faq:faq_options_pro_can_i_see_my_theoretical_value_on_the_ladder

Can I see my theoretical value on the ladder?

Yes this is availible with our Options Pro add-on and if you have our Advanced data package.

The purple border is highlighting the theoretical value of the option. By default, the theoretical value uses our Auto Skew, which I'll explain below. If you have our Options Pro package, you can create a manual volatility skew that you can adjust to better track the market throughout the day.

If you expand your option ladder, you'll see a “Theo” column on the right side. This will give you the theoretical delta (in the screenshot below it's a 0.47 delta for this option), the theoretical price (118), and the vega in price display terms and dollar terms (9 and $137). The black mark in the corner tells you if the full calculated theoretical price is leaning a little higher than the highlighted price (118.00 to 118.49 in this case) or a little lower (117.50 to 117.99).

Our Auto Skew is a smoothed fit of implied volatility based on yesterday's settlement values. The volatility calculated for each strike will remain constant all day, but the theoretical price, delta, vega, etc. will update as futures move. It's a good baseline for tracking volatility change throughout the day, but if you want your theoretical values to stay closer to mid-market, you would need to have our Options Pro package and configure a manual volatility skew for each product.

  • faq/faq_options_pro_can_i_see_my_theoretical_value_on_the_ladder.txt
  • Last modified: 2024/12/02 13:13
  • by rob