Option Board

The Options Board module is a table divided into two parts. The left part shows a list of call options, the right one – 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.

In the header you see the name of the option you are investigating. By clicking on the name and the expiration dates, you can jump to other options for the same underlying instrument.

The Option Board features the market activity indicator with a schedule hint in the right-upper corner of the window. It is green when the market is active, and yellow when it is not. If you hover over it, you will see the detailed market schedule.

At the bottom of the table you can see the name of the underlying instrument and its projected price. By right-clicking on its name, you can jump to other modules that would contain information about it.

The data from the Option Board can be copied as text or exported to MS Excel by pushing  button and choosing an option.

The column set can be adjusted by clicking the icon under the market activity indicator,    .

The Strike column features a flexibly customizable filter, which will allow you to pick out only those options that fully suit you by contract execution prices. To use this filter, press the icon near the Strike column name and fill in the field in accordance with the format shown in the field placeholder, ‘From - To : Step, ...’: enter the lower and the upper limit of the interval you want to explore separated by a dash, and add the desired step between two nearby results after a colon.

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 the chosen 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.

EXANTE Option Board features another important peculiarity: it displays widespread indicators called Greeks. The implied volatility (IV) is measured in percent and displayed as a histogram:

We calculate delta, which is a measure of the change in an option’s price resulting from a change in the underlying asset, and gamma, delta’s rate of change.

Theta that measures the rate of decline of premium resulting from the passage of time is also available. We calculate theta for each day in price points. The last indicator added this time is vega; it quantifies risk exposure to implied volatility changes. It’s calculated in price points per one percentage point of IV change.

They all can be found under the icon in the right-upper corner of the Option Board table.

The Greeks are calculated based on the generalized Black model individually for each strike. We stick to the following rules:

• The implied volatility is calculated for only out-of-the-money options 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 such expiration dates that allow defining the market price using bid and ask due to sufficient liquidity;
• The rate for unrepresentative expirations is extrapolated cubically.

We use the underlying asset’s forward price calculated based on put-call parity. This way we can take account of the expected dividends without using the dividend yield forecasts provided by third parties. This allows us to make more precise estimates.

At the moment IV and Greeks are calculated only within a trading session for options with underlying assets denominated in dollars and euros.

E.g., take options on Sugar No11 expiring in June 2018 (SO.ICE.N2018.)

Take strike 13, Put option. Generally, the Greeks will be interpreted in the following way: