The UNDERLYING PROPERTIES command lets you quickly change values that affect an options window. This, and additional commands that affect the entire window, are on the pop-up menu that opens when you right-click in the top section of an options window.
The following values may be changed in the Underlying Properties dialog:
Pricing Model: Specifies the pricing models available to you. You may specify Black, Black Scholes, or Garmank.
IV Curve: The type of skew used is selected under Implied Volatility Curve. The default skew is Parabolic. Skew types are shown in the table below.
|
Skew Type |
Calculation |
|
Avg. Implied |
Average of implied volatilities of strikes |
|
Linear |
y = ax + b |
|
Quadratic |
y = ax2 + b + c |
|
Cubic |
y = ax3 + bx2 + c |
|
4th Order |
y = ax4 + bx3 + cx2 + d |
|
5th Order |
y = ax5 + bx4 + cx3 + dx2 + e |
|
Hyperbolic |
y2 = ax2 + b + c |
|
Hyperbolic 3 |
y2 = ax3 + bx2 + c |
|
Hyperbolic 4 |
y2 = ax4 + bx3 + cx2 + d |
|
Hyperbolic 5 |
y2 = ax5 + bx4 + cx3 + dx2 + e |
Underlying (Bate): Specifies which price value of the underlying instrument to use in the pricing model.
LastBidAsk - the most recent of last, bid, or ask
Last - the last traded price
Bid - the most recent bid price
Ask - the most recent ask price
Previous - the price previous to Last
Option (Bate): Specifies which price value of the option to use in the pricing model. The selections are LastBidAsk, Last, Bid, Ask, and Previous, described above.
Interest Rate: Specifies the interest rate used in the pricing model of all options. A change in this value will be reflected in the IRate field of the underlying section.
Days to Expiration: Specifies the expiration date of the options as determined by the trading rules for this instrument.Specifies the number of days. A change in this value will be reflected in the EDate field in the underlying section (top part of the window).
DTE= 1 on Expiration date, if checked it will display the expired options last day.
IV Update: Specifies when the Implied Volatility of an option is calculated. The selections are:
Option Only - Calculate the Implied Volatility only when the option trades. The underlying price used in the calculation is the price at the time the option last traded.
Option or Underlying - Calculate the Implied Volatility of the option when either the option or its underlying instrument changes in price
Greek Update: This parameter is extremely valuable in fast moving markets, because a change in price of the underlying instrument will cause the entire window to be recalculated. With even the most powerful desktop computer, frequent changes in the price of the underlying will slow down the system.
When a value is entered under X Seconds, the window will only calculate every [interval] seconds. Any price changes received before [interval] seconds has been reached will be held until the interval is over. When the interval is over, the most recent values for the underlying instrument will be used.
To recalculate the pricing model after every update, set the X Second value to zero (0).
