Underlier Filters Category Data Field Description

Transcription

1 Price//Capitalization Market Capitalization The market price of an entire company, calculated by multiplying the number of shares outstanding by the price per share. Market Capitalization is not applicable to Indices Price//Capitalization Last Price Last traded price of based on normal trading hours Price//Capitalization of shares traded for a given trading day. is not applicable to Indices. Price//Capitalization Price//Capitalization Ratio of to 10 Total Call Call Total Put Put Total Open Open Total Call Open of Call Open Total Put Open of Put Open Ratio of Call to 10 Call Ratio of Put to 10 Put Ratio of Option to 10 Option Ratio of Call Open to Call Open Average of daily volume for the last 10 trading days Compares current volume to the 10 day average of volume. High ratios would show a significant increase in volume as compared to the average volume Total call option volume (all call contracts for a given ) for a given trading day Average of daily call option volume for the last 10 trading days Total put option volume (all put contracts for a given ) for the current trading day Average of daily put option volume for the last 10 trading days Total open interest for all option contracts on a given Average of total open interest for the last 10 trading days for a given Total call open interest for all call option contracts on a given underlying security Average of total call open interest for the last 10 trading days for a given Total put open interest for all put option contracts on a given underlying security Average of total put open interest for the last 10 trading days for a given Compares current call volume to the 10 day average of call volume. High ratios would show a significant increase in call volume as compared to the average call volume Compares current put volume to the 10 day average of put volume. High ratios would show a significant increase in put volume as compared to the average put volume Compares current option volume to the 10 day average of option volume. High ratios would show a significant increase in option volume as compared to the average option volume Compares current call open interest to the 10 day average of call open interest. High ratios would show a significant increase in call open interest as compared to the average call open interest

2 Ratio of Put Open to Put Open Ratio of Open to 10 Open Put / Call Put / Call Put Open / Call Open Put Open / 10 Call Open ATM 30 Day IV Compares current put open interest to the 10 day average of put open interest. High ratios would show a significant increase in put open interest as compared to the average put open interest Compares current open interest to the 10 day average of open interest. High ratios would show a significant increase in open interest as compared to the average open interest Ratio of puts to calls based on the put volume and call volume of a given Ratio of puts to calls based on the 10 day average put volume and 10 day average call volume of a given Ratio of puts to calls based on the put open interest and call open interest of a given Ratio of puts to calls based on the 10 day average put open interest and 10 day average call open interest of a given with a strike price at the current stock price expiring 1 month in the future ATM 60 Day IV ATM 90 Day IV ATM 120 Day IV ATM 180Day IV ATM 270 Day IV ATM 360 Day IV ATM 720 Day IV ATM 30 Day IV ATM 60 Day IV with a strike price at the current stock price expiring 2 months in the future with a strike price at the current stock price expiring 3 months in the future with a strike price at the current stock price expiring 4 months in the future with a strike price at the current stock price expiring 6 months in the future with a strike price at the current stock price expiring 9 months in the future with a strike price at the current stock price expiring 1 year in the future with a strike price at the current stock price expiring 2 years in the future This value represents a percentage based on the ATM IV 30 day value as This value represents a percentage based on the ATM IV 60 day value as

3 ATM 90 Day IV This value represents a percentage based on the ATM IV 90 day value as ATM 120 Day IV ATM 180 Day IV ATM 270 Day IV ATM 360 Day IV ATM 720 Day IV This value represents a percentage based on the ATM IV 120 day value as This value represents a percentage based on the ATM IV 180 day value as This value represents a percentage based on the ATM IV 30 day value as This value represents a percentage based on the ATM IV 360 day value as This value represents a percentage based on the ATM IV 720 day value as Ratios Ratios Ratios Ratios Ratios Ratios Ratios Ratios Ratio, 1 Month Ratio, 2 Month Ratio, 3 Month Ratio, 4 Month Ratio, 6 Month Ratio, 9 Month Ratio, 1 Year Ratio, 2 Year Ratio based on dividing ATM IV 30 day by SV 1 Month. A high ratio Ratio based on dividing ATM IV 60 day by SV 2 Month. A high ratio Ratio based on dividing ATM IV 90 day by SV 3 Month. A high ratio Ratio based on dividing ATM IV 120 day by SV 4 Month. A high ratio Ratio based on dividing ATM IV 180 day by SV 6 Month. A high ratio Ratio based on dividing ATM IV 270 day by SV 9 Month. A high ratio Ratio based on dividing ATM IV 360 day by SV 1 Year. A high ratio Ratio based on dividing ATM IV 720 day by SV 2 Year. A high ratio Statistical SV 10 Day Historical volatility based on the change in closing prices over the last 10 trading days Statistical SV 1 Month Historical volatility based on the change in closing prices over the last month assuming 21 trading days per month Statistical SV 2 Month Historical volatility based on the change in closing prices over the last 2

4 Statistical SV 3 Month Historical volatility based on the change in closing prices over the last 3 Statistical SV 4 Month Historical volatility based on the change in closing prices over the last 4 Statistical SV 6 Month Historical volatility based on the change in closing prices over the last 6 Statistical SV 9 Month Historical volatility based on the change in closing prices over the last 9 Statistical SV 1 Year Historical volatility based on the change in closing prices over the last year assuming 252 trading days per year Statistical SV 2 Year Historical volatility based on the change in closing prices over the last 2 years assuming 252 trading days per year Statistical SV 1 Month This value represents a percentage based on the SV 1 Month value as Statistical Statistical Statistical Statistical Statistical Statistical Statistical SV 2 Month SV 3 Month SV 4 Month SV 6 Month SV 9 Month SV 1 Year SV 2 Year This value represents a percentage based on the SV 2 Month value as This value represents a percentage based on the SV 3 Month value as This value represents a percentage based on the SV 4 Month value as This value represents a percentage based on the SV 6 Month value as This value represents a percentage based on the SV 9 Month value as This value represents a percentage based on the SV 1 Year value as This value represents a percentage based on the SV 2 Year value as

5 Option Type (Call, Put, or Both) Option Filters A call buyer pays a premium and receives the right to buy stock while a call seller receives a premium and has the obligation to sell stock. A put buyer pays a premium and receives the right to sell stock while the put seller receives a premium and has the obligation to buy stock. Expiration Date The date at which an option contract expires. Strike Price The stated price at which stock is exercised or assigned by the buyer and seller of an option contract. Strike Moneyness The percentage based on an option's strike price when divided by the current stock price. For example, a value close to 1 represents an option strike that is "at the money". Option Price Bid Price Bid price of the option Option Price Ask Price Ask price of the option Option Price Option Quote Spread (Ask - Bid) The difference between the current options ask price less the current option bid price. The smaller the difference, the more liquid the current market may be for that option. Option Price Time Value as a Percentage The current percentage based on the time premium built into an option's price as compared to the current stock price. & Open Total options volume and open interest & Open Average daily volume based on the last 10 trading days. & Open Open The total interest of an option contract that are open by buyers and sellers for a given trading day. & Open Open Average daily open interest based on the last 10 trading days. Implied Implied The market's expectation of volatility based on the premium and expiration of this contract.

6 Implied Implied Delta Gamma Option Filters An option risk measure showing the relationship between an option price and the underlying stock price. The measure represents the change in option price for a $1 change in underlying stock price. Note: While put deltas are negative, the values are always assumed positive for the screen filtering process. You may restrict the option type to puts only if you want to see put deltas. An option risk measure showing the change in delta for a $1 change in the underlying stock price. Implied Theta An option risk measure showing the reduction in option premium for a 1 day lapse in time (reducing the number of days to an options expiration and therefore its value). Implied Vega An option risk measure showing the change in option premium for a 1% change in volatility. Implied Rho An option risk measure showing the change in option premium for a 1% change in the risk-free interest rate. While put rho values are negative, the values are always assumed positive for the screen filtering process. You may restrict the option type to puts only if you want to see put rho values.