The futures price with which the base vols associate.

Also Known As:

• Vols = Volatility.

Disable the base futures price from being automatically updated when using any of the fit or adapt methods.

The volatility skew float rate. This describes the rate at which the skew moves relative to the futures movement.

Details:

• 0 = Fixed
• 1 = 100% float
• Max = 2 (200% float)
• Float rate can be set negative.

Click in the value area to choose the method for creating volatilities.

Descriptions:

• Volatility per strike: Input a volatility on a per strike basis.
• Multiple slopes: Create multiple skews between multiple strikes.
• Standard deviation: Uses a DTE standard deviation skewing method. Input volatility at standard deviation points.

Comments:

• Volatility per strike: Select a fit method to build or rebuild the skew.
• Multiple slopes: Select an adapt method to rebuild the skew.
• Standard deviation: It is pro-rated based on the DTE. The adapt method can be used to build and manage the skew.
• Both the fit and adapt methods are found on the right-hand side of the window under the fit category and can be used to build and manage the skew.

The method for drawing the skew. The skew can go through all volatility points or be smoothed.

Details:

• Thru Base Vols: The skew will be drawn through every known base volatility point.
• Smooth Base Vols: The skew will be smoothed using all known base volatility points. The skew may not go through all strike base volatility due to smoothing of the volatilities.

Comments:

• Base vols: The volatility of a strike associated with the base skew futures price.
• Base vols are found in the strike volatilities.

Smoothing all strike volatility points.

Note: The skew may not go through all strike volatilities.

Set the maximum number of curves allowed. This determines the amount of smoothing to be applied.

Example:

• 2 = Max of 2 curves (applies a 3rd-order polynomial).
• 3 = Max of 3 curves (applies a 4th-order polynomial).

Manage strike volatilities. Add, edit, and remove strike volatility points. Volatility is expressed in decimal form. A volatility of 30.25% would be entered as 0.3025.

Also Known As:

• Strike = Exercise Price
• Strike = K
• Vols = Volatility
• Base Vols = These are the strike volatility points from which the base skew is created.

1. It uses the base skew futures price as a reference for the volatility of the strike at the base skew’s futures price.

Set the number of ticks to ignore when using a fit method.

Change the minimum and maximum volatility when all volatilities are changed.

Set the maximum volatility for this month.

Set the minimum volatility for this month.