VolEdge Detail

Macro scanning

More than 300 columns of real-time and historical data are available in VolEge for macro scanning the entire optionable universe for patterns and relationships. Combine live data with deep history, as well as with summary information such as average, standard deviation, Z score and percentile ranks. Create custom columns and custom screens. Collectively, these features allow users to create an unlimited number of market based rankings and screenings to identify names with trading opportunities relative to the user’s investment outlook. This includes full volatility surfaces for all optionable names in real time, real time calculations of realized volatility capturing the latest stock pricing, realized volatility with the effects of large catalysts isolated, real time skew data, and many more.

Powerful earnings calculation tools

VolEdge includes an extremely versatile mechanism for pricing volatility in names that have any number of earnings events and arbitrary catalysts such as same store sales. It also combines a deep history of price and volatility data surrounding historical earnings announcements. This tool offers value whether or not one has an opinion of a name, since it shows what the market is independently pricing as well as how pricing looks with the user’s assumptions included.

Activity monitoring tools

The platform includes numerous tools for monitoring the action in the market and finding or providing liquidity—for “interesting” trades such as names that have traded a large amount of Vega on the day relative to average, for large block trades, and for names where a single strike has traded an outsized amount relative to an average daily measure. These tools also include comparisons to user’s custom volatility surfaces, so trades in the market are scored against the user’s axes to differentiate between interesting activity that is informational and trades where the user might want to participate because there is perceived edge.

Mechanisms for importing custom volatility surfaces

A powerful suite of editing tools define volatility surfaces per name or for sets of names, and can also import custom volatilities via file and API access. This includes at-the-money vols, which can be defined and edited via formulae and algorithms, skew and kurtosis, as well as the magnitude of upcoming earnings/catalyst moves. These volatility surfaces allow users to set entry and exit points. Any time a contract violates those levels either by trading or via live actionable quotes in the market, opportunities are highlighted.

Automated updates of volatility levels

Once an algorithm has been defined for a custom volatility surface, the system will automatically manage it intraday and for subsequent trading dates.

Realtime scanning and ranking system

Once a user has set trading limits in VolEdge via one or more volatility surfaces, an unlimited number of user defined strategies can be configured to scan the entire optionable universe in real-time. This process will find all securities that are currently tradable, pass the filters defined for the strategy, and are in violation of the user’s dealing levels (i.e. bid above offer or offered below bid). Users can “click trade” by clicking ideas to open up trading tickets with several commercial front ends. Eventually, users will be able to click trade directly out of the system, once native execution capability is brought online via broker partnerships. By combining multiple strategies users can identify spreads, pairs and “mini-dispersion” trades in real-time by ranking results by our normalized score measures.

Mini dispersion ranking tools

VolEdge offers several tools for ranking a user defined basket of names with an index or ETF. Doing this shows users the average, standard deviation and current ZScore for various measures for individual names versus the reference ETF/Index. For example: rank 3 month ATM implied volatility for a basket of Metal names relative to the XME over the last year, filtering the names for market cap greater than 2 billion and average daily Vega greater than $3k.

Sophisticated volatility graphing tool

View the following historical and real time data: realized vols, realized vols net of earnings events, implied vols, skew, kurtosis, underlyer prices and returns, volume/open interest numbers. Create custom metrics that are a function of the base data fields to analyze relationships. For example: determine the ratio of 3m ATM versus the 25 delta put vols over the last year, and compare it to current market levels. This can be done for two names or a basket of names, and can also time-shift metrics—e.g. compare implied vol on a given date versus a time shifted realized vol.