desktop:option_strategy_solver

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desktop:option_strategy_solver [2025/03/18 16:59] – external edit 127.0.0.1desktop:option_strategy_solver [2025/04/08 17:14] (current) – rob
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   - Exchange Strategy Name This is the name the exchange uses for the strategy. In the image above, the exchange refers to the strategy as a Covered Vertical, while in our strategy template it is referred to as a Covered Put Spread. This section will always display the exchange name followed by the strategy template name in parentheses.   - Exchange Strategy Name This is the name the exchange uses for the strategy. In the image above, the exchange refers to the strategy as a Covered Vertical, while in our strategy template it is referred to as a Covered Put Spread. This section will always display the exchange name followed by the strategy template name in parentheses.
     {{:desktop:solver_theos.png|}}      {{:desktop:solver_theos.png|}} 
-  - Delta The net delta of the strategy. Click this number to add a futures leg to the strategy. The futures leg will automatically populate the correct side and delta to make the new covered strategy delta neutral. If adjustments are required to the delta or price of the futures leg, see items 20 and 21 below. +     
-  - Additional Greeks Additional Greeks are displayed in the area to the right of the strategy's delta. These are abbreviated in light grey text with corresponding numerical values in black text to the right. Greeks may be enabled from the properties menu of the Option Strategy Solver, see here. +12. Delta The net delta of the strategy. Click this number to add a futures leg to the strategy. The futures leg will automatically populate the correct side and delta to make the new covered strategy delta neutral. If adjustments are required to the delta or price of the futures leg, see items 20 and 21 below. 
-  - Bid/Offer Volume The volume in the best bid/offer for the strategy, if available. If a bid/offer volume is shown, clicking these boxes will open a price prompt window that will either join or hit the chosen side, depending on the selection made in the global options click trading settings. Note that right clicking will do the opposite, i.e. right clicking will "hit" if left clicking "joins." If empty, clicking these boxes will open a contract window for the strategy. + 
-  - Bid/Offer Price The price of the best bid/offer for the strategy, if available. If a bid/offer price is shown, clicking these boxes will open a price prompt window that will either join or hit the chosen side, depending on the selection made in the global options click trading settings. Note that right clicking will do the opposite, i.e. right clicking will "hit" if left clicking "joins." If empty, clicking these boxes will open a contract window for the strategy. +13. Additional Greeks Additional Greeks are displayed in the area to the right of the strategy's delta. These are abbreviated in light grey text with corresponding numerical values in black text to the right. Greeks may be enabled from the properties menu of the Option Strategy Solver, see here. 
-  - Theoretical Value The theoretical value of the strategy. A green background color in this box indicates that the strategy is already open at the exchange. In this case, clicking the theoretical value will open a contract window for the strategy. A grey background color in this box indicates that the strategy has not yet been created at the exchange, therefore a contract window will not open if the box is clicked. Click the RFQ button (number 7 above) to create the strategy at the exchange, provided the user has trading rights. + 
-  - Leg Quantity The selected quantity of each leg. These values should always be kept at the lowest possible ratio, i.e. keep leg quantities at 1 for both legs of a vertical, even if attempting to do a total of 10 of each leg (10 spreads). Clicking the quantity for a leg will increase its quantity by 1. +14. Bid/Offer Volume The volume in the best bid/offer for the strategy, if available. If a bid/offer volume is shown, clicking these boxes will open a price prompt window that will either join or hit the chosen side, depending on the selection made in the global options click trading settings. Note that right clicking will do the opposite, i.e. right clicking will "hit" if left clicking "joins." If empty, clicking these boxes will open a contract window for the strategy. 
-  - Decrease Leg Quantity This button will decrease the quantity of the selected leg by 1, to a minimum of 1. To delete a leg, see number 23 below. + 
-  - Leg Description This is the Contract, Expiry, and Strike for each call or put, and the Contract, Expiry, Delta, and Tied Price for each futures leg. +15. Bid/Offer Price The price of the best bid/offer for the strategy, if available. If a bid/offer price is shown, clicking these boxes will open a price prompt window that will either join or hit the chosen side, depending on the selection made in the global options click trading settings. Note that right clicking will do the opposite, i.e. right clicking will "hit" if left clicking "joins." If empty, clicking these boxes will open a contract window for the strategy. 
-  - Futures Leg Delta Hover over a futures leg to adjust the delta up or down. Type the new delta or use the arrow buttons to adjust the delta by increments of 0.01. The change occurs immediately and all theoretical values for the strategy are updated in real time. + 
-  - Futures Leg Price Hover over a futures leg to adjust the tied price up or down. Type the new price or use the arrow buttons to adjust the price by increments of 1 minimum tick. The change occurs immediately and all theoretical values for the strategy are updated in real time. +16. Theoretical Value The theoretical value of the strategy. A green background color in this box indicates that the strategy is already open at the exchange. In this case, clicking the theoretical value will open a contract window for the strategy. A grey background color in this box indicates that the strategy has not yet been created at the exchange, therefore a contract window will not open if the box is clicked. Click the RFQ button (number 7 above) to create the strategy at the exchange, provided the user has trading rights. 
-  - Flip Leg Side Over over a leg to see the B/S buttons. Click the B or S button will flip just that leg to either a buy or a sell, respectively. The background color of the leg will then change to blue or pink to match the chosen side. Clicking anywhere in the background of the leg will cycle the side through buy, sell, and ignored (grey background). When a leg has a grey background it is not included in any strategy calculations. + 
-  - Remove Leg Click the X to the right of a leg to remove just that particular leg. +{{:desktop:solver_legs.png|}} 
-  - Leg Theoretical Value This is the theoretical value of the leg itself. These leg theoretical values are added to create the option strategy theoretical value shown in number 16 above. Note that rounding may cause slight variations from the sum of the displayed leg theoretical values to the displayed strategy theoretical value.+ 
 +17. Leg Quantity The selected quantity of each leg. These values should always be kept at the lowest possible ratio, i.e. keep leg quantities at 1 for both legs of a vertical, even if attempting to do a total of 10 of each leg (10 spreads). Clicking the quantity for a leg will increase its quantity by 1. 
 + 
 +18. Decrease Leg Quantity This button will decrease the quantity of the selected leg by 1, to a minimum of 1. To delete a leg, see number 23 below. 
 + 
 +19. Leg Description This is the Contract, Expiry, and Strike for each call or put, and the Contract, Expiry, Delta, and Tied Price for each futures leg. 
 + 
 +20. Futures Leg Delta Hover over a futures leg to adjust the delta up or down. Type the new delta or use the arrow buttons to adjust the delta by increments of 0.01. The change occurs immediately and all theoretical values for the strategy are updated in real time. 
 + 
 +21. Futures Leg Price Hover over a futures leg to adjust the tied price up or down. Type the new price or use the arrow buttons to adjust the price by increments of 1 minimum tick. The change occurs immediately and all theoretical values for the strategy are updated in real time. 
 + 
 +22. Flip Leg Side Over over a leg to see the B/S buttons. Click the B or S button will flip just that leg to either a buy or a sell, respectively. The background color of the leg will then change to blue or pink to match the chosen side. Clicking anywhere in the background of the leg will cycle the side through buy, sell, and ignored (grey background). When a leg has a grey background it is not included in any strategy calculations. 
 + 
 +23. Remove Leg Click the X to the right of a leg to remove just that particular leg. 
 + 
 +24. Leg Theoretical Value This is the theoretical value of the leg itself. These leg theoretical values are added to create the option strategy theoretical value shown in number 16 above. Note that rounding may cause slight variations from the sum of the displayed leg theoretical values to the displayed strategy theoretical value. 
 + 
 +===== Option Strategy Solver Properties ===== 
 + 
 +{{:desktop:oss_properties.png|}} 
 + 
 +1. **Sell Side Bias** \\   
 +By default, option strategies are built with a buy side bias. Checking this box will reverse it and create new strategies with a sell side bias so that all theoretical values and Greeks are formatted as if the strategy is being sold.   
 + 
 +2. **Layout** \\   
 +Switch between stacked and side-by-side layouts. Stacked places the legs below the toolbar and strategy information, while side-by-side places the legs to the right.   
 + 
 +3. **Default Strategy Futures Price Scope** \\   
 +4. **Strategy Futures Price Scope** \\   
 + 
 +5. **Auto Apply Strategy** \\   
 +By default, the 1st Strategy (primary template) is chosen for new option strategies as it is typically the most common. By choosing 2nd Strategy, the secondary template will be used instead. Choosing (none) will force manual selection of a strategy template for every new option strategy constructed.   
 + 
 +6. **Disable Confirms** \\   
 +Checking this box disables popups such as the confirmation window that appears when adding a futures leg.   
 + 
 +7. **Apply ABS** \\   
 +Checking this box forces the Option Strategy Solver to display the absolute value of every theoretical value.   
 + 
 +8. **Show Market Price, Size, and Edge** \\   
 +These can all be shown to the left and right of the strategy's theoretical value. By default, Price and Size are enabled. These values, when enabled, can all be used for click trading from the Option Strategy Solver.   
 + 
 +9. **Show Greeks** \\   
 +Checking a box in this section will display the appropriate value in the Option Strategy Solver.   
 + 
 ====== How do I create a covered spread? ====== ====== How do I create a covered spread? ======
 To create a covered spread first off the sheet of the product you are looking to create this spread need to have a series created for all months involved. To see how to create a series Click here Once a series is configured you can click on the theoretical prices of the spread you want To create a covered spread first off the sheet of the product you are looking to create this spread need to have a series created for all months involved. To see how to create a series Click here Once a series is configured you can click on the theoretical prices of the spread you want
  
-Image+{{:desktop:option_sht_cvd.png|}}
  
 After clicking the theoretical price you it will be sent to the strategy solver. It will display what exchange calls it and a more common term in parenthesis After clicking the theoretical price you it will be sent to the strategy solver. It will display what exchange calls it and a more common term in parenthesis
  
-Image+{{:desktop:solver_cvd.png|}}
  
 Now once you have your spread in the solver you click on the theoretical delta located in the upper left and you will be prompted to create a covered strategy. Click yes and it will create it. Now once you have your spread in the solver you click on the theoretical delta located in the upper left and you will be prompted to create a covered strategy. Click yes and it will create it.
  
-Image+{{:desktop:solver_cvd_slct_dlta.png|}}
  
 +<WRAP center round info 100%>
 Important tip if after clicking yes if your theoretical price in exchange format is not green you need to rfq it to get that spread created. Important tip if after clicking yes if your theoretical price in exchange format is not green you need to rfq it to get that spread created.
 +</WRAP>
 +
 +====== Pit Trade Ticket ======
 +
 +{{:desktop:oss_pit_trade.png|}}
 +
 +
 +      - **Flip Buys and Sells** Clicking this button will flip each leg of the current strategy from a buy to a sell or vice versa. The background color of each leg indicates its side.
 +  -     **Total Quantity** This is the total number of spreads to be entered. Note that the leg ratio cannot be altered from this ticket, i.e. a vertical cannot be adjusted to a 1x2. To adjust the leg ratio, click cancel and make the adjustment in the Option Strategy Solver. Note that any futures legs do not change when the total quantity is changed. To adjust the futures quantity, see number 3 below.
 +  -    ** Adjust Futures Quantity** Click the up or down arrows next to the futures leg to adjust the leg quantity of the futures leg only.
 +  -     **Account Selection** Choose the appropriate account from the accounts in this list before submitting the pit trade.
 +  -     **Net Dollars for Strategy** The total dollar amount of the strategy, shown as either a debit (Dr) or a credit (Cr).
 +  -     **Price of Strategy** The price of the strategy in ticks, shown as either a debit (Dr) or a credit (Cr).
 +  -     **Leg Price** The price at which each leg will be entered in the order book. These can be adjusted using the up and down arrows on either side of the price. Note that changing leg prices will change the strategy price seen in number 6 above.
 +  -     **Leg Side** Click B or S to change a particular leg to a buy or a sell, respectively.
 +  -     **Submit** Click submit to add the pit trade to the account inventory. Pit trades do not ever hit the exchange or the clearing firm, they are simply manual fills entered as a result of busted trades, trades done in a pit, trades filled via a desk, or any other fill that occurs outside T4.
 +  -     **Cancel** This will close the window without entering a pit trade. 
 +
 +
 +====== Debit vs Credit  ======
 +This is an example of how to read the Debit vs Credit. 
 +
 +Looking at the below screenshot, if you sell this call spread you will collect a credit. If you buy this same call spread you will pay a debit.
 +
 +In the upper left corner of each solver you'll see a two-way arrow icon that has either a pink or blue background. If it's pink, then everything else shown will reflect what will happen if you sell the spread. For example, you would sell the 5250 Call (since it has a pink background) and buy the 5275 Call (since it has a blue background), and the trade should result in a credit (based on the Cr in the green fair value box).
 +
 +
 +
 +{{:desktop:red_solver.png|}}
 +
 +
 +Similarly, if the arrow icon has a blue background, everything else will reflect what will happen if you buy the spread. The buys/sells of the legs are reversed and the credit flips to a debit (Dr).
 +
 +{{:desktop:blue_solver.png|}}
 +
 +
  
  
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  • Last modified: 2025/03/18 16:59
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