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 |
