Documentation – VolEdge

Dates

Dates – VolEdge

When starting VolEdge, the previous two years’ data are displayed by default. To return to this state at any time, press ESCAPE, or click the  button.

To modify this default range, use View -> Data Configuration -> Default Range … in the VolEdge menu. A dialog will be presented which allows the specification of the default data range, as seen above.

To View the entire available history for the currently displayed securities, press CTRL + A or click the  button.

If you would like to specify a date range explicitly, click the  button. You will be prompted for the start and end dates (as shown above).

DATE_ShiftZoom

To move backward or forward through the available history while the amount of data displayed remains constant, press the ARROW keys on your keyboard, or click the  buttons. Holding the CTRL key while pressing the ARROWkeys on your keyboard will shift the graph in increments of one year; pressing theARROW keys on your keyboard alone will shift the graph in intervals of 30 days. Similarly, the  buttons will shift the graph in increments of one year while the buttons will shift the graph in intervals of one month. Double arrows on control buttons always represent a movement or increment of one year, single arrows represent one month.

To zoom the date range symmetrically, click thebutton. The graph will show approximately 20% less data while maintaining the current center point. To zoom out, click thebutton.

To include more data in the graph by expanding the start date, click theorbutton. This will expand the start by one year or one month, respectively. To include less data in the graph by squeezing the start date, click theorbutton. To squeeze or expand the end date, use the correspondingbuttons on the right-hand side of the control bar. Remember, double arrows on control buttons always represent an increment of one year, single arrows represent one month.

 To quickly zoom in on either the date or value ranges, drag the mouse in the main charting area.

Dragging the mouse horizontally will cause the graph to be zoomed into the date range specified by the start and end points of the drag operation.

Dragging the mouse vertically will cause the graph to be zoomed into the value range specified by the start and end points of the drag operation. The price and volatility ranges will be modified simultaneously.

To snap to the default range, press ESC, or click

NOTE: drag as close to horizontal or vertical as possible. This is especially important if you are dragging into a narrow area; the application will switch from horizontal to vertical once the 45 degree line is crossed.

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Analytics Reference

Analytics Reference – VolEdge

Analytic Formulae provide a powerful way to view relationships among the data. A default set of groups has been provided to demonstrate some useful concepts. The existing groups and metrics may be modified freely or deleted; it is possible to revert back to these groups at any time by using Analytics -> Reset Analytic Groups… in the VolEdge menu.

Default Analytic Groups

Forward HV : The historic stock volatilities are shifted back to simulate forward looking realized volatility. When compared to a given implied volatility observation, the Forward HV will provide perspective on how the stock performed from the observed date forward.

Symbol A vs. B : Compare any metric of any two stocks. Very good for analyzing pairs trades or stocks against an index, as the relationship is displayed as a single line.

Impl vs Hist : The ratio of implieds to historics. A simple measure of relative value of implied volatility.

IV Sym A vs B : Compare the Implied vols between any two different securities and display the relationship as a single line.

ExpCapture : Shows the difference between Implied Volatlity and the corresponding Forward HV for that tenor. Basically, for any given observation, shows how many vols one would capture/lose if they traded an at the money straddle and carried it to expiration.

Calendar : Shows the vol difference between various tenors. Great for perspective on historic term structure.

General  : Miscellaneous. Metrics created using the standalone expert formula editor are added to this group. The standalone expert formula editor can be accessed via the VolEdge menu, using AnalyticsExpert…

Formulae

A typical formula might compare two different tenors of implied volatility:
([1m IV]-[3m IV])

A more complex formula, averaging two tenor comparisons:
((([1m IV]/[3m IV])+([2m IV]/[6m IV]))/2)

Note the square brackets [ … ] surrounding the metric names in the formulae above. This notation tells the compiler to treat the enclosed text as a metric name. A complete list may be found in the Available Metrics section below. Any additional information regarding a metric is also enclosed within the brackets. This additional information can be a ticker symbol (for a foreign metric), a relative security index (for a relative metric), or a number of days to offset the metric’s data (for a date-shifted metric). More information about these types of metrics can be found in the Advanced Concepts section below. 

Formulae may also make use of some common mathematical functions. A complete list may be found in the Available Mathematical Functions section below.

IMPORTANT: Formulae are evaluated from left to right, with no order of precedence among the operators +*/ ). For this reason, it will be necessary in many cases to group expressions using parentheses when entering formulae. The parentheses surrounding the entire formula are added in this documentation for clarity and are optional in practice.

Available Metrics


Implied Volatility ATM 25 Dlt Call 25 Dlt Put Skew Kurtosis
1 Month [1m IV] [1m 25c IV] [1m 25p IV] [1m Skew] [1m Kurt]
2 Month [2m IV] [2m 25c IV] [2m 25p IV] [2m Skew] [2m Kurt]
3 Month [3m IV] [3m 25c IV] [3m 25p IV] [3m Skew] [3m Kurt]
6 Month [6m IV] [6m 25c IV] [6m 25p IV] [6m Skew] [6m Kurt]
1 Year [1y IV] [1y 25c IV] [1y 25p IV] [1y Skew] [1y Kurt]
1.5 Year [1.5 IV] [1.5y 25c IV] [1.5y 25p IV] [1.5y Skew] [1.5y Kurt]
2 Year [2y IV] [2y 25c IV] [2y 25p IV] [2y Skew] [2y Kurt]
2.5 Year [2.5 IV] [2.5y 25c IV] [2.5y 25p IV] [2.5y Skew] [2.5y Kurt]
3 Year [3y IV] [3y 25c IV] [3y 25p IV] [3y Skew] [3y Kurt]
Historic Volatility
2 Week Historic Volatility [2w HV]
1 Month Historic Volatility [1m HV]
2 Month Historic Volatility [2m HV]
3 Month Historic Volatility [3m HV]
6 Month Historic Volatility [6m HV]
1 Year Historic Volatility [1y HV]
5 Year Historic Volatility [5y HV]
Stock
Stock Price (Close) [Price]
Stock Price (Low) [LowPrice]
Stock Price (High) [HighPrice]
Stock Price (Open) [OpenPrice]
Stock Daily Return [Return]
Stock Volume [Stock Volu]
Option
Option Volume (Total) [Option Volume]
Option Volume (Call) [Call Volu]
Option Volume (Put) [Put Volu]
Open Interest (Total) [Open Interest]
Open Interest (Call) [Call OI]
Open Interest (Put) [Put OI]
 

Advanced Concepts

Foreign Metrics enable referencing another security’s time series data. For instance, all active securities could be compared to an index. An simple example is price difference vs. the S&P 500 Index, below:
([(SPX)Price]-[Price])
Relative Metrics also enable referencing another security’s time series data, but will compare currently active securities to each other rather than comparing to a single named security. Formulae containing relative metrics are only evaluated for the primary security, and only when a sufficient quantity of securities are active. For instance, if a formula references two relative securities, as illustrated in the 3-way average function below, three total securities must be active for the formula to yield data:
(([Price]+[(#1)Price]+[(#2)Price])/3)
Date-Shifted Metrics allow comparison of data which has been shifted forward or backward by a specific number of days. An example of this is a formula for simulated forward-looking realized volatility. The example shifts the data for one month historic volatility ([1m HV]) backward 30 days:

([1m HV(-30)])
 Available Mathematical Constants


Constant Represents
PI ratio of a circle’s circumference to its diameter (pi)
E natural logarithmic base (e)
Available Mathematical Functions


Function Returns…
Pow( x, y ) x raised to the power of y
Max( x, y ) the larger of two numbers x and y
Min( x, y ) the smaller of two numbers x and y
Abs( x ) absolute value of x
Acos( x ) the angle whose cosine is x
Asin( x ) the angle whose sine is x
Atan( x ) the angle whose tangent is x
Ceiling( x ) the smallest whole number greater than or equal to x
Cos( x ) the cosine of angle x
Cosh( x ) the hyperbolic cosine of angle x
Exp( x ) e raised to the power of x
Floor( x ) the largest whole number less than or equal to x
Log( x ) the logarithm of x
Log10( x ) the base 10 logarithm of x
Round( x ) the whole number nearest to x
Sin( x ) the sine of angle x
Sinh( x ) the hyperbolic sine of angle x
Sqrt( x ) the square root of x
Tan( x ) the tangent of angle x
Tanh( x ) the hyperbolic tangent of angle x

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Securities

Securities – VolEdge

To show a security:  Simply begin typing the ticker symbol…

The securities dialog will open to receive the rest of your input. Finish typing the ticker symbol, then press (ENTER) or click the (OK) button. When loaded, the new security will replace the securities currently displayed in your VolEdge window. Separate multiple ticker symbols with commas.

To add a security:   Press the (+) key

The securities dialog will open to receive your input. Type the ticker symbol, then press (ENTER) or click the (OK) button. Using the pull-down menus on the dialog, you may choose to show the security (replace the currently displayed securities).

To find a security by name:   Press the (?) key or (CTRL + F)

The securities dialog will open to receive your input. Enter at least part of the company’s name, then press (ENTER) or click the (OK) button. If a match is found, you will be prompted to either add or show the security (replace the currently displayed securities). If multiple matches are found, you will be prompted to select the best match, and again, whether to add or show the security.

NOTE: names or parts of names in the database may be abbreviated. Please consider this when selecting search terms.

To remove a security:   Press the (-) key

The securities removal dialog will open. Click on the ticker symbol you would like to remove, then press (ENTER) or click the (OK) button.

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Metrics

Metrics – VolEdge

Details of the legend, showing multiple securities. Note the arrow next to AAPL, indicating that it is the Primary Security.

Click the security name to change the Primary Security.

Volatility                                                                                                                Stock Price

Volatility (Both implied and historic) and Stock Price Are displayed in the main charting area

Return, Option Volume, Open Interest, and Stock Volume data are displayed only for the Primary Security  if more than one security is being charted. The Primary Security  may be changed either by clicking on the security name in the Legend, or by clicking the security’s tab in the Data Grid at the bottom of the VolEdge window (if visible).

Daily Return

Return data is displayed in a strip directly below the main charting area. Positive observations are displayed in green and negative observations in red. Outliers (if visible) are highlighted and explicitly labeled with the observation’s value. The Return Axis is capable of either scaling it’s range to fit the available data, or being “pinned” to a specific range, while highlighting outliers. To control the behavior of the Return Axis, use View -> Return Axis Range in the VolEdge main menu.

Skew

Volatility surface data (Skew and Kurtosis) are displayed in the Skew Axis.

Option Volume, Open Interest, and Stock Volume are all displayed in an area directly below the Return/Skew detail area, or below the main charting area if neither the Return nor Skew are visible. Option Volume and Open Interest share the axis on the left, Stock Volume is displayed using the axis is on the right. While only the Primary Security’s data for these metrics are displayed, the ranges for these axes are set using the overall maximum of all active securities. This is done so that the axis ranges remain constant while switching the Primary Security. The low end of these axes ranges are fixed at zero, while the high end is determined by the data being charted.

Option Volume

The call and put observations for each day are drawn as a single line, such that the overall height of the line indicates the total option volume, call being stacked atop put.

Open Interest

The call and put observations for each day are drawn as a single line, such that the overall height of the line indicates the total option volume, call being stacked atop put.

Stock Volume

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Earnings Capsule

Voledge Overview