Volatility Skew

In this section we will cover how to:

Launching the Volatility Skew Module

The Volatility Skew module can be launched from the following places:

  • Main Screen
  • Option Chain

Launching the Volatility Skew Module from the Main Screen

  1. Click Modules
  2. Select Volatility Skew

Launching the Volatility Skew from the Option Chain

  1. Right-click a strike row
  2. Select Edit Volatility Skew

Reading the Volatility Skew Graph

Graph

Each colored line represents a series of option implied volatility values for a specific expiration month

Each point on a line represents the implied volatility for a specific Strike price

Current underlying price is displayed as a vertical line on the graph

An expiration series can be toggled on/off using the check boxes to the right of the graph

Top Bar

Underlying Current active underlying security
Min. Premium Modify only the Strikes that are priced at a minimum value; ignore those below that value
Ignore Strikes with no Bid Apply volatility changes only to those Strikes that have a Bid price
Treat above/below Underlying separate Change the volatility values for the strikes above and below the current underlying price separately.
Plot Applied Skew Check this box to plot an existing applied volatility skew. When left unchecked, the default graph will display the current market implied volatility values.

Bottom Bar

Reset Resets the graph to the current market implied volatility values
Save and Apply Skew Save the changes made to the volatility skew. When applied, the volatility changes appear globally in SILEXX OEMS for the underlying security.
Delete Applied Skew Remove all applied volatility changes for the active underlying symbol
Date Slider Click and drag to adjust the display based on calendar days moving forward in time.

Tip: Use the keyboard arrow keys for fine tuning the date.

Adjusting and Applying Volatility Skews

Graphical Adjustments

  1. Click and drag the data points on the graph to adjust the volatility skew for an entire series or individual points.

    Left-click and drag to adjust the implied volatility for an entire expiration month series

    Right-click and drag to adjust individual strike implied volatility values

    Tip: Check the box labeled "Treat above/below Underlying separate" to adjust the skew of the strikes above the underlying price independently from those below the underlying price, and vice versa.

  2. Click and drag the underlying price to adjust the model based on hypothetical changes in the underlying price.

    Click the Save and Apply Skew button to apply your adjustments globally for the active underlying security.

    Implied volatility values that have been modified are highlighted on the Option Chain module for easy visual reference.

Editing Stored Volatility Skews

All applied volatility adjustments are stored for editing in the following location:

  1. Click Tools
  2. Select Edit Stored Volatility Skews
  3. This will open the "Edit Stored Volatility Skews" window which list all your applied volatility skews.

    Delete Delete an individual applied volatility skew
    Click the X to delete a single skew from the list
    Symbol Option symbol ID has an applied skew
    Volatility Volatility value applied to the specific option symbol
    Click in a the cell edit a volatility value for a specific symbol
    Manually enter the value or use the arrow buttons to adjust the value
    Clear All Remove all applied volatility skews
    Close Exit the Stored Volatility Skews edit window