Spot vs Vol
Plots historical values for a range of spot indicators & volatility at various times to expiration.
Options scanner
Visualize order books and spot arbitrage opportunities.
Lists all instruments (Put/Call) from Centralized Exchanges for a given currency and time to expiration.
For all instruments, lists open interest and the best bid/ask prices and amounts. Also shows the mark price, implied volatility and volume.
Click on the volatility surface to plot the bid-ask smile, i.e. implied volatility (bid, ask, mark) for various strikes. Trace shows implied volatility estimated using the SABR model ("stochastic alpha, beta, rho"). Click on specific plots (bid, ask, mark) to reveal order book information, open interest, volume and “the Greeks”.
Shows arbitrage opportunities when there is a difference between the buy and sell prices across different exchanges.
VOL Surface
Visualize options surfaces and compare relative volatilities.
Plots ATM (“at-the-money”) implied volatility over selected time period for a wide range of times to expiration. Can select for term structure regime and skew regime. Click on specific dates (can select multiple dates by clicking multiple times) to show indicators as of a specific date(s) rather than historical distribution. Sweep from left to right to select a time interval.
Plots implied volatility for various times to expiration. Shows mean, 25% and 75% quantiles based on historical distribution.
For selected times to expiration, currency and option type, plots implied volatility for various strikes (moneyness). Shows mean, 25% and 75% quantiles based on historical distribution.
For selected option type, plots open interest for various times to expiration. Shows mean, 25% and 75% quantiles based on historical distribution.
For selected times to expiration and option type, plots open interest for various strikes (moneyness). Shows mean, 25% and 75% quantiles based on historical distribution.
For selected option type, plots volume for various times to expiration. Shows real time value.
For selected times to expiration and option type, plots volume for various strikes (moneyness). Shows real time value.
For selected option type, plots gamma for various times to expiration. Shows real time value.
For selected times to expiration and option type, plots gamma for various strikes (moneyness). Shows real time value.
Skew
Customizable skew indicators.
Plots customizable skew indicators: the difference (“risk reversal”) or the average (“butterfly”) in implied volatility between a call and a put. Can subtract or normalize by ATM implied volatility.
Skew Indicator
If the direction of the call and the put is the same, plots the average in implied volatilities (the sum of both implied volatilities divided by two, positive if the instruments are bought and negative if they are sold). If the direction of the call and the put is different, plots the difference in implied volatilities (implied volatility of the instrument being bought less implied volatility of the instrument being sold).
For selected time to expiration, scatter plot of the implied volatility of the selected call against put (for a selected moneyness variation from ATM), over specific time period. Ability to select quantiles and exclude tail observations. Green diamond marker shows today’s plot.
Volatility
Compare volatilities, assess the volatility risk premium, and create customizable trading rules.
Volatility Pairs heading: Plot volatility for any two pairs (can add more) over selected time period. Select a time range with a sweep of the cursor from left to right, and visualize only the volatility within the selected time interval.
Volatility Pairs
Plot volatility for any two pairs (can add more) over selected time period.
Volatility Comparison
Plot the volatility risk premium (VRP) over selected time period (can also show as box plot).
Plot today’s realized volatility (green diamond marker) relative to its historical distribution over 365 days (mean, min, max, and various quantiles) for various times to expiration.
For selected time to expiration, scatter plot of realized volatility against implied volatility, over selected time period, with the ability to select quantiles and exclude tail observations. Green diamond marker shows today’s plot.
Embeddings
Apply dimensionality reduction to extract patterns in the data. One point is one day. More exactly the 2D embedding of the market context related to that day. A market context is a multi-dimensional caracteristic regrouping info about vol surface, long-short term past market trends in terms of spot, vol, ... Relative positioning of points in the graphic gives info about how similar market context are between each other. Mapping a PnL criteria as a colormap gives insights on how a particular product performed in similar market contexts.
Visualize 2D multi-dimensional data embeddings. Pick a coloring criteria to infer the meaning of groupings of points (for instance, time, PnL, ...).
Select a time range with a sweep of the cursor from left to right, and visualize only the points within the selected time interval.
Backtest
Run backtest for various products (long/short): call/put, risk reversal, straddle/strangle, spreads.
For selected time to expiration and other parameters, shows historical evolution of selected PnL indicator for all products.
Strategy
Evaluate various products with customizable trading rules and hedging strategies. Understand historical performance, as well as potential gains and losses for live trades.
Historical performance of selected products, with the ability to pick hedging strategies and customize trading rules.
For a given product/strategy, shows the probability of a selected level of profit or loss for any new (live) trade. Also shows option time value, and option delta.