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Advanced Futures Options Page – a new service

We are proud to announce that we start offering a new service on the Futures and Futures Options traded on the US Exchanges - Advanced Futures Options Page. This service is similar to the service covering equity options data, you can review previous material here: Part I, Part II). The service comprises two pages: Futures and Futures Options. The first page is related to Futures data and the other contains individual Futures Options data. You can switch between these using "Futures Data" and "Options Data" tabs at the top of the service page. Lets first concentrate on Futures data section. The interface is very simple: once you enter an instrument symbol and press "Go!" you’ll get report on this instrument. The report consists of:

When you load Futures data page you’ll immediately see Price and Volatility Charts.


Fig. 1. Charts for Soybean Oil (CBOT), as of October 23, 2006 close: Front Contract Price and Total Futures Volume (left); Historical Volatility, IV Index and Total Option Volume (right).

Front contract price chart is accompanied by total volume chart. On the Historical Volatility and IV Index Chart you can be set a term (period) for each parameter. Please note that terms for IVX are in calendar days, while terms for HV are in trading days. Thus, for example, 21-day HV corresponds to 30 days IVX. Current Futures table below gives information on available futures, their prices, volume and open interest:


Fig. 2. Current Futures Data section for Soybean Oil (CBOT), as of October 23, 2006 close.

Front contract is defined as the nearest contract, with expiration at least two weeks ahead. In our case it is BO/06Z with expiration of 12/14/2006. Accordingly, on 11/30/06 the December 2007 futures contract will become a ‘new’ front contract. To make sure the price is continuous we maintain the history of front contract price and every time we switch to the next month all historical prices are back-adjusted (by a ratio of ‘new’ front contract price to the ‘old’ contract price). We use this parameter (Front contract price) for Historical Volatility calculation, applying exactly the same calculation method as for a regular equity or index.

Historical Volatility and Implied Volatility Index table displays Historical Volatility and IV Index of the futures with different terms as well as highest and lowest values in 52-week period:


Fig. 3. Current Futures Data section for Soybean Oil (CBOT), as of October 23, 2006 close.

Implied Volatility Index calculation is based on the same methodology as used for equity options. All options on all futures are used for this calculation.

The other section of the service, Options Data, shows:

  • Implied Volatility Skew Charts
  • Options Data grid

IV Skew Charts show Strike Skew (Implied Volatility vs. Strike price) and Time Skew (Implied Volatility vs. days to expiry).


Fig. 4. Strike and Time Skew charts for Soybean Oil Futures expiring on October 27, 2006.

The last section - Option Data grid shows the most important parameters for each individual contract in the option chain. These are option closing bid / ask, volume, open interest, implied volatility and Greeks (Delta, Gamma, Theta, Alpha, Vega).


Fig. 5. Option Data grid for Soybean Oil Futures (two front months shown here only)

You can filter contacts to be shown by expiry, moneyness and Call/Put type - same functionality as in Advanced Options Page service for equity options. The Advanced Futures Options service uses end of day data and 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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