You can find the “Option Board” module on the left side toolbar of your desktop platform. Also, you can click “Quotes” → “Option Board” on the top toolbar.
To open an instrument on the “Option Board”, just drag-and-drop it from the instrument tree or any other module. Also, the module opens by default if you double-click on any option from the instruments list. “Option Board” is the main resource for analysing and trading options. The module consists of a table that is divided into two parts:
The left side displays a list of call options
The right side displays a list of put options
Between them is a column with contract execution prices (option strikes).
You can open as many Option Boards as you need.
Let's examine the module.
The name of the selected instrument is located on the top right corner of the module. Click on the name and the expiration dates to see other options for the same underlying instrument.
The coloured circle next to the name of the instrument is the market activity indicator. It is green when the market is active, and yellow when it is not. Hover over it to see a detailed market schedule.
At the bottom of the table you can see the name of the underlying instrument and its projected price. Right-click on the instrument name to open the drop-down menu and examine the instrument in other modules.
Click on the export
icon in the bottom-right corner of the module to:
Copy the data from the “Option Board” in text format
Export the data to MS Excel
The Strike column (in the middle) features a flexibly customisable filter, which allows you to customise the range and pick out only the options that fit your desired contract execution prices.
To use this filter:
Press the
icon near the column name
Fill in the field in accordance with the format shown in the field placeholder, “From - To : Step, …”: enter the lower and upper limits of the interval you want to explore separating them with a dash
After a colon, add the desired step between the two nearby results.
Example:
Any of these parameters can easily be omitted, e.g. you can enter “-100:2” to view all strikes up to 100 from the lowest value available for selected options with a step of 2. Add a second interval by separating it from the first one with a comma, and explore discontinuous intervals of execution prices, like in the picture above. |
Customise the board
Add and remove columns by clicking on the gear
icon under the market activity indicator. Possible indicators include:
Size: Number of outstanding instruments at the selected price
Last: Last trade price for the instrument in the given price level
Price to ATM%: Distance from selected price level to “at-the-money” option price, where the strike price equals the current market price.
Open interest: Open interest indicates the total number of option contracts that are currently out there. (Open interest is not available for all instruments.)
Daily volume: Daily instrument volume traded at the selected price level
Existing positions
Position: If the client already holds any open positions with the instrument, they are displayed in this column
Avg. price: Average price for the client's position with the asset (if any)
P&L / P&L, €: Profit and loss for the client's position with the asset in relative and euro terms
Long / Short: Description of the client's current position with the asset: long or short
Price / Margin: Cash amount the investor must hold as collateral before writing or selling the asset
IV%: Implied volatility of the asset. It captures the likelihood of changes in a given security's price. It is measured in percent terms and displayed as a histogram:
Theor. Price: Theoretical price of the asset according to Option Pricing Theory, based on the likelihood of the contract terminating in-the-money.
EXANTE’s Option Board module offers another handy feature: it displays widespread indicators called Greeks.
Delta (Δ) represents the rate of change between the option's price and a $1 change in the underlying asset's price.
Gamma (Γ) represents the rate of change between an option's delta and the underlying asset's price. This is called second-order (second-derivative) price sensitivity.
Vega (V) represents the rate of change between an option's value and the underlying asset's implied volatility. This is the option's sensitivity to volatility. Vega indicates the amount of option price change, given a 1% change in implied volatility. It’s calculated in price points per one percentage point of IV change.
Theta (Θ) represents the rate of change between the option price and time, or time sensitivity, sometimes referred to as an option's “time decay”. Theta indicates the amount by which an option's price would decrease as the time to expiration decreases, all else equal. We calculate theta for each day in price points.
The Greeks are calculated individually for each strike, based on the generalised Black model. We stick to the following rules:
The implied volatility is calculated for out-of-the-money options only, based on the average quote between bid and ask
To calculate the time to option expiration we use calendar dates with the accuracy of one second
The risk-free rate is calculated based on the average box spreads for those SPX options, with expiration dates that allow us to define the market price using Bid and Ask due to sufficient liquidity
The rate for unrepresentative expirations is extrapolated cubically.
The underlying asset’s forward price is calculated based on put-call parity. This way we can get an insight into expected dividends without using dividend yield forecasts provided by third parties. This allows us to make more precise estimates.
At the moment IV and Greeks are only calculated within a trading session for options with underlying assets denominated in dollars and euros.
E.g., take options on Adient expiring in January 2022 (ADNT.CBOE.21F2022)
Strike 50, Put option. Generally, the Greeks will be interpreted in the following way:
Parameter | Units | Underlying measure | Underlying measure |
Delta | Point | 1 point of change in the underlying asset price | Delta = - 0.4166: when the price of the underlying asset increases by 1 pip, the option price will decrease by 0.4166 pips. |
Vega | Point | 1 percentage point of IV change | Vega = 0.1682: if IV changes by 1 percentage point, the option price will change by 0.1682 points |
Theta | Point | 1 day | Theta = - 0.0179: the option price will be decreasing by 0.0179 points per day |
Gamma | Delta fraction | 1 point of change in the underlying asset price | Gamma = 0.0134: when the underlying asset price changes by 1 pip, delta changes by 0.0134 points |