6 Underlying share price down six, Volatility up six The resulting change to the metric value (such as profit/loss or delta) based on the proposed change in share price and volatility.  For example, you could see the change in vega for a proposed six step increase in the underlying share price and a six step drop in the volatility.
UndDown5VolUp5 Underlying share price down five, Volatility up five  
UndDown4VolUp4 Underlying share price down four, Volatility up four
UndDown3VolUp3 Underlying share price down three, Volatility up three  
UndDown2VolUp2 Underlying share price down two, Volatility up two
UndDown1VolUp1 Underlying share price down one, Volatility up one  
UndUnchVolUp2 Underlying share price unchanged, Volatility up two
UndUnchVolUnch Underlying share price unchanged, Volatility unchanged  
UndUnchVolDown2 Underlying share price unchanged, Volatility down two
UndUp1VolDown1 Underlying share price up one, Volatility down one
UndUp2VolDown2 Underlying share price up two, Volatility down two
UndUp3VolDown3 Underlying share price up three, Volatility down three
UndUp4VolDown4 Underlying share price up four, Volatility down four
UndUp5VolDown5 Underlying share price up five, Volatility down five
UndUp6VolDown6 Underlying share price up six, Volatility down six

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Premium Over Parity Report

This report can be useful as a quick reference for profit or loss adjustments at expiration, or for reference before looking for more detailed data on another report.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking

Click Edit_parameters_button  to set the parameters for the Premium Over Report. Select the Trade Date for the records to appear, and the Trading Account, or all accounts.  The Trade Date defaults to today, but you can enter an earlier date if you like.

Column Heading Caption Name Description
Account Account Account Most RiskEdge users will have a single trading account at their firms.
Underlyer Und Underlying Price Price per share of underlying stock.
Trader Trader Trader ID Code
Sector Sector Sector Major business sector for underlying stock, such as Energy or Industrial
SubSector SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
PremOverParity PremOverParity Premium Over Parity The dollar amount by which each contract is trading over parity, multiplied by the total number of contracts held in the position.  If the contract is not In the Money, this value will be zero.  Long positions are positive and short positions negative.

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Premium Over Parity by Month Report

Use this report to look at options positions In the Money and sorted by the Premium over Parity (extrinsic) value, and grouped by underlying symbol.

This report can be useful as a quick reference for profit or loss adjustments at expiration, or for reference before looking for more detailed data on another report.

The Premium Over Parity by Month is nearly identical to the Premium Over Parity, except the underlying positions are broken out by the Expiration Date.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking

Click Edit_parameters_button to set the parameters for the Premium Over Report. Select the Trade Date for the records to appear, and the Trading Account, or all accounts.  The Trade Date defaults to today, but you can enter an earlier date if you like.

Column Heading Caption Name Description
Account Account Account Most RiskEdge users will have a single trading account at their firms.
Underlyer Und Underlying Price Price per share of underlying stock.
ExpDate ExpDate Expiration Date Expiration date of contract.
Trader Trader Trader ID Code
Sector Sector Sector Major business sector for underlying stock, such as Energy or Industrial
SubSector SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
PremOverParity PremOverParity Premium Over Parity The dollar amount by which each contract is trading over parity, multiplied by the total number of contracts held in the position.  If the contract is not In the Money, this value will be zero.  Long positions are positive and short positions are negative.

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Volatility Trade History by Account Report

The Volatility Trade History Report provides a transaction history for every options trade, with one row for each trade.  The report provides standard market data as well as greek and implied volatility values, including the Carry Volatility for the trade.  RiskEdge uses this trade data to calculate the Carry Volatility values shown on the Risk Monitor Report. 

If you want to limit the records shown on this report to trades related to a single position, type the symbol of the underlying stock in the Position field and press Enter.  You can also click on a position from the Navigation bar on the left side of the report.  To go back to listing trades for all positions, delete the value in the Position field and press Enter.

Click Edit_parameters_button to set the parameters for the Volatility Trade History Report. These values limit the information that appears.

Include Underlyers Check this box to include rows by underlying stock symbol. This describes the overall stock position on the report, as opposed to the individual options contract positions based on an underlying stock. RiskEdge does not calculate carry levels for stock, but if you enter a Carry Volatility override value it will apply it to the stock positions.
Ignore Carry Overrides Check this box to show the Carry Volatility Override levels for stocks.  It will show Carry Volatilities and Edge calculations provided by RiskEdge and ignore any manual override values entered for any security positions by users with the Carry Volatility Override tool.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking

Column Heading Name Description
TradeDate Trade Date The date the transaction was completed.
Account Account Trade account
Underlyer Underlying Symbol Symbol of underlying stock.
Trader Trader ID Code  
ExpDate Expiration Date Date contract expires
BusExpDays Business Days until Expiration Number of trading days until the contract expires. 
StrikePrice Strike Price Strike price of the At the Money options contract.
CallPut Call or Put  C for Call or P for Put regarding the At the Money options contract
Side Side Buy or Sell
Quantity Quantity of contracts in position Number of contracts held, long or short (-).
TradeVolatility Trade Volatility Volatility for the individual trade record.
BidVolatility Bid Volatility Bid price volatility.
AskVolatility Ask Volatility Ask price volatility.
UnderlyerMid Underlying Share Price Midway The share price for the underlying stock midway between the bid price and the ask price.
Price Share Price Underlying share price.
BestBid Best Bid Price The highest bid price for the security
BestAsk Best Ask Price The highest ask price for the security
Delta Raw Delta Delta of the options contract, not adjusted for the quantity or shares.  This is the Delta assigned to the individual security.  The Total Delta Value is the Raw Delta times the inventory.  So if the Raw Delta for an equity option is .9, the Total Delta would be 900 if you held 10 contracts.
Gamma Raw Gamma Gamma of the options contract, not adjusted for the quantity or shares.  This is the gamma assigned to the individual security.  The Total Gamma Value is the Raw Gamma times the inventory.
Vega Raw Vega  Vega of the options contract, not adjusted for the quantity or shares.  This is the Vega assigned to the individual security.  The Total Vega Value is the Raw Vega times the inventory.  
Rho Raw Rho Rho of the options contract, not adjusted for the quantity or shares.  This is the Rho assigned to the individual security.  The Total Rho Value is the Raw Rho times the inventory.
Theta Raw Theta Theta of the options contract, not adjusted for the quantity or shares.  This is the Theta assigned to the individual security.  The Total Theta value is the Raw Theta times the inventory.
TradePremium Trade Premium The Premium value for the specific trade.

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The Risk & PNL Matrix

The only difference between the Risk Matrix and the PNL Matrix is that the PNL Matrix only provides Profit/Loss as the metric for displaying results on the screen.  For the Risk Matrix, you can set up the report to show the change in, say, the Delta, or the Calculated Theta for each combination of volatility and stock price change.  For the Risk Matrix, a variety of different metric value settings are offered in addition to Profit/Loss.

The PNL Matrix only offers profit/loss as a metric because that makes the report work faster and easier to use.  Some users find that they are primarily interested in looking at values related to profit and loss anyway.

You will need to click Refresh_button to refresh the data that appears on the Risk Matrix in order to update the values that appear.  You will need to click this button whenever you make a change to any of the settings on the screen.  The Risk Matrix does not automatically update its values.

The Risk Matrix has it’s own export utility.  Click Risk_Matrix_Save_Button to copy the data shown on the screen to an external XML file.

For more information see the following pages:

  • Working with the Risk and PNL Matrix
  • Showing Detailed Position Records on the Matrix Reports
  • Navigating to the Records you want to Display
  • Manually Selecting Positions to Appear
  • Editing the Parameters and Creating your Own Scenarios

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Working with the Risk and PNL Matrix

These values show the sensitivity of your portfolio to changes in share price and volatility.

Risk_Matrix_01

By default, the values across the top of the screen, from left to right, are potential percentage changes in the average price of the underlying stock for every position in your portfolio.

On the Risk Matrix you can also use the Stock Volatility Surface Slide.  Click Risk_Matrix_VolSurface_Slide_1.  A slide tool appears.

Risk_Matrix_VolSurface_Slide_2

Use this tool to model options contract prices according to a volatility surface.  You can uncheck “Use Volatility Surface” to turn this feature off.

When the Volatility surface is not selected, all options are modeled using the current bid/ask mid from the marketplace.

When the Volatility surface is selected, the options are modeled using an interpolated market fit surface.  The value of 0 to 1.0 determines the volatility sensitivity to price movement for each options contract.  A zero means that the option’s volatility is unaffected by price movement, or the volatilities per strike remain unchanged as price moves.  And 1.00 means that at the money volatility is the same regardless of underlying price.  The volatilities per strike change such that the volatility of the at-the-money strike before the price slide is the same as the volatility of the at-the-money strike after the price move.

Click the Beta button, Beta_button, in the upper right corner of the window, to turn on the Beta feature.  If the beta is turned on, the system will use the Risk Beta field as the beta value for each underlying stock.

Note that these share prices may be adjusted for Beta. The beta is a measure of a security’s sensitivity to changes in the market, as represented by a primary index such as the S&P 500 or other benchmark like US Treasury Bills.  If the beta is 1.1, it means that the security has outperformed the index by ten percent in up markets and lagged behind by ten percent in down markets.If the share prices are adjusted for Beta, the percent change in share price is multiplied by Beta before being applied to stock price.  For example, the column showing profit for a +5% move will actually reflect a 5% decrease in price for a stock with a -1 Beta.

If you are using “SDMoves” as the incremental value for the price axis, however, the SDMove is only adjusted by the sign of the Beta.  For a stock with a Beta of -2, the +1 SDMove column would reflect a -1 SDMove decrease in price.  This is because the SDMove already reflects the volatility specific to the stock.

If you would like to set up the Risk Matrix or PNL Matrix to adjust share prices for Beta, please speak to your RiskEdge representative.

The values on the left column, from top to bottom, are the possible percentage changes in implied volatility for the same positions.

The results shown in the table are (by default) the profit or loss totals that should result with each change.  Note that you can change the Risk Matrix window (but not the PNL Matrix) to use a different metric other than Profit/Loss, such as the impact of the change in share price and volatility on greek values.  Click Editing the Parameters and Creating your own Scenarios page to learn about how to change the parameters on the Risk Matrix.

So in the above example of the Risk Matrix, if the average overall share price of the underlying stocks in your portfolio drops by five percent, and the implied volatility for the portfolio climbs by three percent, your portfolio stands to gain about $64,000 in value.

Risk_Matrix_01_crop

The volatility used in the sensitivity analysis is the CPVol (Call or Put Contract Volatility), which is the volatility provided to the pricing model to calculate the theoretical value for each individual call or put contract.

Click on the showing detailed position records on the matrix reports page to learn about displaying a detailed record on the Risk Matrix or PNL Matrix for a specific position.

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Showing Detailed Position Records on the Risk Matrix

As long as this button,Risk_Matrix_06C_Hide_button , Hide Detail, is clicked, only the summary values appear on the Matrix.

Click  Risk_Matrix_06A_Detail_Matrix_button to show the Detail Matrix.  The Detail Matrix appears on the bottom of the report, showing the same information as the top but for a specific position that you select:

Risk_Matrix_02

ClickRisk_Matrix_06B_Detail_Breakdown_button  to show the Detail Breakdown.  This allows you to select a single volatility value for the position shown on the Detail View:

Risk_Matrix_11_Detail_Breakdown

If you select Flat Volatility or a single volatility percentage, the Detail Breakdown shows only the effect of changes to the average stock price, given the volatility you selected.

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Navigating to the Records you Want to Display

Click  Risk_Matrix_06F_Active_Trackingto select Active Tracking.  This allows you to use the standard Position Navigator on the left side of the Screen to select a position to display in the Detail View.

ClickRisk_Matrix_06G_Local_Tracking  to select Local Tracking.  In this case you would select the position you want to display using the special tree view that appears on the bottom right side of the Risk Matrix window.

Local Tracking is helpful if you want to set up the Matrix window to float in a separate window, and move it to the other side of your monitor.  With Local Tracking turned on you can select securities to display more quickly.  Also, with Local Tracking turned on, you don’t need to match the selection criteria to the Position Navigator.  For example, you could sort securities on the Risk Matrix or PNL Matrix by Sector, and securities on the Trade Summary by Trader and Expiration Date.

The Local Tracking search tool works the same way as the Position Navigator but it only applies to the Risk Matrix or PNL Matrix.  Choose a value on the list on the top right side of the screen to define how the positions in the Local Tracking tool are sorted.

Risk_Matrix_07

If you select Underlyer, the values shown in the Local Tracking tree will be sorted by the symbols of the underlying stock:

Risk_Matrix_08

If you want to switch back and forth between the Active Tracking and the Local Tracking on the Risk Matrix or PNL Matrix, both options need to be grouped the same way.  For example, if you set the Position Navigator to sort securities by Sector:

Risk_Matrix_09

The Active Tracking utility needs to be set up to sort by Sector too:

Risk_Matrix_10

You can also manually select positions by clicking the icons shown on the bottom of the screen to click up the tree.

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Manually Selecting Positions to Appear

For example, you could display a record for an individual put contract for Chevron stock (CVX) in the Detail Breakdown on the bottom of the Risk or PNL Matrix.

Click Risk_Matrix_06D_Risk_Matrix_Up_One-1 to display the entire position for Chevron, including all of the related put and call contracts and the holdings in the underlying stock.

Click  Risk_Matrix_06D_Risk_Matrix_Up_One-2 again to display summary values for the Energy sector.

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Editing the Parameters and Creating Your Own Scenarios

The Built-in Configurations

Five standard parameters appear, Normal, Wide, Narrow, Variable, and Forward.  All of these parameter settings chart changes in underlying stock price against changes in volatility, and all of them show the Profit or Loss that would result.  You can edit these standard parameters, or create new ones of your own.  Any new custom parameter you create will not appear with an asterisk.

  • Normal.  The volatility percentages increment by three percentage points (3%, 6%, 9%) and the change in stock price by five percentage points.
  • Wide.  Both the volatility and the stock price changes increment by 15 percentage points (15%, 30%, 45%).
  • Narrow.  The volatility percentages increment by one percentage point (1, 2, 3) and the stock price changes increment by one quarter of one percent (.25%, .5%, .75%).
  • Variable.  The volatility and stock price changes do not use a fixed percentage method in changes, but can the changes can be set to whatever percentage values you want.  You might want to see volatility changes of 1%, 10%, and 22%, for example.
  • Forward.  This method uses time rather than volatility.  The stock price varies by increments of five percent over a series of trading days, rather than by volatility changes.  For example, you could use this version of the Risk Matrix to project what would happen to the profitability of your portfolio if the average underlying share price changes by 5%, 10%, or 15% over the next five trading days.  In this parameter volatility values are held constant.

Most of these default parameter settings do not use the date value, but you can set up a custom parameter to explore how values change over time, rather than how they are affected by the change in volatility.

Changing a Built-in Configuration

You can set the underlying share price to change by a percentage amount, or by a change in the Standard Deviation, either a percentage change or by a series of fixed Standard Deviation values that you select.

For the Risk Matrix, you can also change the Metric, or the result shown in the screen for each combination of volatility and stock price change.  By default, the screen shows the amount in profit or loss, as described above.  For the Risk Matrix you can choose a different metric, however.  For example, you could set up the Risk Matrix to show the change in Delta or Calculated Theta based on the same sensitivity analysis.

The PNL Matrix Report defaults to the Profit/Loss Matrix.  This makes the report run faster; if you are only interested in looking at profit and loss results, choose the PNL Matrix over the Risk Matrix.

The available metric values for the Risk Matrix include:

  • Profit/Loss
  • Delta
  • Dollar Delta

    The Total Delta amount times the share price of the underlying stock.  This serves to render the Delta as a dollar value.

  • Delta Decay

    The decay in delta from today’s value to the delta calculated by the system for tomorrow, or for the next trading day.

  • Gamma
  • Dollar Gamma

    The Total Gamma times the share price of the underlying stock.  This renders the Gamma as a dollar value.

  • Theta
  • Calculated Theta

    Time Decay of the option contract, from today to the next business day and adjusted for the total quantity of contracts held.  This value is calculated by moving the trade date forward by one business day.

  • Vega
  • Rho
Creating Your Own Custom Configuration

To create a custom parameter, highlight the default parameter that is most like the one you want to create and click New_button.

The Risk Matrix or PNL Matrix will copy the parameter you selected, and you will be able to both edit it and rename it.

When you are done click Save_button.

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Risk Slide

The Scenarios Risk Slide differs from the Risk Slide under the View Menu in that it allow you to select from a variety of methods for grouping records on the report.  After you select a method for grouping records, the report aggregates the values in each column and shows totals. As a result, the Scenarios Risk Slide does not allow for custom columns or filtering, while you can filter and create custom columns using the Risk Slide Reports found on the View Menu.

When you select the Scenarios Menu, two options appear, one for Price Slide:

Scenario_Risk_Slide_Menu_1

And the other for Price by Volatility Slide:

Scenario_Risk_Slide_Menu_2

For each a list of metric values appears:

  • Profit/Loss
  • Delta
  • Dollar Delta
  • Gamma
  • Dollar Gamma
  • Theta
  • Vega
  • Rho

So you can create up to 16 different Risk Slide reports.  This allows you to limit the values that appear by selecting a single metric value for your report.  Use a Risk Slide Report to show how a given metric value that you select (such as profit/loss or Delta) will change given a certain percent change in the share price of the underlying stock, or the share price with a matching change in the Implied Volatility.

To look at the current price and volatility percentage step values, click here.

For example, you could decide to set up a Risk Slide Report that shows the effect on gamma for a given, predetermined percentage change in the share price of the underlying stock.  So you would select Risk Slide from the Scenario Menu, and then Price Slide, and then Gamma.

Scenario_Risk_Slide_Menu_3

You could use this feature to set up a Risk Slide Scenario Report that would tell you how much the Delta would change for a position if the share price of the underlying stock was unchanged while the volatility was up by 2 steps.  Or you could see how the profitability would change if the stock price alone was up by 4 steps, and the volatility was not considered.

Hence the Risk Slide Scenario Report is similar to the Risk Slide and Risk Slide History reports. The same basic information appears, but you can select exactly the metric you want to use, and include volatility changes or leave them out.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking.

Column Heading Name Description
Group Group Trade group
Account Account Trade account
Sector Sector Major business sector for underlying stock, such as Energy or Industrial
SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
Trader Trader ID Code
Position Position The symbol of the position, showing the symbol of the underlying stock and the trading account.
UndDown6VolUp6 Underlying share price down six, Volatility up six The resulting change to the metric value (such as profit/loss or delta) based on the proposed change in share price and volatility.  For example, you could see the change in vega for a proposed six step increase in the underlying share price and a six step drop in the volatility.
UndDown5VolUp5 Underlying share price down five, Volatility up five  
UndDown4VolUp4 Underlying share price down four, Volatility up four
UndDown3VolUp3 Underlying share price down three, Volatility up three  
UndDown2VolUp2 Underlying share price down two, Volatility up two
UndDown1VolUp1 Underlying share price down one, Volatility up one
UndUnchVolUp2 Underlying share price unchanged, Volatility up two
UndUnchVolUnch Underlying share price unchanged, Volatility unchanged
UndUnchVolDown2 Underlying share price unchanged, Volatility down two
UndUp1VolDown1 Underlying share price up one, Volatility down one
UndUp2VolDown2 Underlying share price up two, Volatility down two
UndUp3VolDown3 Underlying share price up three, Volatility down three
UndUp4VolDown4 Underlying share price up four, Volatility down four
UndUp5VolDown5 Underlying share price up five, Volatility down five
UndUp6VolDown6 Underlying share price up six, Volatility down six

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Business Days Conversion Factors

The Business Days Conversion Factors Report is lists upcoming expiration dates for options contracts currently traded on the market.  It shows the number of days (business and calendar) until these expiration dates are reached, and the conversion factors.

Conversion here refers to the multiplier used to convert the implied volatilities for Calendar Day to implied volatilities for Business Day.  How the volatility is presented will vary depending on how you calculate the length of the year, either a calendar year of 365 days or a  year featuring only trading days (no weekends or holidays), or 252 days.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking.

Column Heading Name Description
ActualExpiration Actual Expiration Date
BusDaysConversion Business Days Conversion Factor
BusExpDays Business Days until Expiration Number of trading days until the contract expires.
CalExpDays Calendar Days until Expiration Number of days until the contract expires.
PrevBusDaysConversion Previous Business Days  Conversion  Factor
PrevToCurrVolConversion Previous to Current Volatility  Conversion Factor  

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Call Exercise Report

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking.

Column Heading Caption Name Description
Ask Ask Ask Price Current ask price for contract
Bid Bid Bid Price Current bid price for contract
DaysUntilDiv DaysUntilDiv Days until Dividend Announcement Date Number of days until the next dividend payment, based on the projected dividend date.
Delta Delta Raw Delta Delta of the options contract, not adjusted for the quantity or shares.  This is the Delta assigned to the individual security.  The Total Delta Value is the Raw Delta times the inventory.  So if the Raw Delta for an equity option is .9, the Total Delta would be 900 if you held 10 contracts.
DivAmount DivAmount Amount Dividend Payment Estimated dividend payment per share for upcoming dividend date.
DivDate DivDate Dividend Date Projected next dividend date.
ExpDate ExpDate Expiration Date Date contract expires.
HedgePrice hPrc Hedge Price The underlying hedge price for the options class.  In nearly every case the Hedge Price will equal the share price for the underlying stock, because most of the time a contract represents 100 shares of stock.  But the Hedge takes into account corporate actions that can change the ratio of an options contract to the underlying equity, such as a stock split or a merger.
Mark Mark Mark Price on Contract Current mark price for contract.
Position Position Position The symbol of the position, showing the symbol of the underlying stock and the trading account.
Quantity Quantity Quantity of contracts in position Number of contracts held, long or short (-).
Security   Security This is the ticker symbol for the underlying stock, followed by the expiration date, the strike price, and whether the contract is call or put.
Strikeprice Strike Strike Price Strike price on the contract.
Symbol Symbol Symbol The OSI ticker symbol for the security. The Options Symbology Institute is an initiative by the Options Clearing Corporation and the Canadian Derivatives Clearing Corporation to create a standard set of symbols for listed options contracts.
Trader Trader Trader ID code
Underlyer Und Underlying Symbol Symbol of underlying stock.

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Changes from Open Report

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking.

ClickVertical_pencil or press F2 to set the parameters for the Changes from Open Report.

VolListName Select the name of a Volatility List from the list of names that appear. 
For each result returned by the report, if the Volatility List contains a corresponding record, the MyBuyLvl, MySellLvl and MyMidLvl columns will return data from the Volatility List you selected.
Watch List Type Select either Watchlist or “Watch – Fridge.”Choose Watchlist if you want to use an existing Watchlist.  This will filter the report so that it will only show records related to the stock symbols defined on the Watchlist you select.If you choose “Watch – Fridge,” the report will leave out the symbols added to the I Don’t Care list.That is, if you don’t want to look at records related to Microsoft stock, you could add MSFT to the I Don’t Care List.  Then, if you choose “Watch – Fridge” as the Watchlist type, records for options contracts or stock for MSFT will not appear on the report.  This is true no matter what Watchlist you select, or if you don’t select any  Watchlist at all.
Watch List Name Choose a watchlist. The symbols assigned to the Watchlist you select will appear on the report.  If you don’t want to select a Watchlist, simply chooseAll Optionable Securities and every available symbol will appear.   If you chose “Watch – Fridge” as the type the symbols on the I Don’t Care List will not appear on the report.  So if the  symbol MSFT appears on a Watchlist that you select, but MSFT has also been added to the I Don’t Care List, records related to MSFT will not appear on the report.
Column Heading Name Description
Avg_Total_Volume Average Total Volume Average trade volume for all stock and contracts in this position over the last 30 days.
ChgSinceOpen Change Since Open Percent change in share price since the markets opened today.
DaysUntilEarnings Days Until Next Earnings Report The number of days until the next scheduled earnings report from the issuer of the underlying stock.
EarningsReleaseTime Earnings Release Time When the earnings report will be released, with respect to the market session on the Upcoming Earnings Date.  The value that appears can be “Before,” “During,” “After,” or “Unknown.”  For example, an Earnings Date can be offered as July 15, but it can be projected to happen After the market closes on this date.
UpcomingEarningsDate Upcoming Scheduled Earnings Report The next scheduled earnings date for the underlying stock.
HasEarnings Has Earnings A code to show whether or not the underlying stock has an earnings report. A “1” appears if an earnings report was released for the underlying stock last night after the market closing or today before the open. A “0” means that no earnings were reported recently.
NetChg Net Change in Price Net change in price since open, or the current share price minus the opening price
NowStock Stock Price Current share price for the underlying stock
OpeningChg Opening Change in Price The change in price from last night’s market close to today’s market open.
OpenPrice Open Price Stock share price at market open
OpenSynthStraddle Opening Synthetic Straddle Price of an At the Money straddle at market open.
OpenVol Opening Volatility Volatility of position at market open
PctChgSinceOpen Percent Change Since Open Percent change in share price since market open
PctNetChg Percent Net Change Percentage of net change in price since market open, or the current share price divided by the price at open.
PctNetVolChg Percent Net Volatility Change Percentage of net change in volatility since market open, or the current volatility divided by the volatility at open.
PctOpeningChg Percent Opening Change The percent change in price from last night’s market close to today’s market open.
PctOpeningVolChg Percent Opening Volatility Change The percent change in volatility for the stock from last night’s market close to today’s market open.
PctVolChgSinceOpen Percent Volatility Change Since Open Percent change in volatility for the stock since the markets opened today.
PrevVol Previous Volatility Implied Volatility for position from the previous trading day.
PrevStock Previous Stock Price Share price from yesterday, or the previous trading day.
PrevSynthStraddle Previous Synthetic  Straddle Price of an At the Money straddle from the previous trading day.
Sector Sector Major business sector for underlying stock, such as Energy or Industrial
SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
Industry Industry The specific industry for the underlying stock, such as Industrial/Electrical Components & Equipment/Wire & Cable Products.
Symbol Symbol The OSI ticker symbol for the security. The Options Symbology Institute is an initiative by the Options Clearing Corporation and the Canadian Derivatives Clearing Corporation to create a standard set of symbols for listed options contracts.
Country Country code Code for country where underlying company is based, such as USA.
SynthStraddle Synthetic Straddle Current price for an At the Money straddle.
Vol Implied Volatility Current volatility.
AvgOptVolu Average Total Option Trade Volume Average total trading volume for all put and call contracts in a position over the last 30 days.
AvgStockVolu Average Daily Stock Trade Volume Average trade volume for the stock in this position over the last 30 days.
MarketCap Market Capitalization Market cap for the company issuing the stock, in millions of dollars.
ShortInterest Short Interest Short Interest in company stock, in millions of shares.
EquityFloat Equity Float Equity Float, in millions of shares.  This refers to the number of shares available for sale to the investing public.
CurrentShares Outstanding Current Shares Outstanding Total number of shares outstanding for the company that issued the underlying stock.
NetDebtPerShare Net Debt Amount per Share Net debt per share for the company issuing the underlying stock.
RawBeta Beta Beta of the stock to the S&P 500 index.
MyBuyLvl Buy Volatility Level, Edited The Buy Volatility Level as updated manually on the Volatility List Editor.  You can enter a change to the Buy Volatility in the BVol field for an options contract on the Volatility List Editor, and the screen will recalculate the Buy Level and display it in the Buy Level (BLvl) volatility field.  That edited value is displayed here.
MySellLvl Sell Volatility Level, Edited The Sell Volatility Level as updated manually on the Volatility List Editor.  You can enter a change to the Sell Volatility in the SVol field for an options contract on the Volatility List Editor, and the screen will  recalculate the Sell Level and display it in the Sell  Level (SLvl) volatility field.  That edited value is displayed here.
MyMidLvl Middle (Base) Volatility Level The base volatility level, midway between the Sell Volatility (MySellLvl) and the Buy Volatility (MyBuyLvl) shown on this screen.  If the Buy Volatility equals the Sell Volatility, the MidLvl value will equal that amount as well.

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Cheap Straddles Report

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking.

Click Vertical_pencil or press F2 to set the parameters for the Cheap Straddles Report.

Minimum Business Expiration Days The minimum number of days until expiration for a contract.  The default is zero days.  If you wanted to focus on contracts that were due to expire in the next month or later, you could set this minimum value to 30 days.
Maximum Business Expiration Days The maximum number of business, or trading, days until expiration for a contract.  The default is 3000 days, or effectively all contracts (those that will expire within the next eight years).  If you wanted to limit the report to showing only those contracts that are due to expire soon (in the next month), you could set the Minimum Expiration days to 0 days and the Maximum to 30 days.
Maximum Ask Ratio A ratio of the straddle ask price to the underlying share price.  See the description below. This value defaults to 1, so only straddles with an Ask Ratio of less than 1 appear.
Watch List Type |Select either Watchlist or “Watch – Fridge.”Choose Watchlist if you want to use an existing Watchlist.  This will filter the report so that it will only show records related to the stock symbols defined on the Watchlist you select.If you choose “Watch – Fridge,” the report will leave out the symbols added to the I Don’t Care list.That is, if you don’t want to look at records related to Microsoft stock, you could add MSFT to the I Don’t Care List.  Then, if you choose “Watch – Fridge” as the Watchlist type, records for options contracts or stock for MSFT will not appear on the report.  This is true no matter what Watchlist you select, or if you don’t select any  Watchlist at all.
Watch List Name |Choose a watchlist.  The symbols assigned to the Watchlist you select will appear on the report.  If you don’t want to select a Watchlist, simply chooseAll Optionable Securities and every available symbol will appear.  If you chose “Watch – Fridge” as the type the symbols on the I Don’t Care List will not appear on the report.  So if the  symbol MSFT appears on a Watchlist that you select, but MSFT has also been added to the I Don’t Care List, records related to MSFT will not appear on the report.
Column Heading Name Description
DaysUntilEarnings Days Until Next Earnings Report Number of days until the next earnings report for the underlying stock, either estimated or confirmed.
EarningsReleaseTime Earnings Release Time When the earnings report will be released, with respect to the market session on the Upcoming Earnings Date.  The value that appears can be “Before,” “During,” “After,” or “Unknown.”  For example, an Earnings Date can be offered as July 15, but it can be projected to happen After the market closes on this date.
EarningsStatus Earnings Status Either “Estimated” or “Confirmed” appears.  This applies to the other earnings values shown on the Earnings Report, such as Days until Earnings and Earnings Date.
HasEarnings Has Earnings Report A code to show whether or not the underlying stock has an earnings report. A “1” appears if an earnings report was released for the underlying stock last night after the market closing or today before the open. A “0” means that no earnings were reported recently.
UpcomingEarningsDate Upcoming Earnings Date The next scheduled earnings date for the underlying stock.
ExpDays Expiration Days Number of calendar days until the next expiration date.
ExpMonth Expiration Month The month when a contract expires.
BusExpDays Business Days until Expiration Number of trading days until the contract expires.
PctUChg Percent Underlying Change The percent change in the value of a share of the underlying stock since the previous trading day.
Sector Sector Major business sector for underlying stock, such as Energy or Industrial
SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
StockChg Stock Change Change in price per share for the underlying stock from yesterday’s closing price to the current time.
StockPrice Stock Price Price of underlying stock per share.
StraddleBidVol Straddle Bid Price Volatility Current implied volatility for the bid price of the At the Money options contracts.
StraddleAskVol Straddle Ask Price Volatility Current implied volatility for the ask price for the At the Money options contracts.
SynthStraddleAskPrice Synthetic Straddle Ask Price Ask price of the straddle, implied by the At the Money volatility, not the ATM options prices.
StraddleVolSpread Straddle Volatility Spread The difference between the Straddle Bid Price Volatility and the Straddle Ask Price Volatility, expressed as a percentage.  Suppose the Straddle Bid Volatility is 36.03 and the Straddle Ask Volatility is 44.06.  The spread would be about 8, and the Middle Volatility, the mid-point between the Bid and Ask Volatility (44 / 36), would be 40.  Divide the spread by the Middle Volatility (8 divided by 40) and the Straddle Volatility Spread would appear as 20 percent, or .2.
AskRatio Ask Price Ratio The price of the straddle relative to the share price of the underlying stock.  This is calculated by dividing the change in share price for the trading day by the offer price on the straddle.

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Earnings Report

The best way to use the Earnings Report is to track scheduled earnings announcements and their impact on share and contract prices, as well as monitor past earnings.  With the Earnings Adjusted Volatility value you can consider what the market anticipates in earnings for each underlying stock, and whether the market is responding correctly to this projected earnings amount for a given position.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking.

Click  Vertical_pencilor press F2 to set the parameters for the Earnings Report. These four values limit the information that appears.

Minimum Stock |The minimum price per share.  If you set this value to $50, contracts based on underlying stock with a share price of less than $50 will not appear on the Earnings Report.  The screen defaults to $0 so that all shares appear.
Maximum Stock The maximum price per share.  Set the highest price per underlying share.  You could use this to focus on contracts based on stocks with lower share prices.  The screen defaults to $10,000 so that all shares will appear.
Minimum Delta The minimum delta for a position.  The default is .1.
Maximum Delta The maximum delta for a position.  The default is .9.
VolListName Select the name of a Volatility List from the list of names that appear.For each result returned by the report, if the Volatility List contains a corresponding record, the MyBuyLvl, MySellLvl and MyMidLvl columns will return data from the Volatility List you selected.
Watch List Type Select either Watchlist or “Watch – Fridge.”Choose Watchlist if you want to use an existing Watchlist.  This will filter the report so that it will only show records related to the stock symbols defined on the Watchlist you select.If you choose “Watch – Fridge,” the report will leave out the symbols added to the I Don’t Care list.That is, if you don’t want to look at records related to Microsoft stock, you could add MSFT to the I Don’t Care List.  Then, if you choose “Watch – Fridge” as the Watchlist type, records for options contracts or stock for MSFT will not appear on the report.  This is true no matter what Watchlist you select, or if you don’t select any  Watchlist at all.
Watch List Name Choose a Watchlist.  The symbols assigned to the Watchlist you select will appear on the report.  If you don’t want to select a Watchlist, simply chooseAll Optionable Securities and every available symbol will appear.  If you chose “Watch – Fridge” as the type the symbols on the I Don’t Care List will not appear on the report.  So if the  symbol MSFT appears on a Watchlist that you select, but MSFT has also been added to the I Don’t Care List, records related to MSFT will not appear on the report.
Column Heading Caption Name Description
Sector Sector Sector Major business sector for underlying stock, such as Energy or Industrial
SubSector SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
Industry Industry Industry The specific industry for the underlying stock, such as Industrial/Electrical Components & Equipment/Wire & Cable Products.
Country Country Country code Code for country where underlying company is based, such as USA.
Underlyer Und Underlyer Symbol of underlying stock.
Stock Stock Stock price Share price, underlying stock.
StockVol StockVol Stock Volatility The volatility of the underlying stock.If you did not specify a Volatility List Name on this report, the StockVol value will match the FTVol.  FTVol is a long-term Generalized Auto Regressive Conditional Heteroskedasticity (GARCH)-type implied volatility forecast, with earnings dates removed from the stock return history. This is a proprietary value calculated by the RiskEdge System. 

If you do specify a Volatility List, this will be the volatility of the symbol, including expiration if applicable.

AvgDailyVolume AvgDailyVolume Average Daily Trade Volume Average volume of contracts traded for this position for the previous trading day to the current day
StrikePrice StrikePrice Strike Price Strike price of the At the Money options contract.
CallPut CallPut Call or Put C for Call or P for Put regarding the At the Money options contract
BuySpread BuySpread Buy Spread The percent difference between the Earnings Volatility and the current Bid Price Volatility.
SellSpread SellSpread Sell Spread The percent difference between the current Ask Price Volatility and the Earnings Volatility.
BidVol BidVol Bid Price Volatility The implied volatility of the bid price when the last trade was completed for this security
AskVol AskVol Ask Price Volatility The implied volatility of the ask price when the last trade was completed for this security
EarnVol EarnVol Earnings Volatility The volatility for the underlying stock (Stock Volatility) adjusted for the projected earnings.  This is the effect of earnings on volatility.
PctMove PctMove Percentage Earnings Move The average change in the underlying share price, related to the earnings reported in the previous 12 quarters.  This can also be for as long as data is available, if earnings reports are not provided for the last 12 quarters.  This value is expressed as a percentage.
ExpMove ExpMove Expected Earnings Move Expected change in underlying share price resulting from the next earnings report.  This value is based on the percentage changes in share price that were recorded after earnings announcements in the past.
LastEarnMove LastEarnMove Last Stock Price Move The last change in the underlying share price from the last earnings report.
ImpPctMove ImpPctMove Implied Earnings Move Expected percentage change in underlying stock price due to the upcoming earnings report. The implied moves are inferred from the term structure of implied volatility values as the date for the earnings event approaches.
AvgLastYrEarnMove AvgLastYrEarnMove Average Impact of Earnings Announcements, Last Year Average stock price change due to all of the earnings paid for the last year 
AvgOpenMove AvgOpenMove Average Stock Price Change, Open Average change in underlying share price from the previous closing price to the market open, resulting from the earnings paid in the previous year.
AvgHighMove AvgHighMove Average Stock Price Change, High Average change in underlying share price from the previous high price, resulting from the earnings paid in the previous year.
AvgLowMove AvgLowMove Average Stock Price Change, Low Average change in underlying share price from the previous low price, resulting from the earnings paid in the previous year.
AvgRange AvgRange Average Stock Price Change, Range Average change in the range of share prices, resulting from the earnings paid in the previous year.
AvgVolPctChg AvgVolPctChg Average Volatility Percentage Change Average percentage change in implied volatility resulting from the earnings paid in the previous year.
ExpDays ExpDays  Days until Expiration  Number of days until contract expires
ExpDate ExpDate Expiration Date Expiration Date
EarnDate EarnDate Earnings Date The date of the next earnings announcement, either estimated or confirmed.
EarnTime EarnTime Earnings Release Time When the earnings report will be released, with respect to the market session on the Upcoming Earnings Date.  The value that appears can be “Before,” “During,” “After,” or “Unknown.”  For example, an Earnings Date can be offered as July 15, but it can be projected to happenAfter the market closes on this date.
EarnStatus  EarnStatus Earnings Status Either “Estimated” or “Confirmed” appears.  This applies to the other earnings values shown on the Earnings Report, such as Days until Earnings and Earnings Date.
EarnDays EarnDays Days until Earnings Number of days until the next earnings report for the underlying stock, either estimated or confirmed.
OneMChg OneMChg One Month Change Change in Implied Volatility over the last month.
TwoMChg TwoMChg Two Month Change Change in Implied Volatility over the last two months.
ThreeMChg ThreeMChg Three Month Change Change in Implied Volatility over the last three months.
FourMChg FourMChg Four Month Change Change in Implied Volatility over the last four months.
FiveMChg FiveMChg Five Month Change Change in Implied Volatility over the last five months.
SixMChg SixMChg Six Month Change Change in Implied Volatility over the last six months.
OneMIV OneMIV One Month Implied Volatility At the Money implied volatility for the last month (normalized) based on a constant maturity volatility surface.
TwoMIV TwoMIV Two Month Implied Volatility At the Money implied volatility for the last two months, constant volatility surface.
ThreeMIV ThreeMIV Three Month Implied Volatility At the Money implied volatility for the last three months, constant volatility surface.
FourMIV FourMIV Four Month Implied Volatility At the Money implied volatility for the last four months, constant volatility surface.
FiveMIV FiveMIV Five Month Implied Volatility At the Money implied volatility for the last five months, constant volatility surface.
SixMIV SixMIV Six Month Implied Volatility At the Money implied volatility for the last six months, constant volatility surface.
OneWkHV OneWkHV One Week Historical Volatility Historical volatility for the previous week.
TwoWkHV TwoWkHV Two Week Historical Volatility Historical volatility for the last two weeks.
OneMHV OneMHV One Month Historical Volatility Historical volatility for the previous month.
TwoMHV TwoMHV Two Month Historical Volatility Historical volatility for the last two months.
ThreeMHV ThreeMHV Three Month  Historical Volatility Historical volatility for the last three months.
OptBid OptBid Options Contract Bid Price Bid price for the options contract closest to being the ATM option for the next expiration month with an expected earnings report scheduled.In other words, this is the bid price for an actual options contract that expires soon, that is likely to be exercised before expiration, and that may be influenced by a scheduled earnings report.
OptAsk OptAsk Options Contract Ask Price Ask price for the options contract closest to being the ATM option for the next expiration month with an expected earnings report scheduled.
OptBidVol OptBidVol Options Contract Bid Price Volatility Implied volatility of the bid price for the options contract closest to being the ATM option for the next expiration month with an expected earnings report scheduled.
OptAskVol OptAskVol Options Contract Ask Price Volatility Implied volatility for the ask price for the options contract closest to being the ATM option for the next expiration month with an expected earnings report scheduled.
OptDelta OptDelta Delta for Options Contract Current delta for the options contract closest to being the ATM option for the next expiration month with an expected earnings report scheduled.
OptMidVol OptMidVol Options Contract Middle Volatility The average of the Bid Price Implied Volatility and the Ask Price Implied Volatility.
OptVolSprd OptVolSprd Options Contract Volatility Spread For the options contract closest to being the ATM option for the next expiration month with an expected earnings report scheduled.  This value is the difference between the Ask Price Volatility and the Bid Price Volatility.
OptVolSprdPct OptVolSprdPct Options Contract Volatility Spread Percentage The percentage difference in Ask Price Volatility and Bid Price Volatility for the options contract At the Money (see Options Contract Volatility Spread).
SynthStrBidPct SynthStrBidPct Synthetic Strike Bid Percentage The percentage difference between the bid price for a share and the strike price if the option is At the Money at the expiration date.
SynthStrAskPct SynthStrAskPct Synthetic Strike Ask Percentage The percentage difference between the ask price and the share or contract price if the option is At the Money at the expiration date.
SynthStrBidPrem SynthStrBidPrem Synthetic Strike Bid Premium The bid premium for this contract if the option is At the Money at the expiration date.
SynthStrAskPrem SynthStrAskPrem Synthetic Strike Ask Premium The ask premium for this contract if the option is At the Money at the expiration date.
AvgOptVolu AvgOptVolu Average Total Option Trade Volume Average total trading volume for all put and call contracts in a position over the last 30 days.
AvgStockVolu Avg_Stock_Volume Average Stock Volume Average trade volume for the stock in this position over the last 30 days.
MarketCap MarketCap Market Capitalization Market cap for the company issuing the stock, in millions of dollars.
ShortInterest ShortInterest Short Interest Short Interest in company stock, in millions of shares.
EquityFloat EquityFloat Equity Float Equity Float, in millions of shares.  This refers to the number of shares available for sale to the investing public.
CurrentShares Outstanding CurrentShares Outstanding Current Shares Outstanding Total number of shares outstanding for the company that issued the underlying stock.
NetDebtPerShare NetDebtPerShare Net Debt Amount per Share Net debt per share for the company issuing the underlying stock.
RawBeta RawBeta Beta Beta of the stock to the S&P 500 index.
MyBuyLvl My Buy Level Buy Volatility Level, Edited The Buy Volatility Level as updated manually on the Volatility List Editor.  You can enter a change to the Buy Volatility in the BVol field for an options contract on the Volatility List Editor, and the screen will recalculate the Buy Level and display it in the Buy Level (BLvl) volatility field.  That edited value is displayed here.
MySellLvl My Sell Level Sell Volatility Level, Edited The Sell Volatility Level as updated manually on the Volatility List Editor.  You can enter a change to the Sell Volatility in the SVol field for an options contract on the Volatility List Editor, and the screen will  recalculate the Sell Level and display it in the Sell  Level (SLvl) volatility field.  That edited value is displayed here.
MyMidLvl My Middle Level Middle (Base) Volatility Level The base volatility level, midway between the Sell Volatility (MySellLvl) and the Buy Volatility (MyBuyLvl) shown on this screen.  If the Buy Volatility equals the Sell Volatility, the MidLvl value will equal that amount as well.
EPSVegaExposure EPSVegaExposure Vega Exposure The total Weighted Vega Earnings of the position multiplied by the EPS Volatility Change (the average implied volatility change times the current one month constant maturity volatility.  This gives an estimate of profit and loss if the stock doesn’t move and the volatility drops by the “normal” amount post earnings.
ImpEarn Move_Prev1-8 Implied Earnings Move, Previous events Implied Earnings Move, Previous events The implied earnings move for the last eight earnings reports.  The implied moves are inferred from the term structure of implied volatility values just before each earnings event.  Prev1 is the implied earnings move from the most recent earnings report and Prev8 is the implied earnings move from the eighth most recent earnings report.

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Earnings Discrepancies

The Earnings Discrepancies Report helps you to identify differences in earnings announcements from multiple data sets. Presumably, a disagreement over earnings information from multiple sources points to uncertainty in the marketplace.

The records are sorted by position.  The Earnings Discrepancies Report does not offer any detailed analysis about the impact of a future earnings report.  It simply highlights where different data sets show earnings announcements that do not match.  Three sets of values appear, FT, A, and B.  FT (from FT Options) refers to the values selected by FT Options, posted to RiskEdge, and shown on the Earnings Report.

The FT values are the consensus values calculated by RiskEdge, determined by internal algorithms applied to data sets A and B.

The A and B values refer to independent data sets, and illustrate where the multiple announcements differ in their details. Individual values in A and B may agree or disagree.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking.

Column Heading Caption Name Description
Underlyer Und Underlyer Symbol Symbol of underlying stock.
FTDate FTDate FT Earnings Date The date of the next earnings announcement, either estimated or confirmed.
FTType FTType FT Earnings Type “Estimated,”  “Confirmed,” or “Unconfirmed” appears.
FTRptTime FT RptTime FT Earnings Release Time When the earnings report will be released, with respect to the market session on the Upcoming Earnings Date.  The value that appears can be “Before,” “During,” “After,” or “Unknown.”  For example, an Earnings Date can be offered as July 15, but it can be projected to happen Afterthe market closes on this date.
FT AnncTime FT AnncTime FT Earnings Announcement Time Hour of the day (Central Time) of the next expected earnings release.
FT ConfDate FT ConfDate FT Conference Call Date  
FT ConfTime FT ConfTime FT Conference Call Time
DiffExp DiffExp Difference in Expiration Date A flag (1 or 0, yes or no) to show if the two vendors expect earnings to come in different expirations.
FTDaysUntil FTDaysUntil FT Days until Earnings Number of days until the next earnings report for the underlying stock, either estimated or confirmed.
A-DaysUntil A-DaysUntil First Dataset Days until Earnings Number of days until the next earnings report for the underlying stock, either estimated or confirmed.
B-DaysUntil B-DaysUntil Second Dataset Days until Earnings Number of days until the next earnings report for the underlying stock, either estimated or confirmed.
A-Date A-Date First Dataset Date of Earnings Announcement  
B-Date B-Date Second Dataset Date of Earnings Announcement
A-Type A-Type First Dataset Type “Estimated,”  “Confirmed,” or “Unconfirmed” appears.
B-Type B-Type Second Dataset Type “Estimated,”  “Confirmed,” or “Unconfirmed” appears.
A-RptTime A-RptTime First Dataset Report Time Time of day when earnings report will be released.
B-RptTime B-RptTime Second Dataset Report Time Time of day when earnings report will be released.
A-AncTime A-AncTime First Dataset Announcement Time  
B-AncTime B-AncTime Second Dataset Announcement Time
A-ConfDate A-ConfDate First Dataset Confirmation Date  
B-ConfDate B-ConfDate Second Dataset Conference Call Date
A-ConfTime A-ConfTime First Dataset Conference Call Time  
B-ConfTime B-ConfTime Second Dataset Confirmation Time

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Earnings Updates Report

Click  Vertical_pencilor press F2 to set the parameters for the Earnings Updates Report. These values limit the information that appears.

VolListName Select the name of a Volatility List from the list of names that appear.For each result returned by the report, if the Volatility List contains a corresponding record, the MyBuyLvl, MySellLvl and MyMidLvl columns will return data from the Volatility List you selected.
Watch List Type Select either Watchlist or “Watch – Fridge.”Choose Watchlist if you want to use an existing Watchlist.  This will filter the report so that it will only show records related to the stock symbols defined on the Watchlist you select.If you choose “Watch – Fridge,” the report will leave out the symbols added to the I Don’t Care list.That is, if you don’t want to look at records related to Microsoft stock, you could add MSFT to the I Don’t Care List.  Then, if you choose “Watch – Fridge” as the Watchlist type, records for options contracts or stock for MSFT will not appear on the report.  This is true no matter what Watchlist you select, or if you don’t select any  Watchlist at all.
Watch List Name Choose a Watchlist. The symbols assigned to the Watchlist you select will appear on the report.  If you don’t want to select a Watchlist, simply chooseAll Optionable Securities and every available symbol will appear.  If you chose “Watch – Fridge” as the type the symbols on the I Don’t Care List will not appear on the report.  So if the  symbol MSFT appears on a Watchlist that you select, but MSFT has also been added to the I Don’t Care List, records related to MSFT will not appear on the report.
Column Heading Name Description
Symbol Symbol Stock ticker symbol
PrevEarningsDate Previous Earnings Date The original projected earnings date. If the scheduled earnings date has changed, this will differ from the New Earnings Date.  Note that the Previous Earnings Date here is the corrected planned date, not the last time earnings were announced for this stock.   

For example, you might open the Earnings Update Report on July 7 and find a Previous Earnings Date of August 14 and a New Earnings Date of August 22.  That means that the company originally announced that they would issue an earnings statement on August 14, but then later changed this statement date to August 22.

NewEarnDate New Earnings Date The date of the next scheduled earnings report for this position.
PrevEarnStatus Previous Earnings Status Either “Estimated” or “Confirmed” appears.  This applies to the Previous Earnings Date.
NewEarnStatus New Earnings Status Either “Estimated” or “Confirmed” appears.  This applies to the New Earnings Date.
PrevEarnTime Previous Earnings Time When the earnings report was to have been released–“Before,” “During,” “After,” or “Unknown.”  This relates to the Previous Earnings Date shown.  It describes the status of the date given for the next earnings report.
NewEarnTime New Earnings Time When the earnings report will be released–“Before,” “During,” “After,” or “Unknown.”  This related to the New Earnings Date shown. So an Earnings Date can be offered as August 15, but it can be estimated and projected to happen after this date.
ExpDate Expiration Date Expiration date for the options contracts based on this stock.
DiffEarnVsExp Differential, Earnings Date v Expiration Date The number of days from the next Earnings Date and the next Expiration date for this contract..

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ETF Volatility Ratios Report

The Vol Ratio is the ratio of the normalized (constant maturity) Implied Volatility for a time period you select (such as one or two months) for a specific stock to the same Implied Volatility of the index, or ETF. So if the Vol Ratio for a single position is greater than 1, it means that the normalized volatility for that stock is higher than the normalized volatility for a benchmark index.  In other words, the volatility for that position is above the volatility of the reference index (ETF or optionable security).

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking.

Click Edit_parameters_button to set the parameters for the ETF Volatility Ratios Report. These values limit the information that appears.

Watch List Type Select either Watchlist or “Watch – Fridge.”Choose Watchlist if you want to use an existing Watchlist.  This will filter the report so that it will only show records related to the stock symbols defined on the Watchlist you select.  If you choose “Watch – Fridge,” the report will leave out the symbols added to the I Don’t Care list.  That is, if you don’t want to look at records related to Microsoft stock, you could add MSFT to the I Don’t Care List.  Then, if you choose “Watch – Fridge” as the Watchlist type, records for options contracts or stock for MSFT will not appear on the report.  This is true no matter what Watchlist you select, or if you don’t select any  Watchlist at all.
Watch List Name Choose a Watchlist.  The symbols assigned to the Watchlist you select will appear on the report.  If you don’t want to select a Watchlist, simply chooseAll Optionable Securities and every available symbol will appear.If you chose “Watch – Fridge” as the type the symbols on the I Don’t Care List will not appear on the report.  So if the  symbol MSFT appears on a Watchlist that you select, but MSFT has also been added to the I Don’t Care List, records related to MSFT will not appear on the report.
Start Date The beginning of the time period for comparing values.  If you enter 10/1/11, the report will compare the ETF Volatility Ratio for a stock position against the average value for that ratio from October 1, 2011 until today.
Minimum Underlying Price Enter a minimum share price for the underlying shares represented in the ETF fund described on this report.  This allows you to filter the securities that appear.  If you want to limit the report to listing symbols that feature high-value stocks, set a high dollar value in this field.
ETF Name The name of the ETF fund, index, or other optionable security described by this report.  You may only select one at a time to display.  This is the “index” that will be used as the basis for comparison for all of the stock positions shown on the report.  Note that the index you use does not necessarily need to be an Exchange Traded Fund.
Trading Months Enter a number for the number of months in the constant maturity period, 1 for one month, 3 for three months, and so on.
Column Heading Name Description
Underlyer Underlying Symbol Ticker symbol for underlying stock.
UnderlyingPrice Underlying Price Current share price.
Sector Sector Major business sector for underlying stock, such as Energy or Industrial
SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
Industry Industry The specific industry for the underlying stock, such as Industrial/Electrical Components & Equipment/Wire & Cable Products.
MarketCap Market Capitalization Market cap for the company issuing the stock, in millions of dollars.
AvgDailyVega Average Daily Vega The  average of the daily total of vega in dollars of traded options contracts over the last 10 trading days.
IV_Norm Implied Volatility, Normalized The current Implied Volatility for the underlying stock normalized over the time period you described on the top of the screen. This time period starts with the Start Date and continues to the current date.  So if you entered September 1 as the Start Date, and the current date is November 1, this field will show the normalized volatility for the position over the last month.
IV_Norm_ETF_Ratio Implied Volatility, Normalized, Vol Ratio to ETF This is the current Implied Volatility for a position.  It is the normalized Implied Volatility for a single stock divided by the same normalized Implied Volatility for the ETF, or index.  A number above 1 shows that the stock has an Implied Volatility above average, when compared to an index you select.
Avg_ETF_Ratio Average Vol Ratio to ETF This is the average Implied Volatility Ratio for a stock position over the time period you selected on the top of the screen, from the Start Date until the current trading day.
Avg_ETF_Diff Average Difference, Vol Ratio and ETF The difference between the IV_Norm ETF Ratio and the Average ETF Ratio, rounded to two decimal places.In other words, this is the difference of the current Implied Volatility Ratio for a position and the average Implied Volatility Ratio over a defined period of time.  If the Normalized ETF Vol Ratio is less than the Average ETF Vol Ratio, this value will be a negative number.
STDDEV_ETF_Ratio Standard Deviation ETF Ratio The Standard Deviation of the ETF Vol Ratio for the time period you selected, beginning with the Start Date on the top of the screen.
NumStdDev Number of Standard Deviations The number of standard deviations of the current volatility ratio away from the normal value. A positive value means the stock implied volatility is higher than the normal volatility, when compared to the index.

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Implied Volatility Changes Over Time Report

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking

Click Edit_parameters_button to set the parameters for the Implied Volatility Changes Report.  Select a Start Date and End Date to define the time period.  Enter December 1 and December 31 to show the change in volatility for the month of December.

Both dates default to the previous trade date, so by default the change in volatility will always be zero (0).

Column Heading Name Description
Sector Sector Major business sector for underlying stock, such as Energy or Industrial
SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
Industry Industry The specific industry for the underlying stock, such as Industrial/Electrical Components & Equipment/Wire & Cable Products.
Underlyer Underlyer Symbol of underlying stock.
UnderlyingPrice Underlying Price Current share price.
PrevUnderlyingPrice Previous Underlying Price Share price from the last trading day.
NetUChg Net Underlying Change The net change in the price of a share of the underlying stock from the previous trading day.
c1MIV Change in Implied Volatility Change in the one month Implied Volatility over the time period selected for the report.
c2MIV Change in the two month Implied Volatility over the time period selected for the report.
c3MIV   Change in the three month Implied Volatility over the time period selected for the report.
c6MIV Change in the six month Implied Volatility over the time period selected for the report.
c12MIV   Change in the 12 month Implied Volatility over the time period selected for the report.
c1MSK Change in Skew Change in the one month skew over the time period selected for the report.
c2MSK   Change in the two month skew over the time period selected for the report.
c3MSK Change in the three month skew over the time period selected for the report.
c6M2K   Change in the six month skew over the time period selected for the report.
c12MSK Change in the 12 month skew over the time period selected for the report.
c1MNSK Change in Normalized Skew Change in the one month normalized skew over the time period selected for the report.
c2MNSK Change in the two month normalized skew over the time period selected for the report.
c3MNSK   Change in the three month normalized skew over the time period selected for the report.
c6MNSK Change in the six month normalized skew over the time period selected for the report.
c12MNSK   Change in the 12 month normalized skew over the time period selected for the report.
s1MIV Start Value, Implied Volatility The one month Implied Volatility value at the beginning of the time period selected for the report.
s2MIV   The two month Implied Volatility value at the beginning of the time period selected for the report.
s3MIV The three month Implied Volatility value at the beginning of the time period selected for the report.
s6MIV   The six month Implied Volatility value at the beginning of the time period selected for the report.
s12MIV The 12 month Implied Volatility value at the beginning of the time period selected for the report.
s1MSK Start Value, Skew The one month skew at the beginning of the time period selected for the report.
s2MSK The two month skew at the beginning of the time period selected for the report.
s3MSK   The three month skew at the beginning of the time period selected for the report.
s6M2K The six month skew at the beginning of the time period selected for the report.
s12MSK   The 12 month skew at the beginning of the time period selected for the report.
s1MNSK Start Value, Normalized Skew The one month normalized skew at the beginning of the time period selected for the report.
s2MNSK   The two month normalized skew at the beginning of the time period selected for the report.
s3MNSK The three month normalized skew at the beginning of the time period selected for the report.
s6MNSK   The six month normalized skew at the beginning of the time period selected for the report.
s12MNSK The 12 month normalized skew at the beginning of the time period selected for the report.
e1MIV End Value, Implied Volatility The one month Implied Volatility value at the end of the time period selected for the report.
e2MIV The two month Implied Volatility value at the end of the time period selected for the report.
e3MIV   The three month Implied Volatility value at the end of the time period selected for the report.
e6MIV The six month Implied Volatility value at the end of the time period selected for the report.
e12MIV   The 12 month Implied Volatility value at the end of the time period selected for the report.
e1MSK End Value, Skew The one month skew at the end of the time period selected for the report.
e2MSK   The two month skew at the end of the time period selected for the report.
e3MSK The three month skew at the end of the time period selected for the report.
e6M2K   The six month skew at the end of the time period selected for the report.
e12MSK The 12 month skew at the end of the time period selected for the report.
e1MNSK End Value, Normalized Skew The one month normalized skew at the end of the time period selected for the report.
e2MNSK The two month normalized skew at the end of the time period selected for the report.
e3MNSK   The three month normalized skew at the end of the time period selected for the report.
e6MNSK The six month normalized skew at the end of the time period selected for the report.
e12MNSK   The 12 month normalized skew at the end of the time period selected for the report.
StockVol Stock Volatility The volatility of the underlying stock.If you did not specify a Volatility List Name on this report, the StockVol value will match the FTVol.  FTVol is a long-term Generalized Auto Regressive Conditional Heteroskedasticity (GARCH)-type implied volatility forecast, with earnings dates removed from the stock return history. This is a proprietary value calculated by the RiskEdge System. 

If you do specify a Volatility List, this will be the volatility of the symbol, including expiration if applicable.

AvgDailyVolume Average Daily Trade Volume Average volume of contracts traded for this position for the previous trading day to the current day
AvgOptVolu Average Total Option Trade Volume Average total trading volume for all put and call contracts in a position over the last 30 days.
AvgStockVolu Average Stock Volume Average trade volume for the stock in this position over the last 30 days.
MarketCap Market Capitalization Market cap for the company issuing the stock, in millions of dollars.
RawBeta Beta Beta of the stock to the S&P 500 index.

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Master Volatility Report

Note that RiskEdge calculates a new set of Implied Volatility values each day for one month, two months, three months, six months, one year, and two years.  These sets of daily data points are collected and used to calculate averages, changes, and high and low values, as shown on the Master Volatility Report.  For example, every day the system calculates a new three month Implied Volatility value for each position.  So in the course of the year, from July 10, 2009 to July 9, 2010, the system will compile about 240 three-month volatility values.  From this the system determines and displays the lowest three-month volatility value over the last 12 months, as of the current day, the highest three-month value, and the average of all values.   RiskEdge uses the  same sets of numbers are to calculate percentiles.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking

Click  Vertical_pencilor press F2 to set the parameters for the Master Volatility Report. These values limit the information that appears.

Minimum Stock The minimum price per share.  If you set this value to $50, contracts based on underlying stock with a share price of less than $50 will not appear on the Master Volatility Report.  The screen defaults to $0 so that all shares appear.
Maximum Stock The maximum price per share.  Set the highest price per underlying share.  You could use this to focus on contracts based on stocks with lower share prices.  The screen defaults to $10,000 so that all shares will appear.
Minimum Total Volume The minimum total trade volume for all options contracts for this stock for the current trading day.  The report will only show stocks with an options trade volume greater than this amount.
Minimum Average Daily Volume The minimum average daily trade volume for all options contracts for this position over the last 30 days.  The report will only show stocks with a total average volume greater than this amount.
Volatilities Define the volatilities for the trades shown on the report.   

  • Not Specified.  The report will not consider Implied Volatility values for the completed trades when selecting trades to appear.
  • My Volatilities.  Select your own volatilities set.
  • Borrowed Volatilities.  Select a volatilities set from another trader at your firm.

If you select a Volatility List the buy and sell levels for that list will appear in the report, in the columns IV_Exp#_BLvl and IV_Exp#_SLvl, Expiration Dates Buy Level and Expiration Dates, Sell Level.

Scope Define the range of the trades to show on the report.

  • Entire Market.  All possible trades are included in the report.
  • My Watchlist.  Select a watchlist that you created.
  • Borrowed Watchlist.  Select a watchlist created by another trader at your firm.

If you choose a watchlist the symbols assigned to the Watchlist you select will appear on the report.

Uncheck the box next to Disregard “Fridge” if you want the report to leave out the symbols added to the I Don’t Care List. The I Don’t Care List is a list of symbols that you want to exclude.  Any stock or options contract that you add to the I Don’t Care List will not appear on any RiskEdge report if you set the Watchlist Type for that report to “Watch-Fridge.”

That is, if you don’t want to look at records related to Microsoft stock, you could add MSFT to the I Don’t Care List.  Then, if you choose “Watch – Fridge” as the Watchlist type, records for options contracts or stock for MSFT will not appear on the report.  This is true no matter what Watchlist you select, or if you don’t select any  Watchlist at all.

Column Heading Name Description
Underlyer Underlying Symbol Ticker symbol for underlying stock.
Sector Sector Major business sector for underlying stock, such as Energy or Industrial
SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
Industry Industry The specific industry for the underlying stock, such as Industrial/Electrical Components & Equipment/Wire & Cable Products.
Country Country code Code for country where underlying company is based, such as USA.
NumberExchanges Number of Exchanges The number of exchanges where this security is traded.
Exchanges Exchanges The symbols for the exchanges:
ABCI

N,P

O

Q

W

X

Z

American Stock ExchangeBoston Stock ExchangeChicago Board of Options ExchangeInternational Securities Exchange

New York Stock Exchange Arca

Options Price Reporting Authority

NASDAQ

C2 Options Exchange

Philadelphia Stock Exchange

BATS Global Markets

EstP/ENext4Qtrs Estimated Price to Earnings Ratio Earnings ratio over the next four quarters.
CurrentSharesOutstanding Current Shares Outstanding Total number of shares outstanding for the company that issued the underlying stock.
RawBeta Raw Beta Beta of the stock to the S&P 500 index.
MarketCap Market Capitalization Market cap for the company issuing the stock, in millions of dollars.
EquityFloat Equity Float Equity Float, in millions of shares.  This refers to the number of shares available for sale to the investing public.
FTVol F(t) Options Proprietary Volatility value A long-term Generalized Auto Regressive Conditional Heteroskedasticity (GARCH)-type implied volatility forecast, with earnings dates removed from the stock return history. This is a proprietary value calculated by the RiskEdge System.
PrevUnderlyingPrice Previous Underlying Price Share price from the last trading day.
UnderlyingPrice Underlying Price Current share price.
PctUChg Percent Underlying Change The percent change in the value of a share of the underlying stock since the previous trading day.
NetUChg Net Underlying Change The net change in the price of a share of the underlying stock from the previous trading day.
SDMove Standard Deviation Move in Underlying Share Price The implied change in the underlying share price extracted by the Implied Volatility level. SDMove = (Underlying Price * Vol%) / Square Root(252)
PctSDMove Percentage of Standard Deviation Move in Underlying Share Price

Percent change in SDMove for the share price of the stock during the day.

 

AbsPctSDMove Absolute Value of Percent of Standard Deviation Move Percent change in SDMove for the share price of the stock during the day, shown as an absolute value (positive).
Total_Call_Volume Total Call Volume Trade volume for all call contracts for this underlyer for the current day.
Total_Put_Volume Total Put Volume Trade volume for all put contracts for this underlyer for the current day.
Total_Volume Total Trade Volume Total trade volume for all puts and calls for this underlyer for the current day.
Avg_Call_Volume Average Call Volume Average trade volume for all call contracts for this underlyer over the last 30 days.
Avg_Put_Volume Average Put Volume Average trade volume for all put contracts for this underlyer over the last 30 days.
Avg_Total_Volume Average Total Volume Average trade volume for all puts and calls for this underlyer over the last 30 days.
Avg_Stock_Volume Average Stock Volume Average trade volume for the underlying stock over the last 30 days.
AvgDailyVega Average Daily Vega The  average of the daily total of vega in dollars of traded options contracts over the last 10 trading days.
Yest_Call_Volume Yesterday Call Volume Trade volume for call contracts for this underlyer on the previous trading day.
Yest_Put_Volume Yesterday Put Volume Trade volume for put contracts for this underlyer on the previous trading day.
Yest_Total_Volume Yesterday Total Volume Trade volume for all put and call contracts for this underlyer on the previous trading day.
CallOpenInterest Call Contract Open Interest Open interest for call contracts for this underlyer.
PutOpenInterest Put Contract Open Interest Open interest for put contracts for this underlyer.
TotalOpenInterest Total Open Interest Open interest for both puts and calls for this underlyer.
ShortInterest Short Interest Short Interest in company stock, in millions of shares.
ExpectedReportDate Expected Report Date The next scheduled earnings date for the underlying stock.
EarningsAnnounceTimeDescr Earnings Announcement Time Description When the earnings report will be released, with respect to the market session on the Upcoming Earnings Date.  The value that appears can be “Before,” “During,” “After,” or “Unknown.”  For example, an Earnings Date can be offered as July 15, but it can be projected to happen After the market closes on this date.
ExpectedReportType Expected Report Type Confirmed or estimated earnings date
HasEarnings Has Earnings Report A code to show whether or not the underlying stock has an earnings report. A “1” appears if an earnings report was released for the underlying stock last night after the market closing or today before the open. A “0” means that no earnings were reported recently.
DaysUntilEarnings Days Until Earnings Number of calendar days until the next scheduled earnings announcement for this stock
BusDaysUntilEarnings Business Days Until Earnings Number of business or trading days until the next scheduled earnings announcement for this stock
IV_Exp1_ATM_Bid (1-6) Price at Expiration EXP1 refers to the ATM bid price volatility for the first expiration month for the option. EXP2 refers to the second expiration month, EXP3 the third month, and  so on.These are the calculated volatilities based on the current market.
IV_Exp1_ATM_Ask (1-6)   EXP1 refers to the ATM ask price volatility for the first expiration month for the option. EXP2 refers to the second expiration month, EXP3 the third month, and  so on.
IV_Exp1_ATM_Mid (1-6) EXP1 refers to the ATM middle price volatility (difference between bid and ask price) for the first expiration month for the option. EXP2 refers to the second expiration month, EXP3 the third month, and so on.
IV_Exp1_Prev_Mid (1-6)   EXP1 refers to the ATM bid price for the first expiration month for the option for the previous business day. EXP2 refers to the second expiration month, EXP3 the third month, and so on.
IV_Exp1_Chg (1-6) EXP1 is the change in the ATM middle price (difference between bid and ask price) volatility price for the first expiration month for the option.  EXP2 refers to the second expiration month, EXP3 the third month, and so on.
IV_Exp1_25C_Mid (1-6) Volatility, 25 Delta EXP1 refers to the current volatility for the 25Delta Call contract for the first expiration month. EXP2 refers to the second expiration month, EXP3 to the third month, and so on.
IV_Exp1_25C_PrevMid (1-6) EXP1 refers to the volatility value for the previous trading day for the 25Delta call contract for the first expiration month. EXP2 refers to the second expiration month, EXP3 to the third month, and so on.
IV_Exp1_25P_Mid (1-6)   EXP1 refers to the current volatility for the 25Delta put contract for the first expiration month. EXP2 refers to the second month, EXP3 to the third month, and so on.
IV_Exp1_25P_PrevMid (1-6) EXP1 refers to the Volatility value for the previous trading day for the 25Delta put contract for the first expiration month. EXP2 refers to the second expiration month, EXP3 to the third month, and so on.
Strike_Exp1 (1-6) Strike Price for Expiration Month EXP1 refers to the ATM strike price for the first expiration month.  EXP2 refers to the second expiration month, EXP3 the third month, and so on.
IV_Exp1_Date (1-6) Expiration Dates EXP1 is the expiration date for the first expiration month.  EXP2 refers to the second month, EXP3 to the third month, and so on.
IV_Exp1_BusDays (1-6)   EXP1 is the number of business or trading days until the next expiration date for the first expiration month. EXP2 refers to the second month, EXP3 to the third month, and so on.
IV_Exp1_CalDays (1-6) EXP1 is the number of calendar days until the next expiration date for the first expiration month. EXP2 refers to the second month, EXP3 to the third month, and so on.
IV_Exp1_BuyLvl (1-6) Expiration Dates, Buy Level, for the Volatility List that you selected EXP1 is the number of calendar days until the next expiration date for the first expiration month. EXP2 refers to the second month, EXP3 to the third month, and so on.
IV_Exp1_SellLvl (1-6) Expiration Dates, Sell Level, for the Volatility List that you selected EXP1 is the number of calendar days until the next expiration date for the first expiration month. EXP2 refers to the second month, EXP3 to the third month, and so on.
HV_1W_NetEarn Historical Volatility, no Net Earnings Historical Volatility for previous week, with the effect of Net Earnings removed.  The goal of this set of values is to display only the impact of market forces on volatility, and exclude how earnings reports affect share prices.
HV_2W_NetEarn Historical Volatility for previous two weeks with the effect of Net Earnings removed.
HV_1M_NetEarn   Historical Volatility for the previous month with the effect of Net Earnings removed.
HV_2M_NetEarn Historical Volatility for the previous two months with the effect of Net Earnings removed.
HV_3M_NetEarn   Historical Volatility for the previous three months with the effect of Net Earnings removed.
HV_6M_NetEarn Historical Volatility for the previous six months with the effect of Net Earnings removed.
HV_1Y_NetEarn   Historical Volatility for the previous 12 months with the effect of Net Earnings removed.
HV_1W Historical Volatility Historical Volatility value for the previous week
HV_2W   Historical Volatility value for the previous two weeks
HV_1M Historical Volatility value for the previous month
HV_2M   Historical Volatility value for the previous two  months
HV_3M Historical Volatility value for the previous three months
HV_6M   Historical Volatility value for the previous six months
HV_1Y Historical Volatility value for the previous 12  months
HV_2Y   Historical Volatility value for the previous 24  months
HV_2WNE_6MEL Historical Volatility, Effective Low The six-month Effective Low of the Historical Volatility for the previous two weeks, with the effect of Net Earnings removed (2W_HV_NetEarn).  Here “effective low” is defined as the 10th percentile of the 2W_HV_NetEarn value over the six month time period.
HV_1MNE_6MEL   The six month Effective Low of the Historical Volatility for the previous month (1M_HV_NetEarn).
HV_2WNE_18MEL The 18 month Effective Low of the Historical Volatility for the previous two weeks (2W_HV_NetEarn).
HV_1MNE_18MEL   The 18 month Effective Low of the Historical Volatility for the previous month (1M_HV_NetEarn).
HV_2WNE_6MEH Historical Volatility, Effective High The six month Effective High of the Historical Volatility for the previous two weeks, with the effect of Net Earnings removed (2W_HV_NetEarn).  Here “effective high” is defined as the 90th percentile of 2W_HV_NetEarn over the six month time  period.
HV_1MNE_6MEH   The six month Effective High of the Historical Volatility for the previous month (1M_HV_NetEarn).  
HV_2WNE_18MEH The 18 month Effective High of the Historical Volatility of the previous two weeks (2W_HV_NetEarn).
HV_1MNE_18MEH   The 18 month Effective High of the Historical Volatility of the previous month (1M_HV_NetEarn).
IV_1M_Norm Implied Volatility, normalized The Normalized (or Constant Maturity) Implied Volatility for a one month contract, with a flat volatility surface.
IV_2M_Norm   The Normalized (or Constant Maturity) Implied Volatility for a two month contract, with a flat volatility surface.
IV_3M_Norm The Normalized (or Constant Maturity) Implied Volatility for a three month contract, with a flat volatility surface.
IV_6M_Norm   The Normalized (or Constant Maturity) Implied Volatility for a six month contract, with a flat volatility surface.
IV_1Y_Norm The Normalized (or Constant Maturity) Implied Volatility for a 12 month contract, with a flat volatility surface.
IV_2Y_Norm   The Normalized (or Constant Maturity) Implied Volatility for a 24 month contract, with a flat volatility surface.
IV_1M_1WChg Change in Implied Volatility, normalized Change in normalized one month volatility over the last week.
IV_2M_1WChg   Change in normalized two month volatility over the last week.
IV_3M_1WChg Change in normalized three month volatility over the last week.
IV_6M_1WChg   Change in normalized six month volatility over the last week.
IV_1Y_1WChg Change in normalized 12-month volatility over the last week.
IV_2Y_1WChg   Change in normalized 24-month volatility over the last week.
IV_1M_Avg Implied Volatility Averages Average of the one month Implied Volatility over the last 12 months.
IV_2M_Avg   Average of the two month Implied Volatility over the last 12 months.
IV_3M_Avg Average of the three month Implied Volatility over the last 12 months.
IV_6M_Avg   Average of the six month Implied Volatility over the last 12 months.
IV_1Y_Avg Average of the one year Implied Volatility over the last 12 months.
IV_2Y_Avg   Average of the two year Implied Volatility over the last 12 months.
IV_1M_1YLow Implied Volatility Low Values The lowest observed one-month Implied Volatility value over the last 12 months.
IV_2M_1YLow   The lowest observed two-month Implied Volatility value over the last 12 months.
IV_3M_1YLow The lowest observed three-month Implied Volatility value over the last 12 months.
IV_6M_1YLow   The lowest observed six-month Implied Volatility value over the last 12 months.
IV_1Y_1YLow The lowest observed one-year Implied Volatility value over the last 12 months.
IV_2Y_1YLow   The lowest observed two-year Implied Volatility value over the last 12 months.
IV_1M_1YHigh Implied Volatility High Values The highest observed one-month Implied Volatility value over the last 12 months.
IV_2M_1YHigh   The highest observed two-month Implied Volatility value over the last 12 months.
IV_3M_1YHigh The highest observed three-month Implied Volatility value over the last 12 months.
IV_6M_1YHigh   The highest observed six-month Implied Volatility value over the last 12 months.
IV_1Y_1YHigh The highest observed one-year Implied Volatility value over the last 12 months.
IV_2Y_1YHigh   The highest observed two-year Implied Volatility value over the last 12 months.
IVAvgIV_Ratio_1M Average Volatility Ratios Ratio of the current 1-Month implied volatility to the average of the 1-Month implied volatility over the last 12 months.
IVAvgIV_Ratio_2M   Ratio of the current 2-Month implied volatility to the average of the 2-Month implied volatility over the last 12 months.
IVAvgIV_Ratio_3M Ratio of the current 3-Month implied volatility to the average of the 3-Month implied volatility over the last 12 months.
IVAvgIV_Ratio_6M   Ratio of the current 6-Month implied volatility to the average of the 6-Month implied volatility over the last 12 months.
IVAvgIV_Ratio_1Y Ratio of the current 1-Year implied volatility to the average of the 1-Year implied volatility over the last 12 months.
IVAvgIV_Ratio_2Y   Ratio of the current 2-Year implied volatility to the average of the 2-Year implied volatility over the last 12 months.
IVHV_Ratio_1M Ratio of Implied Volatility to Historical Volatility Ratio of the current 1-Month implied volatility to the current 1-Month historical volatility.
IVHV_Ratio_2M   Ratio of the current 2-Month implied volatility to the current 2-Month historical volatility.
IVHV_Ratio_3M Ratio of the current 3-Month implied volatility to the current 3-Month historical volatility.
IVHV_Ratio_6M   Ratio of the current 6-Month implied volatility to the current 6-Month historical volatility.
IVHV_Ratio_1Y Ratio of the current 1-Year implied volatility to the current 1-Year historical volatility.
IVHV_Ratio_2Y   Ratio of the current 2-Year implied volatility to the current 2-Year historical volatility.
IV_1M_Pctile1Y Implied Volatility Percentiles  The percentile rank of the 1-Month Implied Volatility for the prior day compared to its range of values over the last 12 months. This value considers the full range of Implied Volatility daily data points for the position over the last 12 months, and compares the volatility for the current month to this set of values.  For example, if the volatility ranks in the 85th percentile, it would mean that the current monthly volatility is in the top 85 percent, or is close to the highest values seen over the last 12 months.
IV_2M_Pctile1Y The percentile rank of the 2-Month Implied Volatility for the prior day compared to its range of values over the last 12 months.
IV_3M_Pctile1Y   The percentile rank of the 3-Month Implied Volatility for the prior day compared to its range of values over the last 12 months.  
IV_6M_Pctile1Y The percentile rank of the 6-Month Implied Volatility for the prior day compared to its range of values over the last 12 months.
IV_1Y_Pctile1Y   The percentile rank of the 1-Year Implied Volatility for the prior day compared to its range of values over the last 12 months.  
IV_2Y_Pctile1Y The percentile rank of the 2-Year Implied Volatility for the prior day compared to its range of values over the last 12 months.
IV_1M_Pctile2Y   The percentile rank of the 1-Month Implied Volatility for the prior day compared to its range of values over the last 24 months.  
IV_2M_Pctile2Y The percentile rank of the 2-Month Implied Volatility for the prior day compared to its range of values over the last 24 months.
IV_3M_Pctile2Y   The percentile rank of the 3-Mth Implied Volatility for the prior day compared to its range of values over the last 24 months.  
IV_6M_Pctile2Y The percentile rank of the 6-Month Implied Volatility for the prior day compared to its range of values over the last 24 months.
IV_1Y_Pctile2Y   The percentile rank of the 1-Year Implied Volatility for the prior day compared to its range of values over the last 24 months.  
IV_2Y_Pctile2Y The percentile rank of the 2-Year Implied Volatility for the prior day compared to its range of values over the last 24 months.

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Master Volatility Report, with Expirations

This is useful when you are looking for ideas in all names that have listed options in a particular month.
Note that RiskEdge calculates a new set of Implied Volatility values each day for one month, two months, three months, six months, one year, and two years.  These sets of daily data points are collected and used to calculate averages, changes, and high and low values, as shown on the Master Volatility Report.  For example, every day the system calculates a new three month Implied Volatility value for each position.  So in the course of the year, from July 10, 2009 to July 9, 2010, the system will compile about 240 three-month volatility values.  From this the system determines and displays the lowest three-month volatility value over the last 12 months, as of the current day, the highest three-month value, and the average of all values.    RiskEdge uses the  same sets of numbers are to calculate percentiles.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking

Click Vertical_pencil or press F2 to set the parameters for the Master Volatility Report. These values limit the information that appears.

Minimum Stock The minimum price per share.  If you set this value to $50, contracts based on underlying stock with a share price of less than $50 will not appear on the Master Volatility Report.  The screen defaults to $0 so that all shares appear.
Maximum Stock The maximum price per share.  Set the highest price per underlying share.  You could use this to focus on contracts based on stocks with lower share prices.  The screen defaults to $10,000 so that all shares will appear.
Minimum Total Volume The minimum total trade volume for all options contracts for this stock for the current trading day.  The report will only show stocks with an options trade volume greater than this amount.
Minimum Average Daily Volume The minimum average daily trade volume for all options contracts for this position over the last 30 days.  The report will only show stocks with a total average volume greater than this amount.
Volatilities Define the volatilities for the trades shown on the report.   

  • Not Specified.  The report will not consider Implied Volatility values for the completed trades when selecting trades to appear.
  • My Volatilities.  Select your own volatilities set.
  • Borrowed Volatilities.  Select a volatilities set from another trader at your firm.

If you select a Volatility List the buy and sell levels for that list will appear in the report, in the columns IV_Exp#_BLvl and IV_Exp#_SLvl, Expiration Dates Buy Level and Expiration Dates, Sell Level.

Scope Define the range of the trades to show on the report.

  • Entire Market.  All possible trades are included in the report.
  • My Watchlist.  Select a watchlist that you created.
  • Borrowed Watchlist.  Select a watchlist created by another trader at your firm.

If you choose a Watchlist the symbols assigned to the Watchlist you select will appear on the report.

Uncheck the box next to Disregard “Fridge” if you want the report to leave out the symbols added to the I Don’t Care List. The I Don’t Care List is a list of symbols that you want to exclude.  Any stock or options contract that you add to the I Don’t Care List will not appear on any RiskEdge report if you set the Watchlist Type for that report to “Watch-Fridge.”

That is, if you don’t want to look at records related to Microsoft stock, you could add MSFT to the I Don’t Care List.  Then, if you choose “Watch – Fridge” as the Watchlist type, records for options contracts or stock for MSFT will not appear on the report.  This is true no matter what Watchlist you select, or if you don’t select any  Watchlist at all.

Column Heading Name Description
Underlyer Underlying Symbol Ticker symbol for underlying stock.
Sector Sector Major business sector for underlying stock, such as Energy or Industrial
SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
Industry Industry The specific industry for the underlying stock, such as Industrial/Electrical Components & Equipment/Wire & Cable Products.
Country Country code Code for country where underlying company is based, such as USA.
NumberExchanges Number of Exchanges The number of exchanges where this security is traded.
Exchanges Exchanges The symbols for the exchanges:
ABCI

N,P

O

Q

W

X

Z

American Stock ExchangeBoston Stock ExchangeChicago Board of Options ExchangeInternational Securities Exchange

New York Stock Exchange Arca

Options Price Reporting Authority

NASDAQ

C2 Options Exchange

Philadelphia Stock Exchange

BATS Global Markets

EstP/ENext4Qtrs Estimated Price to Earnings Ratio Earnings ratio over the next four quarters.
CurrentSharesOutstanding Current Shares Outstanding Total number of shares outstanding for the company that issued the underlying stock.
RawBeta Raw Beta Beta of the stock to the S&P 500 index.
MarketCap Market Capitalization Market cap for the company issuing the stock, in millions of dollars.
EquityFloat Equity Float Equity Float, in millions of shares.  This refers to the number of shares available for sale to the investing public.
FTVol F(t) Options Proprietary Volatility value A long-term Generalized Auto Regressive Conditional Heteroskedasticity (GARCH)-type implied volatility forecast, with earnings dates removed from the stock return history. This is a proprietary value calculated by the RiskEdge System.
PrevUnderlyingPrice Previous Underlying Price Share price from the last trading day.
UnderlyingPrice Underlying Price Current share price.
PctUChg Percent Underlying Change The percent change in the value of a share of the underlying stock since the previous trading day.
NetUChg Net Underlying Change The net change in the price of a share of the underlying stock from the previous trading day.
SDMove Standard Deviation Move in Underlying Share Price The implied change in the underlying share price extracted by the Implied Volatility level. SDMove = (Underlying Price * Vol%) / Square Root(252)
PctSDMove Percentage of Standard Deviation Move in Underlying Share Price

Percent change in SDMove for the share price of the stock during the day.

AbsPctSDMove Absolute Value of Percent of Standard Deviation Move Percent change in SDMove for the share price of the stock during the day, shown as an absolute value (positive).
Total_Call_Volume Total Call Volume Trade volume for all call contracts for this underlyer for the current day.
Total_Put_Volume Total Put Volume Trade volume for all put contracts for this underlyer for the current day.
Total_Volume Total Trade Volume Total trade volume for all puts and calls for this underlyer for the current day.
Avg_Call_Volume Average Call Volume Average trade volume for all call contracts for this underlyer over the last 30 days.
Avg_Put_Volume Average Put Volume Average trade volume for all put contracts for this underlyer over the last 30 days.
Avg_Total_Volume Average Total Volume Average trade volume for all puts and calls for this underlyer over the last 30 days.
Avg_Stock_Volume Average Stock Volume Average trade volume for the underlying stock over the last 30 days.
AvgDailyVega Average Daily Vega The  average of the daily total of vega in dollars of traded options contracts over the last 10 trading days.
Yest_Call_Volume Yesterday Call Volume Trade volume for call contracts for this underlyer on the previous trading day.
Yest_Put_Volume Yesterday Put Volume Trade volume for put contracts for this underlyer on the previous trading day.
Yest_Total_Volume Yesterday Total Volume Trade volume for all put and call contracts for this underlyer on the previous trading day.
CallOpenInterest Call Contract Open Interest Open interest for call contracts for this underlyer.
PutOpenInterest Put Contract Open Interest Open interest for put contracts for this underlyer.
TotalOpenInterest Total Open Interest Open interest for both puts and calls for this underlyer.
ShortInterest Short Interest Short Interest in company stock, in millions of shares.
ExpectedReportDate Expected Report Date The next scheduled earnings date for the underlying stock.
EarningsAnnounceTimeDescr Earnings Announcement Time Description When the earnings report will be released, with respect to the market session on the Upcoming Earnings Date.  The value that appears can be “Before,” “During,” “After,” or “Unknown.”  For example, an Earnings Date can be offered as July 15, but it can be projected to happen After the market closes on this date.
ExpectedReportType Expected Report Type Confirmed or estimated earnings date
HasEarnings Has Earnings Report A code to show whether or not the underlying stock has an earnings report. A “1” appears if an earnings report was released for the underlying stock last night after the market closing or today before the open. A “0” means that no earnings were reported recently.
DaysUntilEarnings Days Until Earnings Number of calendar days until the next scheduled earnings announcement for this stock
BusDaysUntilEarnings Business Days Until Earnings Number of business or trading days until the next scheduled earnings announcement for this stock
IV_Exp1_ATM_Bid (1-6) Price at Expiration EXP1 refers to the ATM bid price volatility for the first expiration month for the option. EXP2 refers to the second expiration month, EXP3 the third month, and  so on.   These are the calculated volatilities based on the current market.
IV_Exp1_ATM_Ask (1-6) EXP1 refers to the ATM ask price volatility for the first expiration month for the option. EXP2 refers to the second expiration month, EXP3 the third month, and  so on.
IV_Exp1_ATM_Mid (1-6)   EXP1 refers to the ATM middle price volatility (difference between bid and ask price) for the first expiration month for the option. EXP2 refers to the second expiration month, EXP3 the third month, and so on.  
IV_Exp1_Prev_Mid (1-6) EXP1 refers to the ATM bid price for the first expiration month for the option for the previous business day. EXP2 refers to the second expiration month, EXP3 the third month, and so on.
IV_Exp1_Chg (1-6)   EXP1 is the change in the ATM middle price (difference between bid and ask price) volatility price for the first expiration month for the option.  EXP2 refers to the second expiration month, EXP3 the third month, and so on.
IV_Exp1_25C_Mid (1-6) Volatility, 25 Delta EXP1 refers to the current volatility for the 25Delta Call contract for the first expiration month. EXP2 refers to the second expiration month, EXP3 to the third month, and so on.
IV_Exp1_25C_PrevMid (1-6)   EXP1 refers to the volatility value for the previous trading day for the 25Delta call contract for the first expiration month. EXP2 refers to the second expiration month, EXP3 to the third month, and so on.
IV_Exp1_25P_Mid (1-6) EXP1 refers to the current volatility for the 25Delta put contract for the first expiration month. EXP2 refers to the second month, EXP3 to the third month, and so on.
IV_Exp1_25P_PrevMid (1-6)   EXP1 refers to the Volatility value for the previous trading day for the 25Delta put contract for the first expiration month. EXP2 refers to the second expiration month, EXP3 to the third month, and so on.
Strike_Exp1 (1-6) Strike Price for Expiration Month EXP1 refers to the ATM strike price for the first expiration month.  EXP2 refers to the second expiration month, EXP3 the third month, and so on.
IV_Exp1_Date (1-6) Expiration Dates EXP1 is the expiration date for the first expiration month.  EXP2 refers to the second month, EXP3 to the third month, and so on.
IV_Exp1_BusDays (1-6) EXP1 is the number of business or trading days until the next expiration date for the first expiration month. EXP2 refers to the second month, EXP3 to the third month, and so on.
IV_Exp1_CalDays (1-6)   EXP1 is the number of calendar days until the next expiration date for the first expiration month. EXP2 refers to the second month, EXP3 to the third month, and so on.
IV_Exp1_BuyLvl (1-6) Expiration Dates, Buy Level, for the Volatility List that you selected EXP1 is the number of calendar days until the next expiration date for the first expiration month. EXP2 refers to the second month, EXP3 to the third month, and so on.
IV_Exp1_SellLvl (1-6) Expiration Dates, Sell Level, for the Volatility List that you selected EXP1 is the number of calendar days until the next expiration date for the first expiration month. EXP2 refers to the second month, EXP3 to the third month, and so on.
HV_1W_NetEarn Historical Volatility, no Net Earnings Historical Volatility for previous week, with the effect of Net Earnings removed.  The goal of this set of values is to display only the impact of market forces on volatility, and exclude how earnings reports affect share prices.
HV_2W_NetEarn   Historical Volatility for previous two weeks with the effect of Net Earnings removed.
HV_1M_NetEarn Historical Volatility for the previous month with the effect of Net Earnings removed.
HV_2M_NetEarn   Historical Volatility for the previous two months with the effect of Net Earnings removed.
HV_3M_NetEarn Historical Volatility for the previous three months with the effect of Net Earnings removed.
HV_6M_NetEarn   Historical Volatility for the previous six months with the effect of Net Earnings removed.
HV_1Y_NetEarn Historical Volatility for the previous 12 months with the effect of Net Earnings removed.
HV_1W Historical Volatility Historical Volatility value for the previous week
HV_2W Historical Volatility value for the previous two weeks
HV_1M   Historical Volatility value for the previous month
HV_2M Historical Volatility value for the previous two  months
HV_3M   Historical Volatility value for the previous three months
HV_6M Historical Volatility value for the previous six months
HV_1Y   Historical Volatility value for the previous 12  months
HV_2Y Historical Volatility value for the previous 24  months
HV_2WNE_6MEL Historical Volatility, Effective Low The six-month Effective Low of the Historical Volatility for the previous two weeks, with the effect of Net Earnings removed (2W_HV_NetEarn).  Here “effective low” is defined as the 10th percentile of the 2W_HV_NetEarn value over the six month time period.
HV_1MNE_6MEL The six month Effective Low of the Historical Volatility for the previous month (1M_HV_NetEarn).
HV_2WNE_18MEL   The 18 month Effective Low of the Historical Volatility for the previous two weeks (2W_HV_NetEarn).
HV_1MNE_18MEL The 18 month Effective Low of the Historical Volatility for the previous month (1M_HV_NetEarn).
HV_2WNE_6MEH Historical Volatility, Effective High The six month Effective High of the Historical Volatility for the previous two weeks, with the effect of Net Earnings removed (2W_HV_NetEarn).  Here “effective high” is defined as the 90th percentile of 2W_HV_NetEarn over the six month time  period.
HV_1MNE_6MEH The six month Effective High of the Historical Volatility for the previous month (1M_HV_NetEarn).
HV_2WNE_18MEH   The 18 month Effective High of the Historical Volatility of the previous two weeks (2W_HV_NetEarn).  
HV_1MNE_18MEH The 18 month Effective High of the Historical Volatility of the previous month (1M_HV_NetEarn).
IV_1M_Norm Implied Volatility, normalized The Normalized (or Constant Maturity) Implied Volatility for a one month contract, with a flat volatility surface.
IV_2M_Norm The Normalized (or Constant Maturity) Implied Volatility for a two month contract, with a flat volatility surface.
IV_3M_Norm   The Normalized (or Constant Maturity) Implied Volatility for a three month contract, with a flat volatility surface.
IV_6M_Norm The Normalized (or Constant Maturity) Implied Volatility for a six month contract, with a flat volatility surface.
IV_1Y_Norm   The Normalized (or Constant Maturity) Implied Volatility for a 12 month contract, with a flat volatility surface.
IV_2Y_Norm The Normalized (or Constant Maturity) Implied Volatility for a 24 month contract, with a flat volatility surface.
IV_1M_1WChg Change in Implied Volatility, normalized Change in normalized one month volatility over the last week.
IV_2M_1WChg Change in normalized two month volatility over the last week.
IV_3M_1WChg   Change in normalized three month volatility over the last week.
IV_6M_1WChg Change in normalized six month volatility over the last week.
IV_1Y_1WChg   Change in normalized 12-month volatility over the last week.
IV_2Y_1WChg Change in normalized 24-month volatility over the last week.
IV_1M_Avg Implied Volatility Averages Average of the one month Implied Volatility over the last 12 months.
IV_2M_Avg Average of the two month Implied Volatility over the last 12 months.
IV_3M_Avg   Average of the three month Implied Volatility over the last 12 months.
IV_6M_Avg Average of the six month Implied Volatility over the last 12 months.
IV_1Y_Avg   Average of the one year Implied Volatility over the last 12 months.
IV_2Y_Avg Average of the two year Implied Volatility over the last 12 months.
IV_1M_1YLow Implied Volatility Low Values The lowest observed one-month Implied Volatility value over the last 12 months.
IV_2M_1YLow The lowest observed two-month Implied Volatility value over the last 12 months.
IV_3M_1YLow   The lowest observed three-month Implied Volatility value over the last 12 months.
IV_6M_1YLow The lowest observed six-month Implied Volatility value over the last 12 months.
IV_1Y_1YLow   The lowest observed one-year Implied Volatility value over the last 12 months.
IV_2Y_1YLow The lowest observed two-year Implied Volatility value over the last 12 months.
IV_1M_1YHigh Implied Volatility High Values The highest observed one-month Implied Volatility value over the last 12 months.
IV_2M_1YHigh The highest observed two-month Implied Volatility value over the last 12 months.
IV_3M_1YHigh   The highest observed three-month Implied Volatility value over the last 12 months.
IV_6M_1YHigh The highest observed six-month Implied Volatility value over the last 12 months.
IV_1Y_1YHigh   The highest observed one-year Implied Volatility value over the last 12 months.
IV_2Y_1YHigh The highest observed two-year Implied Volatility value over the last 12 months.
IVAvgIV_Ratio_1M Average Volatility Ratios Ratio of the current 1-Month implied volatility to the average of the 1-Month implied volatility over the last 12 months.
IVAvgIV_Ratio_2M Ratio of the current 2-Month implied volatility to the average of the 2-Month implied volatility over the last 12 months.
IVAvgIV_Ratio_3M   Ratio of the current 3-Month implied volatility to the average of the 3-Month implied volatility over the last 12 months.
IVAvgIV_Ratio_6M Ratio of the current 6-Month implied volatility to the average of the 6-Month implied volatility over the last 12 months.
IVAvgIV_Ratio_1Y   Ratio of the current 1-Year implied volatility to the average of the 1-Year implied volatility over the last 12 months.
IVAvgIV_Ratio_2Y Ratio of the current 2-Year implied volatility to the average of the 2-Year implied volatility over the last 12 months.
IVHV_Ratio_1M Ratio of Implied Volatility to Historical Volatility Ratio of the current 1-Month implied volatility to the current 1-Month historical volatility.
IVHV_Ratio_2M Ratio of the current 2-Month implied volatility to the current 2-Month historical volatility.
IVHV_Ratio_3M   Ratio of the current 3-Month implied volatility to the current 3-Month historical volatility.
IVHV_Ratio_6M Ratio of the current 6-Month implied volatility to the current 6-Month historical volatility.
IVHV_Ratio_1Y   Ratio of the current 1-Year implied volatility to the current 1-Year historical volatility.
IVHV_Ratio_2Y Ratio of the current 2-Year implied volatility to the current 2-Year historical volatility.
IV_1M_Pctile1Y Implied Volatility Percentiles  The percentile rank of the 1-Month Implied Volatility for the prior day compared to its range of values over the last 12 months. This value considers the full range of Implied Volatility daily data points for the position over the last 12 months, and compares the volatility for the current month to this set of values.  For example, if the volatility ranks in the 85th percentile, it would mean that the current monthly volatility is in the top 85 percent, or is close to the highest values seen over the last 12 months.
IV_2M_Pctile1Y The percentile rank of the 2-Month Implied Volatility for the prior day compared to its range of values over the last 12 months.
IV_3M_Pctile1Y   The percentile rank of the 3-Month Implied Volatility for the prior day compared to its range of values over the last 12 months.
IV_6M_Pctile1Y The percentile rank of the 6-Month Implied Volatility for the prior day compared to its range of values over the last 12 months.
IV_1Y_Pctile1Y   The percentile rank of the 1-Year Implied Volatility for the prior day compared to its range of values over the last 12 months.  
IV_2Y_Pctile1Y The percentile rank of the 2-Year Implied Volatility for the prior day compared to its range of values over the last 12 months.
IV_1M_Pctile2Y   The percentile rank of the 1-Month Implied Volatility for the prior day compared to its range of values over the last 24 months.  
IV_2M_Pctile2Y The percentile rank of the 2-Month Implied Volatility for the prior day compared to its range of values over the last 24 months.
IV_3M_Pctile2Y   The percentile rank of the 3-Mth Implied Volatility for the prior day compared to its range of values over the last 24 months.
IV_6M_Pctile2Y The percentile rank of the 6-Month Implied Volatility for the prior day compared to its range of values over the last 24 months.
IV_1Y_Pctile2Y   The percentile rank of the 1-Year Implied Volatility for the prior day compared to its range of values over the last 24 months.  
IV_2Y_Pctile2Y The percentile rank of the 2-Year Implied Volatility for the prior day compared to its range of values over the last 24 months.
JAN_IV_MIDJAN2_IV_MIDJAN3_IV_MID At the Money Implied Volatility, January expirations  
FEB to DEC IV_MID At the Money Implied Volatility, February through December expirations
JAN_IV_MID_NetEarnJAN2_IV_MID _NetEarnJAN3_IV_MID_NetEarn At the Money Implied Volatility, Net Earnings, January expirations  
FEB to DEC IV_MID_NetEarn At the Money Implied Volatility, Net Earnings, February through December expirations

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Open Interest by Month

The Open Interest by Month Report allows you to display the open interest per month per symbol.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking

Click Edit_parameters_button to set the parameters for the ETF Volatility Ratios Report. These values limit the information that appears.

Watch List Type Select either Watchlist or “Watch – Fridge.”Choose Watchlist if you want to use an existing Watchlist.  This will filter the report so that it will only show records related to the stock symbols defined on the Watchlist you select.  If you choose “Watch – Fridge,” the report will leave out the symbols added to the I Don’t Care list.  That is, if you don’t want to look at records related to Microsoft stock, you could add MSFT to the I Don’t Care List.  Then, if you choose “Watch – Fridge” as the Watchlist type, records for options contracts or stock for MSFT will not appear on the report.  This is true no matter what Watchlist you select, or if you don’t select any  Watchlist at all.
Watch List Name Choose a Watchlist.  The symbols assigned to the Watchlist you select will appear on the report.  If you don’t want to select a Watchlist, simply chooseAll Optionable Securities and every available symbol will appear.If you chose “Watch – Fridge” as the type the symbols on the I Don’t Care List will not appear on the report.  So if the  symbol MSFT appears on a Watchlist that you select, but MSFT has also been added to the I Don’t Care List, records related to MSFT will not appear on the report.
MinCallDelta Enter the minimum delta value for call contracts.
MaxCallDelta Enter the maximum delta value for call contracts.
MinPutDelta Enter the minimum delta value for put contracts.
MaxPutDelta Enter the maximum delta value for put contracts.
Column Heading Name Description
Und Underlying Symbol Ticker symbol for underlying stock.
Expiration Expiration Date  
OpenInt Open Interest Rate Open interest for both puts and calls for this underlyer for the current month

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Print Analysis Report

The Print Analysis report monitors trading activity in the options market and displays completed trades (trades that were “printed”).  Along with details of trade activity the report also provides volatility information, historical values, and greek values.

Use the Print Analysis Report to monitor options contract trades for a stock or group of stocks.  You can use the Edit Parameters to focus on outliers, such as trade activity for contracts due to expire in the next three days or with a very high average trade volume.  From this you can estimate the current market pressure to buy or sell a specific options contract.

The Print Analysis Report provides information about trading activity across the entire marketplace.  It is not related to trading activity with your firm’s investment portfolio.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking

Click  Vertical_pencil or press F2 to set the parameters for the Print Analysis Report. These values limit the information that appears. The values you enter for the parameters, described below, filter print records shown on the report based on the columns that provide information for multiple prints.  For example, the Total Quantity column on this report refers to the total number of contracts traded for this position up to the current moment of the current trading day.  So if you set a Minimum Total Volume parameter at 150 contracts, any position where only 120 contracts have traded so far will not appear on the report.

Minimum Stock The minimum price per share.  If you set this value to $50, contracts based on underlying stock with a share price of less than $50 will not appear on the Print Analysis Report.  The screen defaults to $0 so that all shares appear.
Maximum Stock The maximum price per share.  Set the highest price per underlying share.  You could use this item to limit the report to listing records for contracts based on stocks with lower share prices.  The screen defaults to $10,000 so that all shares will appear.
Minimum Delta The minimum delta for a position.  The default is .1.
Maximum Delta The maximum delta for a position.  The default is .9.
Minimum Business Expiration Days The minimum number of days until expiration for a contract.  The default is zero days.  If you wanted to focus on contracts that were due to expire in the next month or later, you could set this minimum value to 30 days.
Maximum Business Expiration Days The maximum number of business, or trading, days until expiration for a contract.  The default is 3000 days, or effectively all contracts (those that will expire within the next eight years).  If you wanted to limit the report to showing only those contracts that are due to expire soon (in the next month), you could set the Minimum Expiration days to 0 days and the Maximum to 30 days.
Minimum Total Volume The minimum total trade volume for all options contracts for this stock for the current trading day.  The report will only show stocks with a options volume greater than this amount.
Minimum Average Daily Volume The minimum average daily trade volume for all options contracts for this position over the last 30 days.
Minimum Print Size The minimum size of a trade.
VolListName Select the name of a Volatility List from the list of names that appear.For each result returned by the report, if the Volatility List contains a corresponding record, the MyBuyLvl, MySellLvl and MyMidLvl columns will return data from the Volatility List you selected.
Watch List Type Select either Watchlist or “Watch – Fridge.”Choose Watchlist if you want to use an existing Watchlist.  This will filter the report so that it will only show records related to the stock symbols defined on the Watchlist you select.  If you choose “Watch – Fridge,” the report will leave out the symbols added to the I Don’t Care list.  That is, if you don’t want to look at records related to Microsoft stock, you could add MSFT to the I Don’t Care List.  Then, if you choose “Watch – Fridge” as the Watchlist type, records for options contracts or stock for MSFT will not appear on the report.  This is true no matter what Watchlist you select, or if you don’t select any  Watchlist at all.
Watch List Name Choose a Watchlist.  The symbols assigned to the Watchlist you select will appear on the report.  If you don’t want to select a Watchlist, simply chooseAll Optionable Securities and every available symbol will appear.If you chose “Watch – Fridge” as the type the symbols on the I Don’t Care List will not appear on the report.  So if the  symbol MSFT appears on a Watchlist that you select, but MSFT has also been added to the I Don’t Care List, records related to MSFT will not appear on the report.

You can specify the minimum contract size for trades displayed on this report, at the level of the individual symbol, by creating a Print List.  For example, if you don’t want to display any completed trades for Microsoft (MSFT) that involve less than 200 contracts, you could set a minimum contract size for MSFT in a Print List.

Click the VolEdge menu and select List Management.

At the List Management window, click Print List.

Click New List to create a new Print List.  If you are going to set a minimum contract size for a trade for a given symbol, the symbol must be in a Print List.

Print_List_1

You can select an existing list of symbols for the print list by selecting a Volatility List or Watch List.

Or you can select None for both Volatility List and Watch List and create an empty Print List, and then manually add the symbols that you want on the list.

Click Add Symbol to add a single symbol to any Print List.

Print_List_2

Click in the Print Min field to change the minimum contract size for the symbol.

Type a new value and press Enter.

Column Heading Name Description
Sector Sector Major business sector for underlying stock, such as Energy or Industrial
SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
Symbol Symbol Ticker symbol for underlying stock
StockPrice Stock Price Price per share of underlying stock
PctUChg Percent Underlying Change Percent change in share price for underlying stock from the market close from the previous trading day
NetUChg Net Underlying Change Net change in share price in dollars for the underlying stock from the market closet from the previous trading day.
Expiration Expiration Date Date options contract will expire.
Strike Strike Price Strike price on the contract.
MarketCap Market Capitalization Market cap for the company issuing the stock, in millions of dollars.
CallPut Call or Put C or P appears.
PrntDelta Print Delta Delta at last trade.
PrntPrice Print Price Last traded price.
PrntStockPrice Print Stock Price Share price of underlying stock at last trade
BidVol Bid Price Volatility The volatility of the bid price when the last trade was completed for this security.
AskVol Ask Price Volatility The volatility of the ask price when the last trade was completed for this security.
AskPrice Ask Price Current ask price for contract.
BidPrice Bid Price Current Bid price for contract.
PrntVol Print Volatility Implied volatility of last traded price.
ExpDays Expiration Days Number of days until the next expiration date.
PrntQuantity Print Quantity Number of contracts traded at last trade.
PrintTime Print Time Time the last order was placed during the current trading day.
AvgDailyVolume Average Daily Volume Average volume of all options contracts traded for this position over the last 30 trading days.
TotalQty Total Quantity Total number of contracts traded for an option on the current trading day, to the present moment.
TotalVolumeRatio Total Volume Ratio The ratio of the number of contracts for this option traded in the current day divided by the average daily volume.
TotalAvgVol Total Average Volatility The average Implied Volatility for a contract for the current trading day.
PrntCount Print Count Number of times this contract has been traded during the current trading day, to the current moment.
PrntAvgVol Print Average Volatility Average implied volatility for all trades in the current day for this contract.
OptVolChg Option Volatility Change Change in the implied volatility for the contract since the prior day.
Side Side Bid or Offer
SDMove Standard Deviation Move in Underlying Share Price The implied change in the underlying share price extracted by the Implied Volatility level. SDMove = (Underlying Price * Vol%) / Square Root(252)
PctSDMove Percentage of Standard Deviation Move in Underlying Share Price Percent change in Standard Deviation for the share price of the stock during the day.
IV_Exp1_Chg (1-6) Price at ExpirationChange in ATM middle price EXP1 is the change in the ATM middle price (difference between bid and ask price) volatility price for the first expiration month for the option.  EXP2 refers to the second expiration month, EXP3 the third month, and so on.
IV_Exp1_ATM_Mid (1-6) Price at ExpirationATM middle price EXP1 refers to the ATM middle price volatility (difference between bid and ask price) for the first expiration month for the option. EXP2 refers to the second expiration month, EXP3 the third month, and so on.
UpcomingEarningsDate Upcoming Scheduled Earnings Report The next scheduled earnings date for the underlying stock.
EarningsReleaseTime Earnings Release Time When the earnings report will be released, with respect to the market session on the Upcoming Earnings Date.  The value that appears can be “Before,” “During,” “After,” or “Unknown.”  For example, an Earnings Date can be offered as July 15, but it can be projected to happen After the market closes on this date.
EarningsStatus Earnings Status Either “Estimated” or “Confirmed” appears.  This applies to the other earnings values shown on the Earnings Report, such as Days until Earnings and Earnings Date.
HasEarnings Has Earnings? A code to show whether or not the underlying stock has an earnings report. A “1” appears if an earnings report was released for the underlying stock last night after the market closing or today before the open. A “0” means that no earnings were reported recently.
DaysUntilEarnings Days Until Next Earnings Report Number of days until the next earnings report for the underlying stock, either estimated or confirmed.
SPC Shares per Contract Usually 100, though some flexible options contracts cover more or less underlying shares
VolSprd Volatility Spread Absolute spread of the bid and ask volatility.  This is the difference of the bid and ask volatility values.
VolSprdPct Volatility Spread Percentage The spread of the bid and ask volatility (VolSprd), relative rather than absolute and shown as a percentage.
IV_1M_Pctile1Y Implied Volatility Percentiles The percentile rank of the 1-Month Implied Volatility for the prior day compared to its range of values over the last 12 months.   This value considers the full range of Implied Volatility daily data points for the position over the last 12 months, and compares the volatility for the current month to this set of values.  For example, if the volatility ranks in the 85th percentile, it would mean that the current monthly volatility is in the top 85 percent, or is close to the highest values seen over the last 12 months.
IV_3M_Pctile1Y The percentile rank of the 3-Month Implied Volatility for the prior day compared to its range of values over the last 12 months.
IV_1Y_Pctile1Y   The percentile rank of the 1-Year Implied Volatility for the prior day compared to its range of values over the last 12 months.
IV_1M_Pctile2Y The percentile rank of the 2-Month Implied Volatility for the prior day compared to its range of values over the last 24 months.
IV_3M_Pctile2Y    The percentile rank of the 3-Mth Implied Volatility for the prior day compared to its range of values over the last 24 months.  
IV_1Y_Pctile2Y The percentile rank of the 1-Year Implied Volatility for the prior day compared to its range of values over the last 24 months.
MyBuyLvl Buy Volatility Level, Edited The Buy Volatility Level as updated manually on the Volatility List Editor.  You can enter a change to the Buy Volatility in the BVol field for an options contract on the Volatility List Editor, and the screen will recalculate the Buy Level and display it in the Buy Level (BLvl) volatility field.  That edited value is displayed here.
MySellLvl Sell Volatility Level, Edited The Sell Volatility Level as updated manually on the Volatility List Editor.  You can enter a change to the Sell Volatility in the SVol field for an options contract on the Volatility List Editor, and the screen will  recalculate the Sell Level and display it in the Sell  Level (SLvl) volatility field.  That edited value is displayed here.
MyMidLvl Middle (Base) Volatility Level The base volatility level, midway between the Sell Volatility (MySellLvl) and the Buy Volatility (MyBuyLvl) shown on this screen.  If the Buy Volatility equals the Sell Volatility, the MidLvl value will equal that amount as well.

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Print Analysis Single Report

The Print Analysis Single Report monitors trading activity in the options market and displays completed trades (trades that were “printed”).

It is very similar to the Print Analysis Report, but the Print Analysis Single Report only shows trading activity for a single underlying stock that you select using the Position Navigator.

With the details of trade activity the report also provides volatility information, historical values, and greek values.

Use the Print Analysis Single Report to monitor options contract trades for a stock or group of stocks.  You can use the Edit Parameters to focus on outliers, such as trade activity for contracts due to expire in the next three days or with a very high average trade volume.  From this you can estimate the current market pressure to buy or sell a specific options contract.

The Print Analysis Single Report provides information about trading activity across the entire marketplace.  It is not related to trading activity with your firm’s investment portfolio.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking.

ClickVertical_pencil  or press F2 to set the parameters for the Print Analysis Report. These values limit the information that appears.

Minimum Delta The minimum delta for a position.  The default is .1.
Maximum Delta The maximum delta for a position.  The default is .9.
Minimum Business Expiration Days The minimum number of days until expiration for a contract.  The default is zero days.  If you wanted to focus on contracts that were due to expire in the next month or later, you could set this minimum value to 30 days.
Maximum Business Expiration Days The maximum number of business, or trading, days until expiration for a contract.  The default is 3000 days, or effectively all contracts (those that will expire within the next eight years).  If you wanted to limit the report to showing only those contracts that are due to expire shortly (in the next month), you could set the Minimum Expiration Days to 0 days and the Maximum to 30 days.
Minimum Print Size The minimum trade size, in shares.
Total Strike Volume Ratio The strike price per contract divided by the number of contracts traded for this position for the trading day.
Position

The symbol of the position, showing the symbol of the underlying stock and the trading account.

Type the symbol to select it or use the Position Navigator.

VolListName Select the name of a Volatility List from the list of names that appear.For each result returned by the report, if the Volatility List contains a corresponding record, the MyBuyLvl, MySellLvl and MyMidLvl columns will return data from the Volatility List you selected.

You can specify the minimum contract size for trades displayed on this report, at the level of the individual symbol, by creating a Print List.  For example, if you don’t want to display any completed trades for Microsoft (MSFT) that involve less than 200 contracts, you could set a minimum contract size for MSFT in a Print List.

Click the VolEdge menu and select List Management.

At the List Management window, click Print List.

Click New List to create a new Print List.  If you are going to set a minimum contract size for a trade for a given symbol, the symbol must be in a Print List.

Print_List_1

You can select an existing list of symbols for the print list by selecting a Volatility List or a Watch List. 

Or you can select None for both Volatility List and Watch List and create an empty Print List, and then manually add the symbols that you want on the list.

Click Add Symbol to add a single symbol to any Print List.

Print_List_2

Click in the Print Min field to change the minimum contract size for the symbol.

Type a new value and press Enter.

Column Heading Name Description
Symbol Symbol Ticker symbol for underlying stock.
Expiry Expiration Date Contract expiration date.
EarnDate Earnings Date The date of the next earnings announcement, either estimated or confirmed.
Strike Strike Price Contract strike price.
C_P Call or Put C or P appears.
PrntQuantity Print Quantity Number of contracts traded at last trade.
PrntPrice Print Price Last traded price.
PrntVol Print Volatility Implied volatility of last traded price.
PrntDelta Print Delta Delta at last trade.
PrintTime Print Time Time the last order was placed during the current trading day.
OptVolChg Option Volatility Change Change in the implied volatility for the contract for the current trading day.
PrntStockPrice Print Stock Price Share price of underlying stock at last trade.
StkPr Strike Price Contract strike price.
MarketCap Market Capitalization Market cap for the company issuing the stock, in millions of dollars.
NetUChg Net Underlying Change The net change in the price of a share of the underlying stock from the previous trading day.
PctUChg Percent Underlying Change The percent change in the value of a share of the underlying stock since the previous trading day.
IV_Exp1_Chg (1-6) Price at Expiration, Change EXP1 is the change in the ATM middle price (difference between bid and ask price) volatility price for the first expiration month for the option.  EXP2 refers to the second expiration month, EXP3 the third month, and so on.
IV_Exp1_ATM_Mid (1-6) Price at Expiration, ATM Middle EXP1 refers to the ATM middle price volatility (difference between bid and ask price) for the first expiration month for the option. EXP2 refers to the second expiration month, EXP3 the third month, and so on.  
Side Side Buy, Sell or SSH (short sale)
TotalQty Total Quantity Total number of contracts traded for an option on the current trading day, to the present moment.
TotalVolumeRatio Total Volume Ratio The ratio of the number of contracts for this option traded in the current day divided by the average daily volume.
TotalAvgVol Total Average Volatility The average Implied Volatility for a contract for the current trading day.
TotOptVolu Total Option Volume Total number of options contracts traded today for this stock.
TotOptVoluRatio Total Options Volume Ratio The ratio of the average options trade volume to the total average daily trade volume for the position over the last 30 days.
MyBuyLvl Buy Volatility Level, Edited The Buy Volatility Level as updated manually on the Volatility List Editor.  You can enter a change to the Buy Volatility in the BVol field for an options contract on the Volatility List Editor, and the screen will recalculate the Buy Level and display it in the Buy Level (BLvl) volatility field.  That edited value is displayed here.
MySellLvl Sell Volatility Level, Edited The Sell Volatility Level as updated manually on the Volatility List Editor.  You can enter a change to the Sell Volatility in the SVol field for an options contract on the Volatility List Editor, and the screen will  recalculate the Sell Level and display it in the Sell  Level (SLvl) volatility field.  That edited value is displayed here.
MyMidLvl Middle (Base) Volatility Level The base volatility level, midway between the Sell Volatility (MySellLvl) and the Buy Volatility (MyBuyLvl) shown on this screen.  If the Buy Volatility equals the Sell Volatility, the MidLvl value will equal that amount as well.

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Print Monitor Report

Use the Print Monitor Report to list the options contract trades for the list of names that appear on the list of Watch List Names on the Watch List you select.  Use the Edit Parameters to select a Watch List for this report.  You can also use the Edit Parameters to focus on outliers, such as trade activity for contracts due to expire in the next three days or with a very high average trade volume.  From this you can estimate the current market pressure to buy or sell a specific options contract.

The Print Monitor Report provides information about trading activity across the entire marketplace.  It is not related to trading activity with your firm’s investment portfolio.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking.

Click Vertical_pencil or press F2 to set the parameters for the Print Monitor Report. These values limit the information that appears.

Minimum Stock The minimum price per share.  If you set this value to $50, contracts based on underlying stock with a share price of less than $50 will not appear on the Print Analysis Report.  The screen defaults to $0 so that all shares appear.
Maximum Stock The maximum price per share.  Set the highest price per underlying share.  You could use this item to limit the report to listing records for contracts based on stocks with lower share prices.  The screen defaults to $10,000 so that all shares will appear.
Minimum Delta The minimum delta for a position.  The default is .1.
Maximum Delta The maximum delta for a position.  The default is .9.
Minimum Business Expiration Days The minimum number of days until expiration for a contract.  The default is zero days.  If you wanted to focus on contracts that were due to expire in the next month or later, you could set this minimum value to 30 days.
Maximum Business Expiration Days The maximum number of business, or trading, days until expiration for a contract.  The default is 3000 days, or effectively all contracts (those that will expire within the next eight years).  If you wanted to limit the report to showing only those contracts that are due to expire soon (in the next month), you could set the Minimum Expiration days to 0 days and the Maximum to 30 days.
Minimum Print Size The minimum size of the trade.
Minimum Average Daily Volume The minimum average daily trade volume for all options contracts for this position over the last 30 days.
Number of Prints The minimum number of completed trades for this security.
VolListName Select the name of a Volatility List from the list of names that appear.For each result returned by the report, if the Volatility List contains a corresponding record, the MyBuyLvl, MySellLvl and MyMidLvl columns will return data from the Volatility List you selected.
Watch List Type Select either Watchlist or “Watch – Fridge.”Choose Watchlist if you want to use an existing Watchlist.  This will filter the report so that it will only show records related to the stock symbols defined on the Watchlist you select.  If you choose “Watch – Fridge,” the report will leave out the symbols added to the I Don’t Care list.  That is, if you don’t want to look at records related to Microsoft stock, you could add MSFT to the I Don’t Care List.  Then, if you choose “Watch – Fridge” as the Watchlist type, records for options contracts or stock for MSFT will not appear on the report.  This is true no matter what Watchlist you select, or if you don’t select any  Watchlist at all.
Watch List Name Choose a Watchlist.  The symbols assigned to the Watchlist you select will appear on the report.  If you don’t want to select a Watchlist, simply chooseAll Optionable Securities and every available symbol will appear.If you chose “Watch – Fridge” as the type the symbols on the I Don’t Care List will not appear on the report.  So if the  symbol MSFT appears on a Watchlist that you select, but MSFT has also been added to the I Don’t Care List, records related to MSFT will not appear on the report.

You can specify the minimum contract size for trades displayed on this report, at the level of the individual symbol, by creating a Print List.  For example, if you don’t want to display any completed trades for Microsoft (MSFT) that involve less than 200 contracts, you could set a minimum contract size for MSFT in a Print List.

Click the VolEdge menu and select List Management.

At the List Management window, click Print List.

Click New List to create a new Print List.  If you are going to set a minimum contract size for a trade for a given symbol, the symbol must be in a Print List.

Print_List_1

You can select an existing list of symbols for the print list by selecting a Volatility List or a Watch List.

Or you can select None for both Volatility List and Watch List and create an empty Print List, and then manually add the symbols that you want on the list.

Click Add Symbol to add a single symbol to any Print List.

Print_List_2

Click in the Print Min field to change the minimum contract size for the symbol.

Type a new value and press Enter.

Column Heading Name Description
Sector Sector Major business sector for underlying stock, such as Energy or Industrial
SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
Symbol Underlying Symbol Ticker symbol for underlying stock
Expiration Expiration Date Date options contract will expire.
Strike Strike Price Strike price on the contract.
CallPut Call or Put C or P appears.
PrntDelta Print Delta Delta at last trade.
PrntPrice Print Price Last traded price.
PrntStrikePrice Print Strike Price Strike price of the contract at last trade
BidVol Bid Price Volatility The volatility of the bid price when the last trade was completed for this security.
AskVol Ask Price Volatility The volatility of the ask price when the last trade was completed for this security.
BidPrice Bid Price Bid price for contract at last trade.
AskPrice Ask Price Ask price for contract at last trade.
PrntVol Print Volatility Implied volatility of last traded price.
ExpDays Expiration Days Number of days until the next expiration date.
PrntQuantity Print Quantity Number of contracts traded at last trade.
AvgDailyVolume Average Daily Volume Average volume of all options contracts traded for this position over the last 30 trading days.
OptPrevVol Option Previous Volatility Average implied volatility for all trades for the previous day for this contract.
OptVolChg Option Volatility Change Change in the implied volatility for the contract for the current trading day.
Side Side Bid or Offer
UpcomingEarningsDate Upcoming Scheduled Earnings Report The next scheduled earnings date for the underlying stock.
EarningsReleaseTime Earnings Release Time When the earnings report will be released, with respect to the market session on the Upcoming Earnings Date.  The value that appears can be “Before,” “During,” “After,” or “Unknown.”  For example, an Earnings Date can be offered as July 15, but it can be projected to happen After the market closes on this date.
EarningsStatus Earnings Status Either “Estimated” or “Confirmed” appears.  This applies to the other earnings values shown on the Earnings Report, such as Days until Earnings and Earnings Date.
HasEarnings Has Earnings A code to show whether or not the underlying stock has an earnings report. A “1” appears if an earnings report was released for the underlying stock last night after the market closing or today before the open. A “0” means that no earnings were reported recently.
DaysUntilEarnings Days Until Next Earnings Report Number of days until the next earnings report for the underlying stock, either estimated or confirmed.
OptionsSymbol Options Contract Symbol The OSI ticker symbol for the security. The Options Symbology Institute is an initiative by the Options Clearing Corporation and the Canadian Derivatives Clearing Corporation to create a standard set of symbols for listed options contracts.
VolSprd Volatility Spread Absolute spread of the bid and ask volatility.  This is the difference of the bid and ask volatility values.
VolSprdPct Volatility Spread Percentage The spread of the bid and ask volatility (VolSprd), relative rather than absolute and shown as a percentage.  
PrintTime Print Time Time the last order was placed during the current trading day.
MarketCap Market Capitalization Market cap for the company issuing the stock, in millions of dollars.
MyBuyLvl Buy Volatility Level, Edited The Buy Volatility Level as updated manually on the Volatility List Editor.  You can enter a change to the Buy Volatility in the BVol field for an options contract on the Volatility List Editor, and the screen will recalculate the Buy Level and display it in the Buy Level (BLvl) volatility field.  That edited value is displayed here.
MySellLvl Sell Volatility Level, Edited The Sell Volatility Level as updated manually on the Volatility List Editor.  You can enter a change to the Sell Volatility in the SVol field for an options contract on the Volatility List Editor, and the screen will  recalculate the Sell Level and display it in the Sell  Level (SLvl) volatility field.  That edited value is displayed here.
MyMidLvl Middle (Base) Volatility Level The base volatility level, midway between the Sell Volatility (MySellLvl) and the Buy Volatility (MyBuyLvl) shown on this screen.  If the Buy Volatility equals the Sell Volatility, the MidLvl value will equal that amount as well.

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Print Stream

Use the Print Stream Report to list the options contract trades for the list of names that appear on the list of Watch List Names on the Watch List you select.  Use the Edit Parameters to select a Watch List for this report.  You can also use the Edit Parameters to focus on outliers, such as trade activity for contracts due to expire in the next three days or with a very high average trade volume.  From this you can estimate the current market pressure to buy or sell a specific options contract.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking

Click Edit_parameters_button to set the parameters for the Print Stream Report. These values limit the information that appears.

The Print Stream Report has a Parameters window that differs from the window offered for the other reports in the system.  To determine the volatility values and scope the screen offers some drop down fields for selecting values.  We describe how to complete the Parameters window below.

Complete the values and click Apply_button_Print_Stream to post your changes and display a list of values on the screen.

The top of the report shows a percent symbol, %.  This is a wildcard for all symbols.  If you want to display a single security on the Print Stream Report, type that symbol (such as IBM or MSFT) in this field.

Volatilities Define the volatilities for the trades shown on the report.   

  • Not Specified.  The report will not consider Implied Volatility values for the completed trades when selecting trades to appear.
  • My Volatilities.  Select your own volatilities set.
  • Borrowed Volatilities.  Select a volatilities set from another trader at your firm.
Scope Define the range of the trades to show on the report.

  • Entire Market.  All possible trades are included in the report.
  • My Watchlist.  Select a watchlist that you created.
  • Borrowed Watchlist.  Select a watchlist created by another trader at your firm.

If you choose a Watchlist the symbols assigned to the Watchlist you select will appear on the report.

Uncheck the box next to Disregard “Fridge” if you want the report to leave out the symbols added to the I Don’t Care List. The I Don’t Care List is a list of symbols that you want to exclude.  Any stock or options contract that you add to the I Don’t Care List will not appear on any RiskEdge report if you set the Watchlist Type for that report to “Watch-Fridge.”

That is, if you don’t want to look at records related to Microsoft stock, you could add MSFT to the I Don’t Care List.  Then, if you choose “Watch – Fridge” as the Watchlist type, records for options contracts or stock for MSFT will not appear on the report.  This is true no matter what Watchlist you select, or if you don’t select any  Watchlist at all.

Limits Enter a series of limits to define the trade records you want to display on the Print Stream Report.  These are filter values. Most of these values default to a maximum possible range so that every trade record will be included.  Limit the range of numbers for one or more of these values to reduce the number of trades that appear on the report.  For example, you could look for trades for stocks with share prices between $20 and $30 a share, or between 10 and 20 trading days before the next expiration date.

  • Stock price
  • Delta
  • Business Days until Expiration Date
  • Average Daily Trade Volume, or the average volume of all options contracts traded for this position over the last 30 trading days.
  • Print Size, or the minimum number of shares per trade
  • Number of Prints, or the maximum number of completed trades for this security
Use Business Days Check this box to work with business or trading days.  Uncheck it to use calendar days instead, including weekends and holidays.

You can specify the minimum contract size for trades displayed on this report, at the level of the individual symbol, by creating a Print List.  For example, if you don’t want to display any completed trades for Microsoft (MSFT) that involve less than 200 contracts, you could set a minimum contract size for MSFT in a Print List.

Click the VolEdge menu and select List Management.

At the List Management window, click Print List.

Click New List to create a new Print List.  If you are going to set a minimum contract size for a trade for a given symbol, the symbol must be in a Print List.

Print_List_1

You can select an existing list of symbols for the print list by selecting a Volatility List or a Watch List.

Or you can select None for both Volatility List and Watch List and create an empty Print List, and then manually add the symbols that you want on the list.

Click Add Symbol to add a single symbol to any Print List.

Print_List_2

Click in the Print Min field to change the minimum contract size for the symbol.

Type a new value and press Enter.

Column Heading Name Description
SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
Industry Industry The specific industry for the underlying stock, such as Industrial/Electrical Components & Equipment/Wire & Cable Products.
Underlyer Und Symbol of underlying stock.
Expiration Expiration Date Date options contract will expire.
Strike Strike Price Strike price on the contract.
CallPut Call or Put C or P appears.
PrntDelta Print Delta Delta at last trade.
PrntPrice Print Price Last traded price.
PrntStockPrice Print Stock Price Share price of underlying stock at last trade
BidVol Bid Price Volatility The volatility of the bid price when the last trade was completed for this security.
AskVol Ask Price Volatility The volatility of the ask price when the last trade was completed for this security.
AskPrice Ask Price Ask price for contract at last trade.
BidPrice Bid Price Bid price for contract at last trade.
PrntVol Print Volatility Implied volatility of last traded price.
BusExpDays Business Days until Expiration Number of trading days until the contract expires.
PrntQuantity Print Quantity Number of contracts traded at last trade.
AvgDailyVolume Average Daily Volume Average volume of all options contracts traded for this position over the last 30 trading days.
OptPrevVol Option Previous Volatility Average implied volatility for all trades for the previous day for this contract.
OptVolChg Option Volatility Change Change in the implied volatility for the contract for the current trading day.
Side Side Bid or Offer
UpcomingEarningsDate Upcoming Scheduled Earnings Report The next scheduled earnings date for the underlying stock.
EarningsReleaseTime Earnings Release Time When the earnings report will be released, with respect to the market session on the Upcoming Earnings Date.  The value that appears can be “Before,” “During,” “After,” or “Unknown.”  For example, an Earnings Date can be offered as July 15, but it can be projected to happen After the market closes on this date.
EarningsStatus Earnings Status Either “Estimated” or “Confirmed” appears.  This applies to the other earnings values shown on the Earnings Report, such as Days until Earnings and Earnings Date.
HasEarnings Has Earnings A code to show whether or not the underlying stock has an earnings report. A “1” appears if an earnings report was released for the underlying stock last night after the market closing or today before the open. A “0” means that no earnings were reported recently.
DaysUntilEarnings Days Until Next Earnings Report Number of days until the next earnings report for the underlying stock, either estimated or confirmed.
OptionsSymbol Options Contract Symbol The OSI ticker symbol for the security. The Options Symbology Institute is an initiative by the Options Clearing Corporation and the Canadian Derivatives Clearing Corporation to create a standard set of symbols for listed options contracts.
VolSprd Volatility Spread Absolute spread of the bid and ask volatility.  This is the difference of the bid and ask volatility values.
VolSprdPct Volatility Spread Percentage The spread of the bid and ask volatility (VolSprd), relative rather than absolute and shown as a percentage.
PrintTime Print Time Time the last order was placed during the current trading day.
MarketCap Market Capitalization Market cap for the company issuing the stock, in millions of dollars.
MyBuyLvl Buy Volatility Level, Edited The Buy Volatility Level as updated manually on the Volatility List Editor.  You can enter a change to the Buy Volatility in the BVol field for an options contract on the Volatility List Editor, and the screen will recalculate the Buy Level and display it in the Buy Level (BLvl) volatility field.  That edited value is displayed here.
MySellLvl Sell Volatility Level, Edited The Sell Volatility Level as updated manually on the Volatility List Editor.  You can enter a change to the Sell Volatility in the SVol field for an options contract on the Volatility List Editor, and the screen will  recalculate the Sell Level and display it in the Sell  Level (SLvl) volatility field.  That edited value is displayed here.
MyMidLvl Middle (Base) Volatility Level The base volatility level, midway between the Sell Volatility (MySellLvl) and the Buy Volatility (MyBuyLvl) shown on this screen.  If the Buy Volatility equals the Sell Volatility, the MidLvl value will equal that amount as well.
OpenInterest Open Interest Open interest for both puts and calls for this underlyer.
Exchange Exchange The symbol for the exchange:
ABCI

N,P

O

Q

W

X

Z

American Stock ExchangeBoston Stock ExchangeChicago Board of Options ExchangeInternational Securities Exchange

New York Stock Exchange Arca

Options Price Reporting Authority

NASDAQ

C2 Options Exchange

Philadelphia Stock Exchange

BATS Global Markets

NumEarnings Number of Earnings Reports The maximum number of earnings reports in the contracts within the position that contain earnings
NetUChg Net Underlying Change Net change in share price in dollars for the underlying stock from the market closet from the previous trading day.
PctUChg Percent Underlying Change Percent change in share price for underlying stock from the market close from the previous trading day.
Vega Vega The change in the price of an options contract due to changing volatility in the price of the underlying stock.  Vega estimates how much the theoretical value of an option changes when volatility changes by one percent.  Higher volatility means higher option prices, because the greater the swing in the stock price, the greater likelihood that the option will be in the money before expiration date.
PrintEdge Print Edge The edge (in volatility points) between the PrintVol, or Implied Volatility of the last traded price, and either the buylevel or selllevel (buy or sell volatility level) from the selected volatility list.   The PrintEdge is positive if the PrintVol is greater than the sell level and negative if the PrintVol is greater than the buy level.  That is, if the market is printing lower than where you want to buy, it means the Print Edge is negative.  You would want to buy securities with a negative PrintEdge value. The field is blank if there is no buy or sell volatility level for the position, and it will equal zero if the print volatility is between the buy and sell level of volatility.
PrintEdgePerc Print Edge Percent The Print Edge Percentage is the same value as the Print Edge, but it is expressed in terms of a percentage (percentage of volatility) rather than volatility points.
IV_1M_Pctile1Y Implied Volatility Percentiles The percentile rank of the 1-Month Implied Volatility for the prior day compared to its range of values over the last 12 months.   This value considers the full range of Implied Volatility daily data points for the position over the last 12 months, and compares the volatility for the current month to this set of values.  For example, if the volatility ranks in the 85th percentile, it would mean that the current monthly volatility is in the top 85 percent, or is close to the highest values seen over the last 12 months.
IV_3M_Pctile1Y The percentile rank of the 3-Month Implied Volatility for the prior day compared to its range of values over the last 12 months.
IV_1Y_Pctile1Y   The percentile rank of the 1-Year Implied Volatility for the prior day compared to its range of values over the last 12 months.
IV_1M_Pctile2Y The percentile rank of the 2-Month Implied Volatility for the prior day compared to its range of values over the last 24 months.
IV_3M_Pctile2Y    The percentile rank of the 3-Mth Implied Volatility for the prior day compared to its range of values over the last 24 months.  
IV_1Y_Pctile2Y The percentile rank of the 1-Year Implied Volatility for the prior day compared to its range of values over the last 24 months.

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Skew Ranking Report

    The Skew Ranking Report allows you to compare the current skew of a stock against its historical time series for that skew metric.  You can provide a time period (months back) to evaluate a variety of skew measures.  The effective high/low, average and Z-score (number of standard deviations away from the average for the current value) are provided for each record.

    Click Configuring Your Reports to learn about configuring this report.

    Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

    Click Exporting Data to learn about exporting data from this report.

    To display a position record in the VolEdge System, turn on Active Tracking

    ClickEdit_parameters_button  to set the parameters for the Skew Ranking Report. These values limit the information that appears.

    Watch List Type |Select either Watchlist or “Watch – Fridge.”Choose Watchlist if you want to use an existing Watchlist.  This will filter the report so that it will only show records related to the stock symbols defined on the Watchlist you select.  If you choose “Watch – Fridge,” the report will leave out the symbols added to the I Don’t Care list.  That is, if you don’t want to look at records related to Microsoft stock, you could add MSFT to the I Don’t Care List.  Then, if you choose “Watch – Fridge” as the Watchlist type, records for options contracts or stock for MSFT will not appear on the report.  This is true no matter what Watchlist you select, or if you don’t select any  Watchlist at all.
    Watch List Name Choose a Watchlist.  The symbols assigned to the Watchlist you select will appear on the report.  If you don’t want to select a Watchlist, simply chooseAll Optionable Securities and every available symbol will appear.If you chose “Watch – Fridge” as the type the symbols on the I Don’t Care List will not appear on the report.  So if the  symbol MSFT appears on a Watchlist that you select, but MSFT has also been added to the I Don’t Care List, records related to MSFT will not appear on the report.
    Months Back The number of past months to include in calculating values.
    Minimum Underlying Price Enter a minimum share price for the underlying shares represented in the ETF fund described on this report.  This allows you to filter the securities that appear.  If you want to limit the report to listing symbols that feature high-value stocks, set a high dollar value in this field.
    Minimum Average Daily Vega   The minimum value of the average of the daily total of vega in dollars of traded options contracts over the last 10 trading days.
    Column Heading Name Description
    Underlyer Underlying Symbol Ticker symbol for underlying stock.
    UnderlyingPrice Underlying Price Current share price.
    1M_SKEW_EL 1M, 2M, 3M, 6M, 1YR EL One, two, three, six, and 12 month effective high skew
    1M_SKEW_EH 1M, 2M, 3M, 6M, 1YR EH One, two, three, six, and 12 month effective low skew
    1M_SKEW 1M, 2M, 3M, 6M, 1YR Skew One, two, three, six, and 12 month skew
    IV_1M 1M, 2M, 3M, 6M, 1YR IV One, two, three, six and 12 month Implied Volatility
    1M_SKEW_Avg 1M, 2M, 3M, 6M, 1YR Avg Skew One, two, three, six, and 12 month average skew
    1M_SKEW_Std 1M, 2M, 3M, 6M, 1YR Std One, two, three, six, and 12 month skew, Standard Deviation
    1M_SKEW_ZScore 1M, 2M, 3M, 6M, 1YR ZScore One, two, three, six, and 12 month skew, ZScore
    MarketCap Market Capitalization Market cap for the company issuing the stock, in millions of dollars.
    AvgDailyVega Average Daily Vega The  average of the daily total of vega in dollars of traded options contracts over the last 10 trading days.
    Total_Call_Volume Total Call Volume Trade volume for all call contracts for this underlyer for the current day.
    Total_Put_Volume Total Put Volume Trade volume for all put contracts for this underlyer for the current day.
    Total_Volume Total Trade Volume Total trade volume for all puts and calls for this underlyer for the current day.
    Avg_Total_Volume Average Total Volume Average trade volume for all puts and calls for this underlyer over the last 30 days.
    Avg_Stock_Volume Average Stock Volume Average trade volume for the underlying stock over the last 30 days.
    HasEarnings Has Earnings A code to show whether or not the underlying stock has an earnings report. A “1” appears if an earnings report was released for the underlying stock last night after the market closing or today before the open. A “0” means that no earnings were reported recently.
    DaysUntilEarnings Days Until Next Earnings Report The number of days until the next scheduled earnings report from the issuer of the underlying stock.
    BusDaysUntilEarnings Business Days Until Earnings Number of business or trading days until the next scheduled earnings announcement for this stock
    ExpectedReportDate Expected Report Date The next scheduled earnings date for the underlying stock.
    EarningsAnnounceTimeDescr Earnings Announcement Time Description

    When the earnings report will be released, with respect to the market session on the Upcoming Earnings Date.  The value that appears can be “Before,” “During,” “After,” or “Unknown.”  For example, an Earnings Date can be offered as July 15, but it can be projected to happen After the market closes on this date.

    ExpectedReportType Expected Report Type  Confirmed or estimated earnings date 
    Sector Sector Major business sector for underlying stock, such as Energy or Industrial
    SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
    Industry Industry The specific industry for the underlying stock, such as Industrial/Electrical Components & Equipment/Wire & Cable Products.
    ShortInterest Short Interest Short Interest in company stock, in millions of shares.
    Country Country code Code for country where underlying company is based, such as USA.
    RawBeta Beta Beta of the stock to the S&P 500 index.
    CurrentShares Outstanding Current Shares Outstanding Total number of shares outstanding for the company that issued the underlying stock.
    MarketCap Market Capitalization Market cap for the company issuing the stock, in millions of dollars.
    EquityFloat Equity Float Equity Float, in millions of shares.  This refers to the number of shares available for sale to the investing public.
    FTVol F(t) Options Proprietary Volatility value A long-term Generalized Auto Regressive Conditional Heteroskedasticity (GARCH)-type implied volatility forecast, with earnings dates removed from the stock return history. This is a proprietary value calculated by the RiskEdge System.
    FTVolAdj

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Skew Vega

The Skew Vega Report shows the sensitivity of your portfolio to changes in the volatility surface, such as changes caused by share price changes in the underlying stock.  You can use this report to evaluate how your portfolio will respond to changes in the volatility surface (or “skew”), rather than changes in the overall implied volatility level.

For the Skew Vega Report the skew is measured using the 25 Delta Call and Put contracts as reference points, while keeping the At the Money Volatility constant.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking

Click Edit_parameters_button to set the parameters for the Skew Vega Report. All trade accounts and the current trading date appear by default.  Change the Trade Date to show the end of day position for a different day.  You can limit the records to appear on the report to a specific trading account you select.

You can also edit the Call Volatility Change or Put Volatility Change values.  These numbers adjust the 25 Delta Call and 25 Delta Put volatilities (used to determine the skew curve) while holding the ATM volatility constant.  The change is a percentage of the base volatility.  The Both the Call and Put Volatility Change default to .03 (3 percent of the current volatility level).

For example, if the base volatility is 50, the Put Change would increase the volatility for the put contracts to 51.5, while a Call Change of -.03 would decrease the volatility of the call contracts to 48.5.

The results of the values you enter for the bump appear on the report in the Call Skew Vega and Put Skew Vega columns described below.  Note that the Call Skew Vega and the Put Skew Vega are inverted; if the Put Skew increases, the Call Skew decreases by an equal amount.

Column Heading Name Description
Account Trading account Most RiskEdge users will have a single trading account at their firms.
Underlyer Underlying price The price per share of the underlying stock.
Trader Trader ID code
Sector Sector Major business sector for underlying stock, such as Energy or Industrial
SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
Call Skew Vega Call Skew Vega This value shows the expected change in profitability for the position if the volatility for the call contracts increases by the amount shown in the Call Change.
Put Skew Vega Put Skew Vega This value shows the expected change in profitability for the position if the volatility for the put contracts increases by the amount shown in the Put Change.
Total Skew Vega Total Skew Vega The sum of the Call and Put Skew Vega values.  This is the total skew risk for the position.

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Tight Markets Report

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking

Click Vertical_pencil or press F2 to set the parameters for the Tight Markets Report. These values limit the information that appears.

Volatility Lists Click My Vols to select one of your Volatility Lists.Click Borrowed Vols to select a Volatility List belonging to another trader in your group.
Scope You can limit the values shown to one or your Watchlists, or to a Watchlist belonging to another trader in your group.If you choose the Disregard “Fridge” option the report will include all of the symbols added to the I Don’t Care List. This report will by default leave out all of the symbols added to any I Don’t Care list unless you click this option to disregard the Fridge restriction.
Business Expiration Days Minimum/ Maximum   Enter a range for the number of business days until expiration to show on the report.
Delta for Average Minimum/Maximum Enter a range for delta, minimum and maximum, to use when calculating the average width in the report.
Average Dollar Spread Minimum/Maximum Enter a range for the dollar amount of spread between the bid and ask prices to show on the report.
Average Volatility Spread Minimum/ Maximum Enter a range, minimum and maximum, for the average volatility spread.
Underlyer Price  Minimum/Maximum Enter a range for the highest and lowest share price to show on the report for the underlying stock.
Volatility Spread Ratio  Minimum/Maximum Enter a range for the highest and lowest volatility spread ratio to show on the report.
Delta Minimum/ Maximum Enter a range for the highest and lowest delta to show on the report.
Column Heading Name Description
Underlyer Underlying Symbol Ticker symbol for underlying stock.
Expiration Expiration Date
StrikePrice Strike Price
CallPut Call or Put C for Call or P for Put regarding the At the Money options contract
VolSpreadRatio The ratio of the width of the current option vs. the expected width.
AvgVolSpreadWeighted   The vega-weighted average volatility spread for the expiration date.
VolSpreadPoints Volatility Spread Points The number of volatility points between the bid and ask of the option contract.
WeightedVolSpread Weighted Volatility Spread The vega-weighted volatility spread for the current option.
UnderlyingPrice Underlying Share Price
AvgDollarSpread Average Dollar Spread, bid and ask
Bid Bid Price Current bid price for a contract or share
BidSize Bid Size Current number of shares or contracts for a bid
BidVol Bid Price Volatility The implied volatility of the bid price
Ask Ask Price Current ask price for a contract or share
AskSize Ask Size Current number of shares or contracts for an ask
AskVol Ask Price Volatility The implied volatility of the ask price
Dollar Tightness The number of dollars the options is tighter than it is expected to be.
Vega Raw Vega Vega of the options contract, not adjusted for the quantity or shares.  This is the Vega assigned to the individual security.
Delta Raw Delta Delta of the options contract, not adjusted for the quantity or shares.  This is the Delta assigned to the individual security.
NumberofStrikes Number of strikes Number of strike prices used to calculate the Average Volatility Weighted Spread above.
VolPctChg Volatility Percentage Change The percentage change in the volatility for the current option since the previous closing price.

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Day Vega Report

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking

Click Vertical_pencil or press F2 to set the parameters for the Tight Markets Report. These values limit the information that appears.

Volatility Lists Click My Vols to select one of your Volatility Lists.Click Borrowed Vols to select a Volatility List belonging to another trader in your group.
Scope You can limit the values shown to one or your Watchlists, or to a Watchlist belonging to another trader in your group.If you choose the Disregard “Fridge” option the report will include all of the symbols added to the I Don’t Care List. This report will by default leave out all of the symbols added to any I Don’t Care list unless you click this option to disregard the Fridge restriction.
Business Expiration Days Minimum/ Maximum   Enter a range for the number of business days until expiration to show on the report.
Delta for Average Minimum/Maximum Enter a range for delta, minimum and maximum, to use when calculating the average width in the report.
Average Dollar Spread Minimum/Maximum Enter a range for the dollar amount of spread between the bid and ask prices to show on the report.
Average Volatility Spread Minimum/ Maximum Enter a range, minimum and maximum, for the average volatility spread.
Underlyer Price  Minimum/Maximum Enter a range for the highest and lowest share price to show on the report for the underlying stock.
Volatility Spread Ratio  Minimum/Maximum Enter a range for the highest and lowest volatility spread ratio to show on the report.
Delta Minimum/ Maximum Enter a range for the highest and lowest delta to show on the report.
Column Heading Name Description
Underlyer Underlying Symbol Ticker symbol for underlying stock.
Expiration Expiration Date
StrikePrice Strike Price
CallPut Call or Put C for Call or P for Put regarding the At the Money options contract
VolSpreadRatio The ratio of the width of the current option vs. the expected width.
AvgVolSpreadWeighted   The vega-weighted average volatility spread for the expiration date.
VolSpreadPoints Volatility Spread Points The number of volatility points between the bid and ask of the option contract.
WeightedVolSpread Weighted Volatility Spread The vega-weighted volatility spread for the current option.
UnderlyingPrice Underlying Share Price
AvgDollarSpread Average Dollar Spread, bid and ask
Bid Bid Price Current bid price for a contract or share
BidSize Bid Size Current number of shares or contracts for a bid
BidVol Bid Price Volatility The implied volatility of the bid price
Ask Ask Price Current ask price for a contract or share
AskSize Ask Size Current number of shares or contracts for an ask
AskVol Ask Price Volatility The implied volatility of the ask price
Dollar Tightness The number of dollars the options is tighter than it is expected to be.
Vega Raw Vega Vega of the options contract, not adjusted for the quantity or shares.  This is the Vega assigned to the individual security.
Delta Raw Delta Delta of the options contract, not adjusted for the quantity or shares.  This is the Delta assigned to the individual security.
NumberofStrikes Number of strikes Number of strike prices used to calculate the Average Volatility Weighted Spread above.
VolPctChg Volatility Percentage Change The percentage change in the volatility for the current option since the previous closing price.

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TVRatio Report

The Theta/Vega Ratio Report provides ratios of long-vega to short-vega and long-vega to short-vega for groups of positions in your portfolio.  The groups that appear will be the same as those that appear in the Position Navigator.  These ratios are commonly used at the portfolio level as a risk parameter.

Click on Configuring the Screens to learn about configuring this screen.

To display a position record in the VolEdge System, turn on Active Tracking.

You can sort the records that appear on this report using the Position Navigator.

Column Heading Caption Name Description
Position Position Position The symbol of the position, showing the symbol of the underlying stock and the trading account.
UndPosition uPos Underlying Position Number of shares held in underlying stock for this position
UndPrice uPrc Underlying Price Share price for underlying stock
NetUndChange NetUch Net Underlying Change The net change in the price of a share of the underlying stock from the previous trading day.
PercentUndChange pctUCh Percent Underlying Change The percent change in the value of a share of the underlying stock since the previous trading day.
OpeningEdge oEdge Edge price at market open This value excludes day trading.
ChangeEdge chEdge Change in TheoreticalEdge The change in theoretical edge from yesterday to today, using a constant volatility
ConstVolEdge cvEdge Constant Volatility Edge The theoretical edge for a contract using today’s trade date but with the volatility held constant from the day before.
DeltaDecay dltDcy Delta Decay The decay in delta from today’s value to the delta calculated by the system for tomorrow, or for the next trading day.
ATMVol ATMVol At the Money Volatility
SDMove SDMove Standard Deviation Move in Underlying Share Price The implied change in the underlying share price extracted by the Implied Volatility level.SDMove = (Underlying Price * Vol%) / Square Root(252)
PercentSDMove %SDMov Percentage Underlying Change The percent change in the value of a share of the underlying stock since the previous trading day.
TotalLongVega tLVga Total Long Vega The net amount of the Vega for the options contracts for which you are long.
TotalShortVega tSVga Total Short Vega The net amount of the Vega for the options contracts for which you are short.
TotalVega tVga Total Vega

Vega of the options contract, adjusted for the number of contracts in the position.  The Total Vega Value is the Raw Vega times the inventory.

For this report, the Total Vega is also the sum of the Total Long Vega and the Total Short Vega.

TotalLongTheta tLTht Total Long Theta The net amount of the Theta for the options contracts for which you are long.
TotalShortTheta tSTht Total Short Theta The net amount of the Theta for the options contracts for which you are short.
TotalTheta tTht Total Theta

Theta of the options contract, adjusted for the number of contracts in the position.  The Total Theta Value is the Raw Theta times the inventory.

 

For this report, the Total Theta is also the sum of the Total Long Theta and the Total Short Theta.

VegaRatio VgaRatio Vega Ratio The absolute value of the Total Long Vega divided by the Total Short Vega.
ThetaRatio ThtRatio Theta Ratio The absolute value of the Total Long Theta divided by the Total Short Theta.

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Hedge Report

The Hedge Report lists positions where the underlying stock price has moved by a specified SDMove value.  It is helpful for monitoring stock prices.

For the Hedge Report, the records shown target the second month listed Implied Volatility.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking

Click Synchronized_Grouping_button to select Synchronized Grouping.  The put contracts shown on the Hedge Report will be sorted by the same method in use on the Position Navigator.  If you change the value on the Position Navigator, the sort value on the screen will also change.

For example, if you choose to sort records by Underlying ticker symbol on the Position Navigator, the Hedge Report will sort records by underlying symbols too:

Synchronized_Grouping_Sample_02_Hedge

Click  Free_Grouping_button to select Free Grouping.  This allows you to sort the records that appear by:

  • Account
  • Underlyer
  • Sector
  • Subsector
  • Trader

With Free Grouping turned on you can sort the records on this screen for your trade group however you like, and independently of the Position Navigator.

After you click either Synchronized_Grouping_button or Free_Grouping_button, select the Delta/Gamma Ratio Threshold.

Hedge_Report_DeltaGamma_Threshold

The default is 1.  This value is described below.

Select the SDMove.  The default is .95.

SDMove = Underlying share price * Vol% / Square Root of 252.

Hedge_Report_SDMove

Column Heading Caption Name Description
Position Position Position The symbol of the position, showing the symbol of the underlying stock and the trading account.
SubSector SubSector SubSector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
UndPrice uPrc Underlying Price Share price for underlying stock
TotalDelta tDlt Total Delta Delta of the options contract, adjusted for the number of contracts.  The Total Delta value is the Raw Delta times the inventory.  So if the Raw Delta for an option is .9, the Total Delta would be 90 if the position holds 100 contracts.
TotalGamma tGma Total Gamma Gamma of the options contract, adjusted for the number of contracts in the position.  The Total Gamma Value is the Raw Gamma times the inventory.
Day DayMM Daily contract value, Mark to Market The Mark to Market P/L for trades executed today.
Net NetMM Net Mark to Market Net Mark to Market profit or loss for all positions, including day trades.
NetUndChange NetUCh Net Underlying Change The net change in the price of a share of the underlying stock from the previous trading day.
PnlDelta pDlt Profit/Loss Delta The amount of the Profit/Loss of the position that can be attributed to delta at the market open.   This is calculated by multiplying the change in share price by the position’s delta at market open.
PnlGamma pGma Profit/Loss Gamma The amount of the Profit/Loss of the position that can be attributed to gamma at the market open.
SDMove SDMove Standard Deviation Move in Underlying Share Price The implied change in the underlying share price extracted by the Implied Volatility level.SDMove = (Underlying Price * Vol%) / Square Root(252)
Day_TotalDelta tDlt(d) Day Total Delta Delta of the options contract, adjusted for the quantity or shares but limited to the trading for the current day.  The Total Delta Value is the Raw Delta times the inventory.  So if the Raw Delta for an option is .9, the Total Delta would be 90 if you held 100 contracts.
DeltaGammaRatio DltGmaR Delta/Gamma Ratio Delta divided by Gamma for the options contract.  If you are long 1000 delta in a position (contracts and underlying shares together) and long 1000 gamma for the same position, the Delta Gamma ratio would be 1. This value is used to monitor the delta in a position.
UndChgSDRatio %SDMov Percentage Change in Share Price by Standard Deviation Percent change in SDMove for the share price of the stock during the day.

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Using the Volatility Scan

Introducing Volatility Scan — RiskEdge

VolScan is sold separately from RiskEdge, and works as an add-on to the RiskEdge product.

How VolScan Works

You can create as many Volatility Lists as you like.  The window used for setting up these lists is called the Volatility List Editor.

Suppose you create a Volatility List so that VolScan will look for contracts to buy at 25% or sell at 30%.  For contracts based on Apple stock (AAPL) due to expire in September, the system would review the market data feed, look for contracts that match the criteria you provide, and display the contract with the best Edge value (if any) for each name in the VolScan Report in RiskEdge.

AAPL September

Strike Price Bid Volatility Offer Volatility Edge
170 22 24 1%
180 22 25
190 23 27
200 21 22 3%
210 20 28

For each expiration date under each symbol, the Volatility List Editor window shows a single contract, offering a pair of volatility levels, the Buy Level and the Sell Level.  VolScan uses the Buy and Sell Level volatility values to identify the options contracts that it considers the best values for trading for each underlying stock.  We describe the parts of the VolScan tool in this section, and how you can enter values on the editor screens to configure VolScan to identify the options contracts you most want to trade.

Accessing the VolScan Features

To access the VolScan features, click the VolEdge menu.  The tool offers two windows for setting up symbol lists and trade strategies, and a report:

1.      Volatility Editor.  Use the Volatility List Editor to create and edit Volatility Lists and to display the best contracts for trading for each symbol.  This is where you select the symbols for the underlying stocks you want to search on, and where you enter the values that define what options contracts VolScan recommends for trading.

2.      Strategy Editor.  A Strategy is a filter added to a Volatility List.  You can create a Strategy to further restrict the options contracts that VolScan recommends for trading.  You can also access the Strategy Editor from the Volatility List Editor.

3.      VolScan.  The VolScan Report is a RiskEdge Report.  VolScan works with the Strategy Editor window to display detailed information about options contracts that VolScan recommends for trading.

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Volatility List Editor — RiskEdge

Each Volatility List includes a user-specified set of underlying symbols.  You can build this list of symbols by adding one symbol at a time to the list or by selecting a group of symbols from a RiskEdge report and then clicking and dragging them to the Volatility List Editor window.  When you open the Volatility List Editor the screen shows the names of the Volatility Lists that belong to you.

When you create a Volatility List you add the symbols you are interested in, and VolScan will look for options contracts based on those underlying symbols using default volatilities for each one.  You may create as many Volatility Lists as you like, and look at the Lists that belong to other users at your office that have been made public.  From the Volatility List Editor you can add symbols in two ways:

  • Using the Volatility Symbol Editor, to enter settings for a single stock
  • Using the Bulk Editor, to enter settings for all of the stocks in the Volatility List or a group of stocks that you select with a filter tool

In each case you can adjust the buy or sell volatility value (including volatility values adjusted for projected earnings reports) for each expiration date.

For More Information See:

  • Opening the Volatility List Editor
  • Creating a New Volatility List
  • Finding Records
  • Adding Symbols
  • Editing Values for Symbols that Appear on a List

To display a position record in the VolEdge System, turn on Active Tracking. This will link the Volatility Symbol Editor Window to VolEdge.  As you page through records for underlying symbols on the Editor Window, volatility records for the same symbols will appear in the VolEdge screen.

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Adding Symbols — RiskEdge

After you create a new Volatility List you need to add ticker symbols for the stocks you want to track.  You can add symbols one by one or in groups, or batches.  You can also add symbols to an existing list.

You may only add symbols to your own Volatility Lists.

Add a Single Symbol to a Volatility List

Click Add Underlyer to add one new symbol to the Volatility List you have selected.

Select an available ticker symbol from the drop down list.  Then, enter a Buy Ratio and a Sell Ratio.

VolScan provides default Buy and Sell Ratios, .9 for Buy and 1.1 for Sell, and you can accept them or change them for each symbol.  The system uses these values to calculate the Buy Level and Sell Level volatility values from the base volatility for the options contract.  For example, suppose the Base Volatility for a position is 37% (.37).  If the Buy Ratio is .9, that would make the Buy Level about 33% (.33), or .9 times .37.  If the Sell Ratio is 1.1, the Sell Level would be .40.

Click Use Earnings if you want the system to adjust the volatility values for this symbol based on projected and historical earnings reports.  Then, click OK.

Add a Group of Symbols to a Volatility List

If you have dozens of symbols you would like to add to a List, adding them one by one could be tedious.  The Volatility List Editor provides an alternative to make building a new List much faster, the Volatility List Hopper.  The Hopper allows you to select groups of symbols and add them to a Volatility List together.

Open RiskEdge and select one of the reports that sorts records by underlying stock symbol, like the Master Volatility Report.  Sort the records that appear in alphabetical order by underlying symbol, and then scroll down through the list and select the stocks you want, one by one or in groups.

To select items in a list, hold down the Control button and click the items you want one at a time.

Volatility_List_6_Hopper

If you want to select a batch of items together, click the first item, hold down the Shift key, and click another item several rows away.

Volatility_List_7_Hopper

When you have selected the symbols you want, hold down your left mouse button and drag them to the Volatility List Editor window, and drop them into the field on the bottom of the screen:

Volatility_List_5_Drop_Symbols

The Volatility List Hopper window appears.  Select one of the options:

Create a New List Create a new Volatility List.
Merge into Existing List Add the symbols you chose to an existing Volatility List.  The system will allow you to select the list you want.
Replace Existing List Add the symbols you chose to an existing Volatility List, but delete all of the symbols currently assigned to that same List.
Filter List This feature is used with the Bulk Editor to edit symbols in a Volatility List.  It isn’t used when creating a new Volatility List or adding new symbols to an existing list.

A list of symbols appears for the Volatility List in the Volatility List Editor window.  The expiration date appears for each options contract, along with the Buy Level and Sell Level.

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Opening the Volatility List Editor — RiskEdge

Click the name of a Volatility List on the left side of the Volatility List Editor window to display the contents of the list on the right side of the window.  A list of underlying symbols appears, in alphabetical order.

For each of these names, the window displays the Expiration Dates and the Buy Level and Sell Level (in percentage of volatility) for each date.

Note the drop down list in the upper left corner of the window.  Click the arrow and a list of the individual traders and financial analysts in your office appears.  Each of the names that appear refers to a RiskEdge user with his or her own set of Volatility Lists.  For example, to display the Volatility Lists belonging to Jay Hamilton, click the arrow and select JHAM.  The lists that are available to you, however, are only those that have been labeled as “shared” by the owners.

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Creating a New Volatility List — RiskEdge

Peg to Source Click the box and choose a source from the drop down list just above the Peg to Source box to have your new Volatility List automatically update its values based on the source you select.  You can choose either a Peg or an Import.
Shared Click this box to allow other users in your office to view this Volatility List.
Use Earnings Click this box to enable the Earnings Percentage values, which appear as columns on the Volatility Symbol Editor window.  These values will be incorporated into your Buy and Sell Levels.  These values represent the projected percent change in the Buy and Sell Level of volatility that will be caused by the next earnings report for this stock.  The Earnings Model is recalculated daily if Use Earnings is selected.

Click OK.  The new Volatility List appears.  It will be empty at first; you will need to add the symbols you want to include in the list.

See Adding Symbols for more information

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Finding Records — RiskEdge

Volatility_List_1

Note the column of letters along the left side of the window:

Volatility_List_2_letters

Click on any of these letters to move to the list of ticker symbols that start with that letter.  If you have a Volatility List with hundreds of underlying stocks, this tool can make it easier to find the symbols you want. Suppose you want to look at symbols that start with E.

Click Volatility_List_3_E .

The list moves to the first symbol that starts with E, EAT, for Brinker International:

Volatility_List_4_Result

Click Refresh to reset the screen and remove the current Volatility List on display.

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Editing Values for Symbols that Appear on a List — RiskEdge

Using the Symbol Editor to Edit Values for a Single Symbol

To change values for one symbol at a time, double click on a symbol.  The Symbol Editor window opens.

Volatility_List_9_Symbol_Editor

BLvl/SLvl
For each expiration date the screen displays the Buy Level (BLvl) and Sell Level (SLvl) used in the scan to find options contracts. These values, highlighted in blue, cannot be edited.  These levels equal the BVol and SVol (which you can edit) or the BVol and SVol adjusted for corporate earnings, if you chose the “UseEarning” option to enable the Earnings model. You may indirectly calculate BVol and SVol using ratios of volatility (Vol) if you prefer.
Vol
The screen also provides the base volatility for the position (Vol).
BVol/SVol
Use these values to enter a change to the buy or sell volatility. If you enter a change to the Buy Volatility, Sell Volatility, or base (mid) volatility values for an options contract, the screen automatically recalculates the Buy Level and Sell Level (BLvl/SLvl). You can change the Buy, Sell, or base volatility one by one for each contract.  If you want to change all of the values in a column, type your change in the column heading.
JAN 2011 (2)
Note the number that appears next to each date. This is the number of earnings reports that are anticipated for the underlying stock before this options contract expires.  It is entered into the Earnings Model.
Earnings Date/ Time/Status
The next projected earnings date for the symbol appears on the top of the screen.
Historic Earnings Move
This value refers to the average change in the underlying share price that resulted from past earnings reports.
Last Earnings Move
This value refers to the most recent change in the underlying share price that resulted from a past earnings report.
Arrows
To page back and forth through the symbols included in your Volatility List, use the arrow keys.
Reset_button
If you entered your own volatility levels for a symbol, and want to return to the original values for a symbol, click the Reset button. You will see a message asking if you want to reset the ticker symbol to its default values. Click Yes or No.

Click Use Earnings and the system will adjust the volatility levels (BLvl/SLvl) shown to account for projected earnings statements for the underlying stock.  Two more columns are added, ErnBuy and ErnSell.  These allow you to make custom changes to the Earnings Model, with the Historical Earnings Move used by default:

Volatility_List_8_Symbol_Editor

If you don’t check the Use Earnings box—that is, if you are not including the impact of future earnings reports on stock and options contract volatility—the Buy Level will equal the Buy Volatility, and the Sell Level will equal the Sell Volatility.

If you do use the Earnings, however, the VolScan tool recalculates the Buy and Sell Levels each day for each contract, considering the impact of projected the earnings per share for the upcoming earnings dates.

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Strategy Editor — RiskEdge

A Strategy is a filter for a specific Volatility List.  Each Strategy you create is used only with the Volatility List you assign it to, but it is edited  independently, and you can always change the Volatility List used by the Strategy.  The Strategy takes the list of recommended trades for options contracts shown in a Volatility List and then screens them further to provide a more specialized list of potential trades.

For example, you might create a Volatilty List to show the best available options contracts to trade for a list of stocks in the Energy sector, and using a set of buy and sell volatility levels that you select.  But then you could add to that List a Strategy that takes the recommended contracts that the Volatility List returns and selects those contracts that will expire in the next ten business days.  You could call this Strategy “Expire Soon.”  Another Strategy assigned to this list, “Low Price,” could select for underlying stocks with a share price below $20.  A third, “High Volume,” could choose contracts based on stocks with a given trade volume you enter.

The Volatility List selects the best available contracts to trade for a given set of stocks, and then the Strategy narrows that list to a set of trades that meet an extra set of criteria you define.

1.      Use the Strategy Editor to create and manage your Strategies.  Each Strategy must be assigned to a Volatility List.  You can add as many Strategies as you like to a Volatility List, but each Strategy is specific to a single Volatility List.

2.      From the Volatility List Editor, click Launch Strategy List Editor.  The Strategy Editor window opens.

You can also open the Strategy List Editor or from RiskEdge directly from the VolEdge menu.

3.      You can enter a wide array of values on the Strategy Editor to define a Strategy, including share prices, delta values, number of days until expiration, and more.

Creating and Editing a Strategy

To create a new Strategy, open the Strategy Editor and click New Strategy.

Click Display User Only to show only your own Strategies on the Strategy Editor window.

Click Display all Public Strategies to show every Strategy at your office that has been set up to be shared.

The values you enter on the Strategy Editor directly impact the options contracts that the VolScan recommends for trading.  These contracts appear on the VolScan Report, so the changes that you enter in the Strategy Editor window appear on the VolScan Report.  You can enter any combination of values in the Strategy Editor window.

Consider this example.

Strategy_Editor_1_Sell_Lean_Value

On this portion of the Strategy Editor, note the Buy Lean (BLean) and Sell Lean (SLean) values.  Enter values in the Buy and Sell Lean fields on the Strategy Editor to make the scan lean one way or the other.  That is, you can use these fields to adjust the Volatility Level value that the VolScan Tool uses for selecting options contracts to recommend for trading, without editing the Volatility List directly.

In the above example we have entered a Sell Lean of ten points.  In this case we are increasing the sell volatility for options contracts by ten points.  In a particularly volatile market, you might want to use a lean so you can quickly scan for values without making a change to the Volatility List.

Normally you wouldn’t use a Lean value.  The Buy and Sell Leans in the Strategy Editor default to zero (0).  When leans are not used (when they equal 0), the VolEdge Points equals the Lean Edge Points on the VolScan Report in RiskEdge.  But if you adjust the volatility by entering a lean value, the values on the VolScan Report change in response.

Note this example of the VolScan Report.  We entered a Sell Lean of 10 points on the Strategy Editor.  We see the result when we compare these two values for AAPL put contracts with a $185 strike price:

Strategy_Editor_2_Result_on_Vol_Scan_Report

We see that the VolEdge Points value is 15.68, while the Lean Edge Points is 5.68, a difference of 10 points.  The system adds ten points to the  Sell Level Volatility, the value that the system uses in selecting recommended contracts for trade.

Now let’s try changing the Buy Lean value, also by 10 points:

Strategy_Editor_3_Added_Buy_Lean_Value

As with the change to the Sell Lean, the system adjusts the VolEdge Points by adding ten points, but as this is a buy lean the values appear as negative numbers:

Strategy_Editor_4_Result_on_VolScan_Report

For ABV put contracts with a strike price of $110, the VolEdge Points are -8.31, while the Lean Edge Points are -18.31.  The system returns the best available value on the VolScan Report, so it will only show buy or sell values for a single contract, but not both.

If you want to edit the VolEdge Percent value instead of the VolEdge Points value, enter a Buy or Sell Lean and check the box next toIsBuyLeanPct or IsSellLeanPct.  This is a question, “Is the Buy/Sell Lean a Percentage?”  By checking the box, you are saying yes.

The LeanPoints column allows you to see the difference between the level you would be scanning at with and without leans.  It is a quick way to see if the result has been returned due to a scan with a lean value.

Strategy Editor Headings

Enter any combination of values in the Strategy Editor window.

Column Heading Name Description
StratName Strategy Name The name of the strategy
VolList Volatility List The name of the Volatility List that the strategy was set up to influence.
Active Active Strategy Check this box to make a strategy active or not.  As long as a Strategy is active, or turned on, it will influence how VolScan selects options contracts to recommend for trading.  If you have five or six strategies attached to a Volatility List, they will all work together to guide the process.You may decide to disable a strategy you aren’t currently using, or simply because your strategies are too efficient, and you wan to increase the number of contracts VolScan finds and recommends for trading.
MinUnd Minimum Share Price for Underlying Stock Minimum price per share for the underlying stock.
MaxUnd Maximum Share Price for Underlying Stock Maximum price per share for the underlying stock.
MinStrike Minimum Strike Percent of Underlyer Enter the minimum ratio of the strike price to the underlying share price.  This is a more useful value in selecting contracts than simply entering a minimum strike price or minimum share price.
MaxStrike Maximum Strike Percent of Underlyer Enter the maximum ratio of the strike price to the underlying share price.  This is a more useful value is selecting contracts than simply entering a maximum strike price or a maximum share price.
MinCDlt Minimum Call Delta Enter the minimum delta value for call contracts.
MaxCDlt Maximum Call Delta Enter the maximum delta value for call contracts.
MinPDlt Minimum Put Delta Enter the minimum delta value for put contracts.
MaxPDlt Maximum Put Delta Enter the maximum delta value for put contracts.
MinBusExpDays Minimum Business Days until Expiration Minimum number of days until the contract expires.  
MaxBusExpDays Maximum Business Days until Expiration Maximum number of days until the contract expires.  Enter a low number in this field to select contracts to expire soon.
Min#Earn Minimum Number of Earnings Announcements Included per Expiration The minimum number of projected Earnings Dates before the contract expires.
Max#Earn Maximum Number of Earnings Announcements Included per Expiration The maximum number of projected Earnings Dates before the contract expires.
MinIV Minimum Implied Volatility The lowest level of volatility for the contract.
MaxIV Maximum Implied Volatility The highest level of volatility for the contract.
MinMktCap Minimum Market Cap of the Underlyer Enter a minimum market capitalization in dollars for the firm issuing the stock.  You could use this value to select options contracts only for large firms.
MaxMktCap Maximum Market Cap of the Underlyer Enter a maximum market capitalization in dollars for the firm issuing the stock.  You could use this value to look for options contracts from small firms.
MinBuyEdgePct Minimum Buy Edge Percentage Enter the lowest Edge Percentage that you will accept for buying contracts.  This can expand the number of contracts that VolScan returns, or be set to a large number so that the strategy only returns sell opportunities. Edge Percentage
MinSellEdgePct Minimum Sell Edge Percentage Enter the lowest Edge Percentage that you will accept for selling contracts.  This can expand the number of contracts that VolScan returns, or be set to a large number so that the strategy only returns buy opportunities.
MinAvgOptVolu Minimum Average Daily Options Volume Enter a minimum average trading volume for the options contract for the last 30 days.
MinVoluRatio Minimum ratio of today’s Total Options Volume versus Average Daily Enter a minimum ratio of the trading for today versus the average trade volume over the last 30 days.
MinTotOptVolu Minimum Total Options Volume today Enter a minimum trade volume for the options contract for the current trading day.
BLean Buy Lean A value entered on the Strategy Editor to adjust the Volatility Edge Value, by making it lean one way or the other for bids.The Buy Lean defaults to zero.
SLean Sell Lean A value entered on the Strategy Editor to adjust the Volatility Edge Value, by making it lean one way or the other for offers.    The Sell Lean defaults to zero.
IsBLeanPct Is Buy Lean Percentage If you add a Buy Lean value, check this field to answer the question, “Is the Buy Lean you entered a Percentage?”  If you check this box it means that the Buy Lean value you entered is a percentage, and the system will change the VolEdge Percent value in response.  If you enter a Buy Lean and leave this box unchecked, the system will change the VolEdge Points value instead.
IsSLeanPct Is Sell Lean Percentage If you add a Sell Lean value, check this field to answer the question, “Is the Sell Lean you entered a Percentage?”  If you check this box it means that the Sell Lean value you entered is a percentage, and the system will change the VolEdge Percent value in response.  If you enter a Sell Lean and leave this box unchecked, the system will change the VolEdge Points value instead.
Priv Private Defines whether the Strategy is Private or Shared publicly.
Own Strategy Owner The employee who created the strategy.

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Volatility List Skew Editor — RiskEdge

Use the Volatility List Skew Editor to view and manipulate volatility surfaces.  Click Skew Editor from the Vol Edge Menu.

In the upper left corner of the window, select the symbol for the stock that you want to display.  The Skew Editor window shows expiration dates for one symbol at a time.

Volatilty_List_17_SE_arrow

Click the arrow buttons, Volatilty_List_16_SE_arrow and Volatilty_List_15_SE_arrow, to page through the symbols until you find the one you want.

Click next to an expiration date to expand the record for that expiration, and to display all the strikes that meet your delta filter:

Volatilty_List_20_SE_top

If you want to expand the records for all of the expiration dates shown, uncheck the Collapsed box on the top of the window.

Check the Dividends box to display or hide the dividend, and check Pin All if you want to lock the records shown, so that they will not change as a result of any future bulk skew change operations.  Check Use Earnings if you want to include earnings vol calculations in the values shown.

A series of buttons appear in the upper right corner of the screen:

  • Flat. Set the skew and kurtosis equal to zero, and the call and put tail equal to 1, for the expiration date you select.  This has the effect of creating a flat curve.
  • Shape. Update the skew, kurtosis, ctail, ptail, and reference price according to the current market values for those parameters, for the expiration date you select.  This makes the shape of the curve for your buy levels and sell levels match the shape of the market.
  • Shape All.  Update the skew, kurtosis, ctail, ptail, and reference price according to the current market values for those parameters.  This applies to all expirations for the underlying stock. This makes the shape of the curve for your buy levels and sell levels match the shape of the market.
  • Flat All.  Set the skew and kurtosis equal to zero, and the call and put tail equal to 1.  The reference price will be the current price for all symbols.  This makes the curves flat.    This applies to all expirations shown on the window.
  • Fit All.  Update the skew, kurtosis, call and put tails, reference price, and volatility.  This provides exactly the same shape as the market, and turns off the earnings model in order to override the volatility.  The existing BRatio and SRatio will remain.  This applies to all expirations shown on the window.

 

In the box highlighted in yellow you can enter the Delta value, 0 to 1.This will filter which strikes are shown in the expanded view as well as which strikes are plotted in the chart.  Entering 0.05 causes strike with a delta of 5 to 95 to be displayed.

For each expiration date, the screen shows the market fit parameters with the orange background.

Volatilty_List_24_SE

and the user parameters with the green background:

Volatilty_List_25_SE

Column Heading Name Description
Expiration Expiration Date
FitVol   Strike
RPrc Reference Price Price at which the curve was established.
Skew   The skew refers to changes in the volatility surface.  Skew is defined as the 25 delta put vol minus the 25 delta call vol divided by the ATM vol, or (25d Put vol – 25d Call vol)/ATM vol * 100
Kurt Kurtosis This equals the average of 25 delta put volatility and the 25 delta call volatility, divided by the at the money volatility minus 1, and then the result multiplied by 100 to render it as a whole number.{Avg (25d Put, 25d Call)/ATM vol -1} * 100
PTail Put Tail One delta put divided by a 25 delta put.
CTail Call Tail One delta call divided by a 25 delta call.
Conf Fit Confidence A score calculated by the FT fitting algorithm to help describe the quality of the fit parameters for a given expiration.
BLvl Buy Level  The buy level calculated from the User’s fit parameters and earnings model parameters
SLvl Sell Level The sell level calculated from the User’s fit parameters and earnings model parameters
Vol Volatility
URefSpo User Reference Spot Price The  price used to determine the ATM strike of the vol curve.
PRrcAdj Reference Price Adjustment This is the factor that determines the sensitivity of the curve At the Money strike price to the price of the underlying share.  0 means that the curve is not affected by any change in the underlying share price.  1 means that the curve movement floats with the underlying share price regardless of the Reference Price.
ErnBuy Earnings Sell Percent  
ErnSel Earnings Buy Percent
NumErn Number of Earnings
BRatio Buy Ratio
SRatio Sell Ratio  

The primary part of the screen shows the user buy curve and sell curve, and the market fit curve.

Volatilty_List_21_SE

The top curve, here shown in yellow, is the buy/sell curve.  If the values are different, two curves will appear.

The orange is the market fit curve.  The best bid and ask values for each strike price are shown with the dots.  If the dot is green, it means that the market ask vol is below your buy level, indicating that you should buy that contract.  If the dot is red, you should sell because the market bid vol is above your sell level.  A blue dot indictes that the market vol is not through your buy and sell level..

The two graphs in the lower right corner of the window show fit curves.  The top plot is a term structure plot of the At the Money volatilities for user and fit curves:

Volatilty_List_22_SE

And all of the fit curves, to help you visualize the market vols in three dimensions (strike = x axis, vol = y axis, time = color):

Volatilty_List_23_SE

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The VolScan Report — RiskEdge

Opening and Working with the VolScan Report

To open and display data on the VolScan Report follow these steps.

1.      Open the strategy editor.

2.      Select the Display all Public Strategies feature.  With this feature turned on you can display all strategies that the owners set up to be shared with other users.

3.      Click the strategy you want to highlight it and check the box to show that it is Active.

4.      Select the VolScan Report from the VolEdge menu in RiskEdge.  In a moment, the records shown on the Strategy Editor for the strategy you selected will appear on the VolScan Report.

The VolScan Report can only show records for one Strategy at a time.

You can display values on the VolScan Report for any strategy that you own and for any strategy that belongs to another but that has been set up to be open to the public.

The VolScan Report offers the same set of functions and features as all other RiskEdge reports.  But this report is installed as part of the VolScan utility and only works with this add-on tool.  Like VolScan itself the VolScan Report must be purchased separately.

The VolScan Report responds directly to changes you make to the Strategy on the Strategy Editor.  By changing the lean values you can adjust the Volatility Edge Points and Percentage values on the report.

Click Configuring Your Reports to learn about configuring this report.

Click Graphing Your RiskEdge Position Data to create a scatter diagram of the data that appears on this report.

Click Exporting Data to learn about exporting data from this report.

To display a position record in the VolEdge System, turn on Active Tracking.

Click  Vertical_pencilor press F2 to set the parameters for the VolScan Report. These values limit the information that appears.

Watch List Type Select either Watchlist or “Watch – Fridge.”Choose Watchlist if you want to use an existing Watchlist.  This will filter the report so that it will only show records related to the stock symbols defined on the Watchlist you select.If you choose “Watch – Fridge,” the report will leave out the symbols added to the I Don’t Care list.That is, if you don’t want to look at records related to Microsoft stock, you could add MSFT to the I Don’t Care List.  Then, if you choose “Watch – Fridge” as the Watchlist type, records for options contracts or stock for MSFT will not appear on the report.  This is true no matter what Watchlist you select, or if you don’t select any  Watchlist at all.
Watch List Name Choose a Watchlist.  The symbols assigned to the Watchlist you select will appear on the report.  If you don’t want to select a Watchlist, simply chooseAll Optionable Securities and every available symbol will appear.If you chose “Watch – Fridge” as the type the symbols on the I Don’t Care List will not appear on the report.  So if the  symbol MSFT appears on a Watchlist that you select, but MSFT has also been added to the I Don’t Care List, records related to MSFT will not appear on the report.
Column Heading Name Description
StrategyName Name of Strategy The name assigned to the strategy by the owner.
VolName Volatility Owner The name of the person who created the strategy.
Und Underlying Stock Symbol Underlying stock symbol for the options contract.
Expiration Date Expiration Date Expiration Date for the options contract.
Strike Strike Price Strike price of At the Money contract.
CallPut Call/Put C for Call or P for Put regarding the At the Money options contract
uPrc Underlying Price Share price for underlying stock.
VolEdgePoints Volatility Edge Points The Volatility Edge Points value equals the volatility percentage for the market offer for a contract minus the volatility for the bid from your firm for the same contract.  In other words, the Volatility Edge Points are the difference between your desired Buy (Bid) Level of volatility and the market Ask (Sell) Level of volatility.   For example, if you want to buy options at 40% implied volatility, and the market offer is 35%, then you would capture 5%, or 5 Edge Points of volatility, if you complete this trade.
VolEdgePct Volatility Edge Percentage The Volatility Edge Percentage is the Volatility Edge Points value (above) divided by the Bid volatility provided by the VolScan tool for the same contract:Market offer volatility – Bid volatility divided by Bid volatilityThe Volatility Edge Percentage shows the significance of the Volatility Edge Points value.  A small percentage suggests that the trade would be profitable, but not by much.  For example, if the edge is 5 points of volatility, and the market volatility is 120%, the Volatility Edge Percentage for the trade is only about 4 percent (5 divided by 120).  But if the Edge is 5 points and the market volatility is 40%, the Volatility Edge Percentage jumps to 12.5% (5 divided by 40).
LeanEdgePoints Lean Edge Points The Volatility Edge Points value after being manually adjusted by a user on the Strategy Editor window.  A user can enter a  Buy Lean or Sell Lean value to temporarily adjust the Volatility Edge to account for excessive volatility in the market. Normally the Lead Edge Points value equals the Volatility Edge Points value on this report.  This is because the system defaults to zero in the Buy Lean and Sell Lean values.
LeanEdgePct Lean Edge Percentage The Volatility Edge Percentage value after being manually adjusted by a user on the Strategy Editor window.Normally the Lead Edge Percentage value equals the Volatility Edge Percentage value.  See the description of Lean Edge Points and Volatility Edge Percentage above.
Buy Level Buy Level The level of price volatility for buying an option contract.  VolScan uses this value to determine the options contract to recommend for purchase for a single symbol and expiration date.  The Buy Level is used to calculate a bid price.
BidVol Bid Price Volatility The implied volatility of the bid price when the last trade was completed for this security
Sell Level Sell Level The level of price volatility for selling an option contract.  VolScan uses this value to determine the options contract to recommend to sell for a single symbol and expiration date.  The Sell Level is used to calculate an ask price.
AskVol Ask Price Volatility The implied volatility of the ask price when the last trade was completed for this security
BidPr Bid Price Current bid price for a contract or share
AskPr Ask Price Current ask price for a  contract or share
NumEarn Number of Earnings Reports The estimated number of earnings reports likely to be released for this underlying stock before the expiration date of this options contract.
Expected Report Date Expected Report Date The next scheduled earnings date for the underlying stock.
Earnings Announce Time Descr Earnings Announcement Time Description When the earnings report will be released, with respect to the market session on the Upcoming Earnings Date.  The value that appears can be “Before,” “During,” “After,” or “Unknown.”  For example, an Earnings Date can be offered as July 15, but it can be projected to happen After the market closes on this date.
Expected Report Type Expected Report Type Confirmed, estimated, or tentative earnings date
HasEarnings Has Earnings A code to show whether or not the underlying stock has an earnings report. A “1” appears if an earnings report was released for the underlying stock last night after the market closing or today before the open. A “0” means that no earnings were reported recently.
Sector Sector Major business sector for underlying stock, such as Energy or Industrial
SubSector Subsector Business subsector for the underlying stock, such as Industrial/Electrical Components & Equipment.
VolChg Option Volatility Change Change in the implied volatility for the contract for the current trading day.
Delta/rDlt Raw Delta Delta of the options contract, not adjusted for the quantity or shares.  This is the Delta assigned to the individual security.  The Total Delta Value is the Raw Delta times the inventory.  So if the Raw Delta for an equity option is .9, the Total Delta would be 900 if you held 10 contracts.

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