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Services & Tools » Analysis Services » Advanced Options
Basic OptionsAdvanced Options 
Advanced Options
FREE TRIAL
Advanced Options
Price: $14.95 per month 
Advanced Options service is available by subscription only for the low cost of $14.95/month. As always, we offer a free two-week trial of this service.  

 
 Live mode: additionally $7.00 per month
‘Live’ mode of the service is based on 20-minute delayed market quotes (see more details below)

Advanced Options service provides full and complete information on the entire options chain of a given underlying instrument. On top of the options prices with volumes and open interest, the datasheet contains implied volatility values for each contract, Greeks as well as IV Index and Historical Volatility of an underlying asset. A number of charts are also available to get a quick glance at the current market situation.

Advanced Options service is available in two modes – ‘previous day close’ mode and ‘live’ data mode. ‘Live’ mode is based on 20-minute delayed market quotes and can be subscribed to for an extra $7 a month fee on top of the regular $14.95 per month applicable to Advanced Options end-of-day service.

Live data is provided for US traded instruments only. European and Canadian data is only available in end-of-day mode.

Let’s now take a closer look at the various data blocks presented on the Advanced Options page.

The upper part of the page shows the underlying instrument market data (in our example it is S&P 500 index). Datasheet also shows underlying asset IV Index values – current IVX for Call(s) and Put(s) with different terms (from 30 days to 180 days) and also, for comparison, IVX values for one week and one month back periods. Finally, we can see the underlying Historical Volatility data – again, current, one week and one month back, and 52-week High/low values.



In the lower part of Advanced Options page we can see the complete options chain of our underlying asset. As you can notice on the screenshot below, it is possible to fine-tune our search with a number of filters: by Moneyness, Expiration date, and Call/Put options. In addition to the market data (option symbol, price, volume, open interest), the datasheet also provides the IV (implied volatility) value, Parameterized Coefficient as well as number of Greeks for each individual option contract.



Earlier we mentioned that Advanced Options tool has a number of charting features that might be quite handy when it is needed to have a quick look at the market situation. Below you can see the chart types available on Advanced Options page. All of them can be displayed either as “Raw” data chart or “Parameterized” data chart. Selection is made with the scroll down menu below the chart icons. For the detailed description of our methodology please refer to Volatility Surface methodology guide – this is an in-depth guide of various surface representations and the way we calculate it http://www.ivolatility.com/data/data_services.html.

Volatility Surface (3-D Chart) - To show Volatility Surface by Delta we use OTM options, therefore their Delta is ranging between -0.5 and 0.5 (Puts having negative Delta, Calls – positive). In calculation of our Surface we use for Calls their ‘real Delta’, whereas for Puts delta is 1-ABS(Real Delta). Thus, our “Delta” has a range from ‘0’ to ‘1’. We are selecting then the fixed points between 0.1 and 0.9 with 0.05 step and building our Surface. As a result, the IV of Delta <0.5 is equal to the IV of OTM Call option. Whereas IV of Delta >0.5 is equal to the IV of OTM Put option. Parameterized IV is shown as a function of period and one of the following parameters: Delta, Moneyness or Strike. Chart has standard features: rotation, zoom, color. Read more about difference representations of Volatility Surface and the was we calculated it in the Surface Methodology guide

ATM IV At-the-money options contracts volatility versus maturity (implied volatility time skew)

Calls/Puts Skew Chart - Skew (“Risk Reversal”) shows a spread between IV of OTM Put option and IV of OTM Call option for two fixed Delta points: 0.1 and 0.25 for Calls and -0.9 and -0.75 for Puts (on the Volatility Surface chart these are 0.1 and 0.25 “Delta” points):

    C/P Skew (0.1) = IV(Put with delta=-0.9) - IV(Call with delta=0.1)

    C/P Skew (0.25) = IV(Put with delta=-0.75) - IV(Call with delta=0.25)



“Butterfly” Chart – “Butterfly” presents a spread between IV of OTM options and IV of ATM options. It is calculated as an excess of Put and Call IV for OTM contracts over doubled ATM IV, specifically:

    “Butterfly”(0.1) = IV(Put with delta=-0.9) + IV(Call with delta=0.1) - 2 * ATM IV

    “Butterfly”(0.25) = IV(Put with delta=-0.75) + IV(Call with delta=0.25) - 2 * ATM IV

Important: The charts above are only available in end-of-day mode. Click on the chart image to enlarge it.

Other two charts available in Advanced Options are Time Skew and Volatility Skew:

Time Skew Chart – Gives us a sense of how volatility is trading in different months for the stocks you are tracking so that you can quickly identify and try to take advantage of any disparity. Non-interpolated IV values are shown on the chart as points and Parameterized Volatility as a line.



Volatility Skew Chart – Helps us to get a sense of how the volatility of each strike looks like in comparison to other strikes in the same month – to see if there is any bias to OTM call or puts, and if so, to determine what type of strategy we would rather use to take advantage of this situation. Non-interpolated IV values are shown on the chart as points and Parameterized Volatility as a line.


There is a also a free (!) version of this pages with a limited set of information available - Basic Options Page.
Advanced Options Price: $14.95 per month 
FREE TRIAL
Advanced Options
Advanced Options service is available by subscription only for the low cost of $14.95/month. As always, we offer a free two-week trial of this service.  





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