CQG Integrated Client Options User Guide. November 14, 2012 Version 13.5

Transcription

1 CQG Integrated Client Otions User Guide November 4, 0 Version 3.5

2 0 CQG Inc. CQG, DOMrader, Snarader, Flow, and FOBV are registered trademarks of CQG.

3 able of Contents About this Document... Related Documents... Customer Suort... Otions in CQG... 3 Entering Otions Symbols... 4 Oening Otions Alications... 5 CQG API and Otions... 6 Greeks and Volatility Definitions... 7 Standard Otions Pricing Models... 9 Exotic Otion Models... 3 Interest-Rate Otion Models... 3 Sread Otions Model... 4 Cumulative Normal Distribution Function Aroximation Numerical Methods for Solving Equations Numerical Differentiation rading Otions Setting Otions Preferences... 5 Setting Otions Window View Preferences Setting Otions Calculator View Preferences Setting Volatility Worksho View Preferences Setting Strategy Analysis View Preferences Setting Volatility Preferences Setting Interest Rate Preferences Setting Price Filter Preferences... 6 Setting Greeks Scale Preferences... 6 Setting Advanced Preferences Setting Model Preferences Setting Udate Frequency Preferences Udating the Refresh Rate Otions Window Otions Window oolbar... 7 Customizing Columns Changing the Order of Columns... 77

4 Marking At-the-Money Changing the Dislay ye Oening Another Alication from an Otions Window Setting What If Otions Parameters... 8 Coying Data to Excel... 8 Placing Orders from the Otions Window Otions Calculator Otions Calculator Comonents Otions Calculator oolbar Using the Otions Calculator Inutting What Ifs... 9 Viewing Summary Statistics Using the Otions Calculator Grah Using Cursors with an Otions Calculator Grah... 0 Information Dislayed in an FX OC View... 0 Selecting the Proerties for the Otions Calculator Grah Lines Otions Grah Otions Grah oolbar Define Otions Grah Curves... 3 Volatility Worksho... 3 Volatility Worksho Comonents... 4 Volatility Worksho oolbar... 7 Saving the Volatility Curve Oening a Saved Volatility Curve Adjusting the shae of the curve Removing Corrections Selecting the Colors for the Volatility Worksho Grah Lines Designating the Aroximation Characteristics Modifying the Volatility Curve Resetting the Volatilities Using 3D Strategy Analysis Window... 5 Strategy Analysis Window Comonents... 5 Strategy Analysis oolbar Selecting a Strategy Selecting an Underlying Model for Strategy Dislays... 6

5 able abs Using the Dislay abs Setting Proerties for 3D Strategy Grah Underlying Information Dislay Proerties Creating and Editing Strategies Saving an Otions Strategy... Loading a Saved Strategy... 4 Using the Strategy Worksace Manager Window... 5 Weights... 7 Using Advanced Strategy Features... Otions Strategy Color Windows... 7

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7 Page About this Document his document is one of several user guides for CQG Integrated Client (CQG IC. his guide details otions-secific tools in CQG. You can navigate the document in several ways: Click a bookmark listed on the left of the age. Click an item in the able of Contents. Click a blue, underlined link that takes you to another section of the document. o go back, use Adobe Reader Page Navigation items (View menu. If you are looking for a articular term, it may be easier for you to search the document for it. here are two ways to do that: Right-click the age, and then click Find. Press Ctrl+F on your keyboard. his document is intended to be rinted double-sided, so it includes blank ages before new chaters. Please note that images are examles only and are meant to demonstrate and exose system behavior. hey do not reresent actual situations. o ensure that you have the most recent coy of this guide, lease go to the user guide age on CQG s website. Related Documents CQG IC user guides: CQG Basics Charting and Studies Advanced Analytics rading and CQG Sreader Otions User Guide

8 Page Customer Suort CQG Customer Suort can be reached by hone from Sunday, :30.m. C through Friday, 5:00.m. C. hese hours also aly to Live Chat. United States United Kingdom +44 ( France +33 ( Germany +49 ( Jaan +8 ( Russia Singaore Sydney +6 ( [email protected] 4 hours a day, 7 days a week. If you have questions about CQG documentation, lease contact the hel author. About this Document

9 Page 3 Otions in CQG CQG IC includes five otions alications: Otions Window Otions Calculator Otions Grah Volatility Worksho Strategy Analysis All CQG IC users have access to the Otions Window and the Otions Grah. If you would like to learn more about our advanced otions offering, which includes Otions Calculator, Otions Strategy, and Volatility Worksho, lease contact CQG. CQG offers seven basic otion models that serve as the framework for valuing otions: Black, Black-Scholes, Bourtov, Cox-Ross-Rubinstein, Garman-Kohlhagen, Merton, and Whaley. Otions User Guide

10 Page 4 Entering Otions Symbols he format for otions on futures is: C.<symbol><month code><year><strike rice> for calls and or P.<symbol><month code><year><strike rice> for uts. he strike rice is -5 digits. Examle: C.SPZ08500 = December call on the S&P 500 futures contract. An alternate format is C.<symbol>_<month code><year>.<strike rice> for calls and with P. for uts. C.SP_U8.500 = Setember call on the S&P 500 futures contract. On Otions windows, you can enter the symbol only. For at the money for the nearby month, tye C. or P., the symbol, and?. For at the money for some other month, tye C. or P., the symbol, the month, the year, and? and then ress CRL+ENER. For strikes for the most active month, tye C. or P. and the symbol and? and then ress CRL+ENER. Otions in CQG

11 Page 5 Oening Otions Alications Click the Otions button on the main toolbar, and then click the name of the otions window you want to oen: his button rovides access to all otions windows without having to dislay the button for each window. If the Otions button is not dislayed, click the More button, and then click Otions. You can also add individual otions windows to the toolbar: Otions User Guide

12 Page 6 CQG API and Otions CQGs API suorts efficient access to otions strike roerties through the use of the CQGInstrumentsGrou interface. With one request to CQG servers, your alication can subscribe to all strikes in any given contract month or a range of months. Data subscrition levels can also be configured to otimize instrument resolution for strike roerties and market data, allowing for the delivery of critical information without unnecessary overhead. CQG also offers access to common real-time values for all subscribed otions strikes: Greeks, theoretical values and imlied volatilities. hrough the API, CQG offers in-deth ortfolio analysis caabilities. Otions in CQG

13 Page 7 Greeks and Volatility Definitions As you work with otions in CQG IC, it s helful to understand how imlied and average volatility are calculated and how the Greeks are defined. Delta Delta shows the change in the rice of a derivative to the change in the rice of the underlying assets. Sometimes delta is known as the hedge ratio, as delta indicates how much of the underlying asset needs to be bought or sold to hedge the otion. raders take advantage of delta by creating delta hedging, delta sreads, and delta neutral. Delta values are ositive numbers less than or equal to 00. hey reresent the ratio of the change in the theoretical value over the change in the underlying rice. Values: Out of the money = close to 0 At the money = close to +0.5 In the money = close to + Calls = ositive Puts = negative Delta values for the out-of-the-money series move closer to 0 as exiration nears. Likewise, more in-the-money otions have deltas close to as exiration aroaches. For examle: If the underlying S&P 500 contract stands at 3400, with a delta of 5.73, and a theoretical value of 600.5, and the underlying rice increases to 340, while the delta rises to 54.0, the theoretical value increases to 707. he calculations are: = 00 ( / = * = he deltas from one underlying rice to the next are interolated = new theoretical value Gamma Gamma is the amount the delta changes when the underlying rice changes by one tick. Gamma is greatest for at-the-money otions. Gamma increases as the otion moves closer to exiration. raders try to limit gamma risk because short gamma ositions create a otential for losses. For examle: If the delta of an S&P future was 9.80, the gamma was.0 and the rice of an S&P future increased from to i.e., a one-tick increase, the delta would increase to 9.8. Otions User Guide

14 Page 8 heta heta reresents the loss in theoretical value in one day, if all other factors are constant. In other words, it attemts to isolate the time decay factor. For examle: Assume the amount showing the Value column was 75., with 5 days until exiration and a theta value of You would exect to see the amount in the Value column decrease aroximately 9 dollars the following day. A more recise definition of the amount of the time value lost is an average of the hetas on the dates under consideration. So, if the theta on the following day was 95.0, the decrease in theoretical value would be: ( / = 93.6 Vega Vega is the amount that the theoretical value changes when the volatility changes by oint. For examle: Assume a June Corn contract had a vega of.4, a volatility of 5.90, and a theoretical value of If the volatility were to increase to 6.90, the vega says that the theoretical value would increase by.4 dollars to 46.8, rovided the other factors affecting otions rices remained constant. he dislay also indicates the days until exiration, as well as the volatility and interest rate assumtions underlying the data. Rho Rho is the change in otion rice to a unit change in interest rates. When the interest rate increases, the call otion rice increases also and ut otion rice falls. For examle: Assume the starting call value is 4.0, the interest rate r is 5% and zerocouon rate b is %. Rho(r(er %= 0.43, and Rho(b(er %=0.38, If r rises to 6% and b stays at 5%, the call value is If r stays at 5% and b rises to 3%, the call value is Imlied Volatility he imlied volatility calculated from an otions dislay reresents the volatility that, if entered into a theoretical ricing model, would roduce a theoretical value equal to the market rice of the otion. Unlike the Historical Volatility study, the Imlied Volatility calculation deends on the model selected, the calculation method chosen and the arameters inut in the What if? column. Average Volatility he average volatility is calculated using the following formula: IV AvgV = L ( SPH UP + IVH ( UP SPL ( SP SP H L Otions in CQG

15 Page 9 Standard Otions Pricing Models Otions ricing models describe mathematically how a set of inut arameters tyically underlying rice, strike rice, time to exiration, interest rate, and volatility combine to determine a theoretical value of an otion. CQG offers seven basic otion models that serve as the framework for valuing otions: Black, Black-Scholes, Bourtov, Cox-Ross-Rubinstein, Garman-Kohlhagen, Merton, and Whaley. erm heov sigma, ImV Greeks Delta, Gamma, Γ Vega heta, Θ Rho, ρ N(x Definition otion theoretic value volatility of the relative rice change of the underlying stock rice imlied volatility Partial derivatives of the otion rice to a small movement in the underlying variables. Main greeks are delta, gamma, theta, vega, rho. delta is the first derivative of the otion rice by underlying rice gamma is the second derivative of the otion rice by underlying rice vega is the first derivative of the otion rice by volatility theta is the first derivative of the otion rice by time to exiration rho is the first derivative of the otion rice by interest rate the cumulative normal distribution function x z N x = e ( π dz n(x normal distribution function n( x = e π x x, n ( x = x e π S X r underlying rice strike rice of otion risk-free interest rate otion time to exiration in years Otions User Guide

16 Page 0 erm b Definition volatility of the relative rice change of the underlying instrument the cost-of-carry rate of holding the underlying security For further reading, we suggest: he Comlete Guide to Otion Pricing Formulas. ISBN Otions, Futures, and Other Derivatives. ISBN Otion Volatility and Pricing Strategies. ISBN X. Otions in CQG

17 Page Black Model In 976, Fisher Black develoed a modification to the Black-Scholes model designed to rice otions on futures more recisely. he model assumes that futures can be treated the same way as securities, roviding a continuous dividend yield equal to the risk-free interest rate. he model rovides a good correction to the original model concerning otions on futures. However, it still carries the restrictions of the Black-Scholes evaluation. Notation C P U E r t ν N(x heoretical value of a call heoretical value of a ut Underlying rice Strike rice Interest rate ime to exiration in years Volatility Cumulative normal density function he theoretical values for calls and uts are: C = Ue P Where: rt Ue rt N( h Ee N( h ν t rt = rt N ( h + Ee N ( ν t h ln( U / E ν t h = + ν t Note: Although similar, this definition of model. An alternative form for h is: ln( U / E + ν t h = ν t h is different from the one used in the Black-Scholes Otions User Guide

18 Page Generalized Black-Scholes (Black-Scholes extended Model he generalized Black-Scholes model can be used to rice Euroean otions on stocks without dividends [Black and Scholes (973 model], stocks aying a continuous dividend yield [Merton (973 model], otions on futures [Black (976 model], and currency otions [Garman and Kohlhagen (983 model]. heov Call ( br c CGBS S e N( d X e r = = N( d Put ( PGBS X e r br = = N( d S e N( d where d d ln( S / X + = = d ( b + / N(x the cumulative normal distribution function; S underlying rice; X strike rice of otion; r risk-free interest rate; time to exiration in years; volatility of the relative rice change of the underlying stock rice. b the cost-of-carry rate of holding the underlying security. b = r gives the Black and Scholes (973 stock otion model. b = r q gives the Merton (973 stock otion model with continuous dividend yield q. b = 0 gives the Black (976 futures otion model. b = r r f gives the Garman and Kohlhangen (983 currency otion model (r f - risk-free rate of the foreign currency. Delta Call = e Put = e ( br ( br N( d [ N( d ] Otions in CQG

19 Page 3 Otions User Guide Gamma Gamma is identical for ut and call otions. S e d n r b Γ = ( ( where ( x e x n = π - normal distribution function. Vega Vega is identical for ut and call otions. d n e S Vega r b = ( ( heta Call ( ( ( ( ( ( d N X r d N e S r b d n e S r r b r b + + Θ = Put ( ( ( ( ( ( d N X r d N e S r b d n e S r r b r b Θ = Rho Call = <> = 0 0, ( b when c b when d N e X r ρ where c call heov Put = <> = 0 0 (, b when b when d N e X r ρ where ut heov

20 Page 4 Otions in CQG Imlied volatility o find imlied volatility the following equations should be solved for the value of sigma: Call ( ( ( d N e X d N e S c r r b = Put ( ( ( d N e S d N e X r b r = where ( b X S d + = / / ln( d d = his equation has no closed form solution, which means the equation must be numerically solved to find. Bourtov s Model Bourtov s model is based on the Black-Scholes model. It defines a secial method to calculate volatility, which is an inut arameter of the Pricing Model Calculator.

21 Page 5 Cox-Ross-Rubinstein Model he Cox-Ross-Rubinstein binomial model can be used to rice Euroean and American otions on stocks without dividends, stocks and stock indexes aying a continuous dividend yield, futures, and currency otions. heov he main binomial model assumtion is the underlying rice can either increase by a fixed amount u with robability, or decrease by a fixed amount d with robability -. So the underlying rice at each node is set equal to i S u d where ji, i = 0,,..., j S underlying rice; u, d u and down jum sizes that underlying rice can take at each time ste. Otion ricing is done by working backwards, starting at the terminal date. Here we know all the ossible values of the underlying rice. For each of these, we calculate the ayoffs from the derivative, and find what the set of ossible derivative rices is one eriod before. Given these, we can find the otion one eriod before this again, and so on. Working ones way down to the root of the tree, the otion rice is found as the derivative rice in the first node. Call At exiration date: i ni fi n = max( S u d X, 0, i 0,,..., n, = where n number of time stes. At each revious ste: Euroean exercise f e [ f + f ] r t i, j = i+, j+ ( i, j+ American exercise f i ji r t ( S u d X, e [ f + ( f ] i, j = max i+, j+ i, j+ where u = e t rice u movement size; d = e t t = / n = / u b t e d = u d rice down movement size; size of each time ste; u movement robability; b the cost-of-carry, defined as: b = r to rice Euroean and American otions on stocks; Otions User Guide

22 Page 6 b = r q to rice Euroean and American otions on stocks and stock indexes aying a continuous dividend yield q; b = 0 to rice Euroean and American otions on futures; b = r r f to rice Euroean and American currency otions (r f risk-free rate of the foreign currency. Put At exiration date: i ni i, n = max( X S u d,0, i = 0,,..., n At each revious ste: Euroean exercise f [ f + f ] r t i, j = e i+, j+ ( i, j+ American exercise f i ji r t ( X S u d, e [ f + ( f ] i, j = max i+, j+ i, j+ Delta Given the f, values calculated for the rice, Delta aroximation is i j f = S f, f,0 = S u S d Gamma Gamma aroximation is γ = f = S heta [( f, f, ( S u S u d ] [( f, f,0 ( S u d S d ] 0.5( S u S d heta can be aroximated as f,0 f θ = t Vega, Rho 0,0 System uses the numerical differentiation to calculate the Greeks. Imlied volatility System numerically finds imlied volatility. Otions in CQG

23 Page 7 Garman-Kohlhagen Model his model, develoed to evaluate currency otions, considers foreign currencies analogous to a stock roviding a known dividend yield. he owner of foreign currency receives a dividend yield equal to the risk-free interest rate available in that foreign currency. he model assumes rice follows the same stochastic rocess resumed in the Black-Scholes model. his model is used to evaluate otions written on currencies. he interest rate of the native currency is used as the default, but you can set the foreign interest rate in Model references. his model corrects the difference between native and foreign interest rates. However, as a modification of Black-Scholes model, it ossesses all its limitations. Notation C P U E r r f t ν heoretical value of a call heoretical value of a ut Underlying rice Strike rice Interest rate Interest rate in the foreign country ime to exiration in years Volatility he Euroean call rice is given by: C r f t = Ue rt N ( h Ee N ( h ν t Where: ln( U / E + ( r r h = ν t + ν / t he Euroean ut rice is given by: P = Ue r f t f rt N( h + Ee N( ν t h Otions User Guide

24 Page 8 Merton Model In 973, Merton roduced a model with a non-constant interest rate. He assumed that interest rates follow a secial tye of random rocess. By taking into consideration the dynamic rocess of interest rate determination, and the correlation between the underlying rice and the otions rice, this model rovides an imrovement over the Black-Scholes model. his model is generally used to value Euroean otions written on stocks. Notation C P U E t N(x ν heoretical value of a call heoretical value of a ut Underlying rice Strike rice ime to exiration in years Cumulative normal density function Volatility ν R(t ρ Volatility of an interest rate contract Interest rate Correlation between the underlying and interest rate contracts he theoretical values for Euroean calls and uts are: C = UN( h B( t EN( h ϑ t P = UN ( h + B( t EN ( ϑ t h Where: ln( U / X ln B( t + ϑ( t / h = ϑ t t ϑ( t = ( ν + ν ρνν dt 0 B( t = e R( t t Otions in CQG

25 Page 9 Otions User Guide Whaley Model he quadratic aroximation method by Baron-Adesi and Whaley (987 can be used to rice American otions. heov Call < + = = * * * / (,,,,, ( (,,,,, ( S S when X S S S when S S A b r X S C stoks on otions r b when b r X S C c q GBS GBS where b the cost-of-carry rate; b = r to rice otions on stocks. b = r q to rice otions on stocks and stock indexes aying a continuous dividend yield q b = 0 to rice otions on futures. b = r r f to rice currency otions (r f risk-free rate of the foreign currency. C GBS the generalized Black-Scholes call heov exression; ( [ ] ( * ( * S d N e q S A r b = b X S S d + + = / ( / ln( ( / 4 ( ( K M N N q + + = / r M = / b N = r e K = S * the critical commodity rice for the call otion that satisfies ( [ ] (,,,,, ( * ( * * * S d N e q S b r X S C X S r b GBS + = he last equation should be numerically solved to find S *. Put > + = ** ** ** / (,,,,, ( S S when S X S S when S S A b r X S P q GBS

26 Page 0 where P GBS the generalized Black-Scholes ut heov exression; S A = q ** ( br ** [ e N( d ( ] S q ( N = ( N + 4 M / K S ** the critical commodity rice for the ut otion that satisfies X S ** = P GBS ( S ** S, X,, r, b, q ** ( br ** [ e N( d ( S ] he last equation should be numerically solved to find S **. Delta Call = GBS GBS ( S, X,, r, b, ( S, X,, r, b, + A q S q /( S * q when b = r ( otions on stoks when S < S when S S where GBS - the generalized Black-Scholes call exression. * * Put = S, X,, r, b, + A q ** q GBS ( q S /( S when S > S ** when S S ** where GBS - the generalized Black-Scholes ut exression. Otions in CQG

27 Page Gamma Call Γ Γ = Γ 0 Put Γ Γ = 0 GBS GBS GBS ( S, X,, r, b, ( S, X,, r, b, + A q ( q S q /( S q ** q ( S, X,, r, b, + A q ( q S /( S Vega Call VegaGBS ( S, X,, r, b, Vega = Numerical differentiation 0 * q when b = r ( otions on stoks when S < S when S S when S > S when S S * ** ** * when b = r ( otions on stoks when S < S when S S Put Numerical differentiation when S > S Vega = 0 when S S heta Call ΘGBS ( S, X,, r, b, Θ = Numerical differentiation 0 where Θ GBS - the generalized Black-Scholes call Θ exression. Put * * when b = r ( otions on stoks when S < S Numerical differentiation when S > S Θ = 0 when S S where Θ GBS - the generalized Black-Scholes ut Θ exression. * when S S ** ** * ** ** Otions User Guide

28 Page Rho Call ρ GBS ( S, X,, r, b, ρ = Numerical differentiation 0 where ρ GBS - the generalized Black-Scholes call ρ exression. Put when b = r ( otions on stoks when S < S * when S S Numerical differentiation when S > S ρ = 0 when S S where ρ GBS - the generalized Black-Scholes ut ρ exression. Imlied volatility System numerically finds imlied volatility. Imlied volatility can t be calculated for call otion if otion value is less than (underlying rice - strike. Imlied volatility can t be calculated for ut otion if otion value is less than (strike - underlying. * ** ** Otions in CQG

29 Page 3 Exotic Otion Models For further reading, we suggest: he Comlete Guide to Otion Pricing Formulas. ISBN Barrier Otions, Binary/Digital Otions, and Lookback Otions at Standard (Vanilla Barrier here are two kinds of the barrier otions: In = Paid for today but first come into existence if the underlying rice hits the barrier H before exiration. Out = Similar to standard otions excet that the otion is knocked out or becomes worthless if the underlying rice hits the barrier before exiration. heov In Barriers Down-and-in call c(x>=h = C + E η =, φ = c(x<h = A B + D + E η =, φ = U-and-in call c(x>=h = A + E η = -, φ = c(x<h = B C + D + E η = -, φ = Down-and-in ut (X>=H = B C + D + E η =, φ = - (X<H = A + E η =, φ = - U-and-in ut (X>=H = A B + D + E η = -, φ = - (X<H = C + E η = -, φ = - Out Barriers Down-and-out call c(x>=h = A C + F η =, φ = c(x<h = B D + F η =, φ = Otions User Guide

30 Page 4 Otions in CQG U-and-out call c(x>=h = F η = -, φ = c(x<h = A B + C D + F η = -, φ = Down-and-out ut (X>=H = A B + C D + F η =, φ = - (X<H = F η =, φ = - U-and-out ut (X>=H = B D + F η = -, φ = - (X<H = A C + F η = -, φ = - where ( ( x N e X x N e S A r r b = φ φ φ φ φ ( ( ( x N e X x N e S B r r b = φ φ φ φ φ ( ( ( y N S H e X y N S H e S C r r b = + η η φ η φ µ µ ( ( / ( / ( ( ( y N S H e X y N S H e S D r r b = + η η φ η φ µ µ ( ( / ( / ( ( ( [ ] y N S H x N e K E r = η η η η µ / ( ( ( [ ] z N S H z N S H K F + = + λ η η η λ µ λ µ / ( / ( X S x + + = µ ( / ln( H S x + + = µ ( / ln( ( ( X S H y + + = µ ( / ln ( S H y + + = µ ( / ln S H z + = λ / ln( / µ = b

31 Page 5 r λ = µ + K ossible cash rebate, b the cost-of-carry. b = r to rice otions on stocks. b = r q to rice otions on stocks and stock indexes aying a continuous dividend yield q b = 0 to rice otions on futures. b = r rf to rice currency otions (rf risk-free rate of the foreign currency. Delta, Gamma, Vega, heta, Rho he system uses the numerical differentiation to calculate the Greeks. Imlied volatility he software shall numerically find imlied volatility. Otions User Guide

32 Page 6 Asset-or-Nothing Binary At exiry, the asset-or-nothing call otion ays 0 if S <= X and S if S > X. Similarly, a ut otion ays 0 if S >=X and S if S < X. heov Call c = S e Put = S e where ( br ( br N( d N( d ln( S/ X + b+ d = b the cost-of-carry. b = r b = r q b = 0 b = r rf Delta to rice otions on stocks. to rice otions on stocks and stock indexes aying a continuous dividend yield q to rice otions on futures. ( br nd ( call = e ( Nd ( + ( br n( d ut = e ( N( d Gamma e Γ = call Γ = ut ( br ( br e n d to rice currency otions (rf risk-free rate of the foreign currency. d nd ( ( S d ( ( S Otions in CQG

33 Page 7 Vega ln( S / X + b = ( ( br Vcall Se n d ln( S / X + b = ( ( br Vut Se n d heta Θ Θ call ut Rho ρ ρ ρ ρ call ut call ut = S e = S e n( d ln ( b r N( d + ( S / X ( br n( d ln ( b r N( d ( S / X + b + + b + ( br ( br Se n( d = b 0 ( br Se n( d = b 0 r = Se N( d b = 0 r =Se N( d b = 0 Imlied volatility o find imlied volatility the following equations should be solved for the value of sigma: Call c = S e Put = S e ( br ( br N( d N( d System numerically solves these equations. Otions User Guide

34 Page 8 Otions in CQG Floating Strike Lookback he Lookback models are used to rice Euroean lookback otions on stocks without dividends, stocks and stock indexes aying a continuous dividend yield and currency otions. A floating strike lookback call gives the holder of the otion the right to buy the underlying security at the lowest rice observed, Smin, in the life of the otion. Similarly, a floating strike lookback ut gives the otion holder the right to sell the underlying security at the highest rice observed, Smax, in the otion s lifetime. heov Call + + = ( ( ( min min ( a N e b a N S S b e S a N e S a N e S c b b r r r b where b the cost-of-carry; b = r to rice otions on stocks; b = r q to rice otions on stocks and stock indexes aying a continuous dividend yield q; b = r r f to rice currency otions (r f risk-free rate of the foreign currency; b S S a + + = / ( / ln( min a a = Put + + = ( ( ( max ( max b N e b b N S S b e S b N e S b N e S b b r r b r where b S S b + + = / ( / ln( max b b =.

35 Page 9 Delta, Gamma, Vega, heta, Rho he system uses the numerical differentiation to calculate the Greeks. Imlied volatility he system uses numerically find imlied volatility. Otions User Guide

36 Page 30 Otions in CQG Fixed Strike Lookback In a fixed strike lookback call, the strike is fixed in advance, and at exiry the otion ays out the maximum of the difference between the highest observed rice, Smax, in the otion lifetime and the strike X, and 0. Similarly, a ut at exiry ays out the maximum observed rice, Smin, and 0. heov Call when X > S max + + = ( ( ( ( d N e b d N X S b e S d N e X d N e S c b b r r r b where b the cost-of-carry; b = r to rice otions on stocks; b = r q to rice otions on stocks and stock indexes aying a continuous dividend yield q; b = r r f to rice currency otions (r f risk-free rate of the foreign currency; b X S d + + = / ( / ln( d d = when X <= S max = ( ( ( ( max max ( max e N e b e N S S b e S e N e S e N e S X S e c b b r r r b r where b S S e + + = / ( / ln( max e e = Put when X < S min + + = ( ( ( ( d N e b d N X S b e S d N e S d N e X b b r r b r when X>=S min

37 Page 3 Otions User Guide = ( ( ( ( max min ( min f N e b f N S S b e S f N e S f N e S S X e b b r r r b r where b S S f + + = / ( / ln( min f f = By defining the following variables all four formulas can be combined into one: z - otion tye adjustment, = otion ut otion, call z rice extreme observed, S = ut otion; calculating a if, otion, call calculating a if min max, S S S rice limit, S L < > = otherwise;, for uts, for calls or if, X X S X S S S L Now the formulas transform into: ( + = = = b d N(z S/S d N(z e b S d N(z S X S e z d N(z e b d z N S S b e S z d N(z e S z d N(z e S z X (S e z heov b L b L L r b b r r r (b L r L max Delta, Gamma, Vega, heta, Rho he system uses the numerical differentiation to calculate the Greeks. Imlied volatility he systems finds imlied volatility numerically.

38 Page 3 Otions in CQG Interest-Rate Otion Models For further reading, we suggest he Comlete Guide to Otion Pricing Formulas. ISBN he Vasicek Model he Vasicek (977 model is a yield-based one-factor equilibrium model. he model allows closed-form solutions for Euroean otions on zero-couon bonds. heov Call ( ( h N P X h N P L c τ = Put ( ( h N P L h N P X + = τ where L bond rincial (i.e. face value, τ bond time to maturity, P = P(, τ P(τ P =, P(-the rice at time zero of a zero-couon bond that ays $ at time, ln X P P L h τ + = d = ( ( a e e a d a a ( = τ r B e A P = ( ( ( where r the initial risk-free rate a e B a = ( ( ( = a B a b a B A 4 ( / ( ex (

39 Page 33 Otions User Guide a the seed of the mean reversion, b the mean reversion level. Delta Since, Delta is the otion value sensitivity to small movements in the underlying rice then Call ( ( ( P h n P L h N X h n X P c = = τ Put ( ( ( P h n P L h N X h n X P + + = = τ Gamma Gamma is identical for ut and call otions. ( ( P h h n X h P h n P L P τ + = Γ = Vega System uses the numerical differentiation to calculate Vega. heta System uses the numerical differentiation to calculate heta. Rho Since the rice at time zero of a zero-couon bond that ays $ at time t is r t B e t A t P = ( ( ( then P B P = τ τ τ P B P = B B h τ = where τ B(τ B =, B = B( Call

40 Page 34 Otions in CQG ( ( ( ( B B h n P X h N B P X h N B P L B B h n P L r c ρ τ τ τ τ τ + = = Put ( ( ( ( B B h n P X h N B P X B B h n P L h N B P L r ρ τ τ τ τ τ + + = = Imlied volatility System numerically finds imlied volatility.

41 Page 35 Otions User Guide he Hull and White Model he Hull and White (990 model is a yield-based no-arbitrage model. his is extension of the Vasicek model. he model allows closed-form solutions for Euroean otions on zero-couon bonds. heov Call ( ( h N P X h N P L c τ = Put ( ( h N P L h N P X + = τ Where L bond rincial (i.e. face value, τ bond time maturity, P = P(, τ P(τ P =, P( - the rice at time zero of a zero-couon bond that ays $ at time, ( ( ln X P P L h τ + = ( ( a e e a a a ( = τ a the seed of the mean reversion. Unlike Vasicek model, P and P τ are inut arameters. Delta Call ( ( ( P h n P L h N X h n X P c = = τ Put ( ( ( P h n P L h N X h n X P + + = = τ

42 Page 36 Otions in CQG Gamma Gamma is identical for ut and call otions. ( ( P h h n X h P h n P L P τ + = Γ = Vega Because ( ( x n x n = ( ( τ h h n P X h h n P L c Vega + = = = heta Call = Θ = r g h n P X h N P r X r g h n P L c τ ' ( ( ' ( = X P P L g τ ln ( P r ln = Put = Θ = r g h n P L r g h n P X h N P r X τ ' ( ' ( ( where ( ( ( + = a a a a a e a e e a e e ( ( ' τ τ

43 Page 37 Otions User Guide Rho Since, the rice at time zero of a zero-couon bond that ays $ at time t is r t e t P = ( then P P = τ τ P τ P = h τ = Call ( ( ( ( h n P X h N P X h N P L h n P L r c τ τ τ ρ τ τ + = = Put ( ( ( ( h n P X h N P X h n P L h N P L r τ τ τ ρ τ τ + + = = Imlied volatility he system finds imlied volatility numerically.

44 Page 38 he Ho and Lee Model Ho and Lee (986 model is the no-arbitrage model. he model allows closed-form solutions for Euroean otions on zero-couon bonds. heov Call c = L Pτ N( h X P N( h Put X P N( h + L P N( h = τ Where L bond rincial (i.e. face value, τ bond time maturity, P = P(, P τ = P(τ, P( - the rice at time zero of a zero-couon bond that ays $ at time, h = L P( τ ln + P( X = τ ( he distinctions from Vasicek model are - P and P τ are inut arameters, - exression is different. Delta Call c = P = X n ( h X N( h L P n( h τ P Put h h = = LP n( h + X n( h P P P τ Otions in CQG

45 Page 39 Otions User Guide Gamma Gamma is identical for ut and call otions. ( ( + + = Γ = P h n X P h n P L P τ Vega Because ( ( x n x n = ( ( τ h h n P X h h n P L c Vega + = = = heta Call = Θ = r g h n P X h N P r X r g h n P L c τ ' ( ( ' ( = X P P L g τ ln ( P r ln = Put = Θ = r g h n P L r g h n P X h N P r X τ ' ( ' ( ( where [ ] 3 ' = τ,

46 Page 40 Otions in CQG Rho Since the rice at time zero of a zero-couon bond that ays $ at time t is r t e t P = ( then P P = τ τ P τ P = h τ = Call ( ( ( ( h n P X h N P X h N P L h n P L r c τ τ τ ρ τ τ + = = Put ( ( ( ( h n P X h N P X h n P L h N P L r τ τ τ ρ τ τ + + = = Imlied volatility he system finds imlied volatility numerically.

47 Page 4 Sread Otions Model For an overview of sread otions, we suggest: he Comlete Guide to Otion Pricing Formulas. ISBN Sread Otions at Kirk s Aroximation he aroximation method by Kirk (995 can be used to rice Euroean sread otions on futures. heov Call rice is c = r r ( F + X e ( F N( d N( d = e ( F N( d ( F + X N( d Put rice is = where d d r ( F + X e ( N( d F N( d ln( F + = = d ( /, F F = F + X,, and the volatility of F is aroximated by the combined value:,. = F F F X + κ + F + X F rice on futures contract, F rice on futures contract, volatility of futures, volatility of futures, κ - correlation between the two futures contracts. However, it should be noted that both formulas for c and above can be easily calculated using generalized Black-Scholes equation. Notice that if we take S = F K = F + X Otions User Guide

48 Page 4 Otions in CQG, and is calculated by the formula above than c may be exressed as ( ( d N Xe d N Se c c r r BS = =, which is exactly identical to BS equation. Similar is true for. hat also imlies that some of Greeks can be calculated by the corresonding BS formulas. Prior to giving formulas for Greeks lets introduce a few heler equations which may hel in imlementing the formulas found across the section. = β X F F +, thus simlifying β κ β + =. Put-call arity in Kirk s model is exressed as: ( F X F e c r + + =. Below are some artial derivatives used in equations ( = = F F d F d. he first derivative of sigma by the rice of the second futures is: ( X F X F + = κ β. he second derivative of sigma by the rice of the second futures is a bit more comlex and is: ( ( ( = 3 F X F X F X X F X F β κ. Partial derivatives of,d d by the rice of the second futures are also useful to have. hose are: ( X F d F F d + =, ( X F d F F d + =. Also, some artial derivatives of the combined volatility are as follow: βκ =, = κ β β,

49 Page 43 Otions User Guide β κ =. Finally it should be noted that 0 / ( ( = F d n d n, and hence: ( ( d n d n F =. Delta, Delta Each delta is calculated with resect to the corresonding asset rice movement. Sensitivity of call otion rice to rice change of the first futures is: ( d N e F c r c = =. Sensitivity of call otion rice to rice change of the second futures is: ( ( + + = = ( F d n X F d N e F c r c. By virtue of call-ut arity given above the following exressions are true for ut otion Deltas. Sensitivities of ut otion rice to rice change in rice of either the first or the second futures are, resectively: r c e F = =, r c e F + = =. Gamma, Gamma Each gamma is calculated similar to delta, with resect to the corresonding asset rice movement. he equation is identical for call and ut: ( [ ] ( [ ] ( F d n e d d n F d d n F e r r c = + + = = Γ Γ he gamma with resect to the second futures rice is identical for call and ut and is exressed as: ( ( = = Γ Γ F F d d F X F F F d d e r n c.

50 Page 44 Vega he vega is chosen to reflect sensitivity of the sread rice with resect to movement of value of the combined volatility : Vega = F e heta n( d r. Call Θ = r c + g, Put Θ = r + g, where F + X g = e r F n ( d ( F ln + n ( d ( F ln + = e r F + X n ( d e r = n( d F Rho Call ρ = c Put ρ = Chi Chi χ (as defined in Carmona & Durrleman denotes the first derivative of otion rice by correlation coefficientκ. c = = e κ F F n ( χ r d. Otions in CQG

51 Page 45 Imlied Volatility & Correlation here is no definite way to calculate both, given a concrete sot rice. It is suosed to determine the value of the combined volatility by the standard aroach of solving the equation numerically as done in Black-Scholes model. However, it should be ossible to calculate imlied value of any of three,, κ variables rovided the other two are known. For that urose the artial derivatives of otion value by any of three variables may be required to aly Newton s equation solver, for instance. Let s denote a selected variable as ξ, which may be either of,, κ. he generic form of the artial derivative of otion value c = e ξ c is: ξ cbs F n( d = = Vega ξ ξ ξ r he exression demonstrates that values calculated with BS model can be used. Substituting ξ c c c with,, and κ the exressions for each of,, and can be obtained using the κ corresonding artial derivatives of given earlier.. Otions User Guide

52 Page 46 Cumulative Normal Distribution Function Aroximation For further reading, we suggest: he Comlete Guide to Otion Pricing Formulas. ISBN Handbook of Mathematical Functions. ISBN Abromowitz and Stegun aroximation he following aroximation of the cumulative normal distribution function N(x roduces values to within six decimal laces of the true value. When x >= 0 N(x = n(x(a * k + a * k^ + a3 * k^3 + a4 * k ^ 4 + a5 * k ^5 when x < 0 N(x = N(-x where n(x normal distribution; k = / ( * x; a = ; a = ; a3 = ; a4 = ; a5 = ; Hart s aroximation his algorithm uses high degree rational functions to obtain the aroximation. his function is accurate to double recision (5 digits throughout the real line. Otions in CQG

53 Page 47 Numerical Methods for Solving Equations he system offers several methods of the solving of the nonlinear equations. For further reading, we suggest Numerical Recies: he Art of Scientific Comuting, 3 rd ed. ISBN-0: Bisection Method he bisection method is a simle iterative root-finding algorithm. he method convergence is linear, which is quite slow. On the ositive side, the method is guaranteed to converge. Newton s Method Newton's method, also called the Newton-Rahson method, is an iterative root-finding algorithm. he method convergence is usually quadratic, however it can encounter roblems for function with local extremes. Newton's method requests that function is differentiable. Newton Safe Method Newton Safe method is an iterative root-finding algorithm, which combines the bisection and Newton s methods. he method, however if function has local extremes convergence can be linear. Like Newton's method, Newton safe method requests that function is differentiable. Brent s Method Brent s method is an iterative root-finding algorithm. his method is characterized by quadratic convergence in case of smooth functions and guaranteed linear convergence in case of non-smooth or sohisticated functions. Otions User Guide

54 Page 48 Numerical Differentiation he first derivative shall be calculated as df dx f f h i+ i x= x i he first derivative reresents instantaneous rate of change, which is limit of average rate of change where h is the small time interval, h=the time between oint t and oint t+=δt as (delta the second derivative shall be calculated d f dx x xi f i+ fi + h f i Otions in CQG

55 Page 49 rading Otions rading with CQG IC is exlained in detail in our trading user guide. As an otions trader, you may want to: Add a Greek column to DOMrader (rading Preferences > Dislay > Greek column for otions Highlight theoretical value on the DOMrader (rading Preferences > Dislay > Price Column Select on otions model (rading Preferences > Dislay > Otions Use theoretical value to calculate UPL/MVO (rading Preferences > Dislay > Status DOMrader and Order icket have otions-secific comonents. he current strike rice is dislayed, and you can change the model and Greeks directly on the trading alication. he Account Summary area of Orders and Positions also has otions-secific data. Note about otions rices on DOMrader You may wonder why rice calculations sometimes differ between the otions window and DOMrader. As exected, the rice on the otions window is calculated using market data and shows the current value of the Greek for a single rice. DOMrader offers an entire ladder of rices. Excet for the single cell where the last trade occurred, other rices are otential rices at which the otions contract may be traded later, if the market moves in that direction. Because we cannot calculate an actual rice for a future state, we use redictive mathematics to derive those otential rices. o calculate Delta for a otential rice of C.EP U3350 away from the current market (say, at 400, we use the rice of the underlying instrument F.EPU and other characteristics of the F.EP market movement that would result in market of C.EP U3350 moving to 400. hus, we are trying to redict what the value of Delta would be then if the otion rice achieves 400. CQG uses a comlex algorithm to make that rediction. Otions User Guide

56 Page 50 Because of this difference in calculation, the rices on the otions window may be different from the rices on DOMrader. Otions in CQG

57 Page 5 Setting Otions Preferences o set otions references, click the Setu button and then click Otions Preferences. You can also click the Prefs button on the Otions toolbar. o start, select the model and where to aly these references. If you select DDE & Oerator values, changes aly to other areas where otions are used, such as custom studies. Click the Summary button to view, rint, and save (.dat file the current settings. Click the Defaults button to return to default values. Other Otions references include (tabbed area at bottom of window: View settings allow you to show or hide Greek and imlied volatility scales, order columns, and set extended coloring arameters. Volatility settings allow you to set the imlied volatility tye, evaluation method for average volatility, and select a volatility calculation tye. Interest Rate settings allow you to set the interest rate for various currencies. Price Filter settings allow you to select which rice to use for underlying and otion. You can also choose to use most recent settlement rices. Otions User Guide

58 Page 5 Greeks Scale settings allow you to set the rice scale, time direction, and time scale and to choose ercent or fractions for imlied volatility and delta and gamma. Advanced settings allow you to select the underlying contract tye and increase days to exiration. Model settings allow you to define arameters for each model. Udate Frequency settings allow you to set the refresh eriod for average volatility, interest rate, and new/removed contract and to set udate delays for theoretical value and the Greeks. Setting Otions Preferences

59 Page 53 Setting Otions Window View Preferences View settings allow you to show or hide Greek and imlied volatility scales, order columns, and set extended coloring arameters for old and stale. Aearance Select this check box to dislay the scale setting (ercent or fraction in the header. Column order Click the Months check box to arrange the columns by month. Click the Puts/Calls check box to arrange the columns so that all calls columns come before uts columns. Extended Coloring: Mark as Set the threshold for old rices and stale movement. Otions User Guide

60 Page 54 Setting Otions Calculator View Preferences Degree of Polynomial Enter a value u to 8. he higher value, the slower the drawing of the grah but the better the curve fits the Volatility Skew grah. Points to Plot Enter a value u to 0. he higher the number, the slower the drawing of the grah but the higher the definition. Setting Otions Preferences

61 Page 55 Setting Volatility Worksho View Preferences Show Choose the elements to add to the Volatility Worksho dislay: Yesterday curve, Yest. IVs, Call/Put curve, or Net Change. Each of these becomes an additional row in the table about the grah and are dislayed on the grah. he curves are added to the grah. Yesterdays IV (each otion s settlement IV is reresented as circles on the grah. Net change is reresented as a vertical line between the current IV and yesterday's settlement IV. Strikes Range Exand the curves on the left and right side by a designated ercentage. his facilitates estimating the IVs of otions that have not yet been listed. For examle, if the range rior to the exansion was from 000 to 3000 and the range was exanded on the right side by 0 ercent, the new range would be from 000 to 300 [(.*( ]. Otions User Guide

62 Page 56 X-Axis tye Select the variable reresented by the X-axis: Strike Price or Delta. Mark as Set the threshold for old rices, in hours, and stale movement, in ercent. Setting Otions Preferences

63 Page 57 Setting Strategy Analysis View Preferences Dislay tye Select whether to dislay the P&L grah using rofit/loss as a function of the underlying rice or value of the ortfolio as a function of rice. Otions User Guide

64 Page 58 Setting Volatility Preferences Volatility settings allow you to set the imlied volatility tye, evaluation method for average volatility, and select a volatility calculation tye. Volatility for calculation Select one of: Aly vol surface = 3-D value from the Volatility Worksho Aly vol curve = -D value from the Volatility Worksho Use IV for Greeks&heoV = Used in conjunction with the Imlied Volatility ye, raded or Momentary. Use IV for Greeks = Used in conjunction with the Imlied Volatility ye, raded or Momentary. Use Average Vol = Used in conjunction with the Average Volatility evaluation method. he average volatility using Put-Call Searate and Put-Call Combined is calculated by taking a weighted average of the imlied volatilities for the strikes encomassing the at-the-money-strike. For examle, with the underlying at and the imlied volatility of the calls at 6.0 and the imlied volatility of the calls at 5.4 the average call volatility would be:.6( (5.4 = his volatility would be used to value all the calls. he average ut volatility would be calculated the same way and that value would be used to value the uts. If the Put-Call Combined choice were selected, the call volatility and ut volatility would be averaged and that volatility would be used for all the otions series of that articular underlying. Please note that theoretical value cannot be calculated using imlied volatility. If you select the Use imlied volatility checkbox, CQG uses imlied volatility to calculate all the values excet theoretical value, where it uses one of the selections from the drodown list: Put-Call Searate, Put-Call Combined or Historical. However, if the Use imlied volatility box is not selected, all the values are calculated using one of the three methods. Setting Otions Preferences

65 Page 59 Imlied Volatility ye Select one of: raded = Matches the otions rice with the underlying rice, based on a time when the two rices were in sync, that is, the otions rice haened no later than 3 hours after the underlying rice. his could lead to a value that is in sync but not current. Using this value involves taking the synced underlying rice (also referred to as the coherent underlying rice, which is the close of the underlying instrument during the minute rior to the last otion tick. However, if the underlying has not traded during this minute, the system uses the underlying tick closest to the time of the otion trade, as long as it haened during the current trading day. If the otions rice is a closing value, the settlement rice for the underlying is used as the coherent underlying rice. Momentary = Matches the otions tick with the nearest tick in the underlying, even if the underlying trade haened after the otions rice. Volatilities calculated this way may be off by a large amount if the underlying trade took lace substantially before or after the otions trade. If you select this value, the calculation uses the most current underlying rice and the most current otions rice. Volatilities calculated this way may be off by a large amount, if the underlying rice has changed significantly since the last otions tick. In other words, momentary imlied volatility takes the most current underlying tick without matching it to the time of the otions. his may or may not result in the same volatility as the traded imlied volatility. hese selections are global, which means they aly to all models. (Imlied volatility selections made on the Model tab are only relevant to the selected model. Average volatility Select one of: Put-Call Searate = wo values, one for the calls and one for the uts, are calculated and given searately. hese values are then used as the volatility inut for the selected otions model. Put-Call Combined = he searate call and ut volatilities are averaged together and one value is given. his value is then used as the volatility inut for the selected otions model. Historical Volatility = Reresents the standard deviation of a series of rice changes measured at regular intervals. You define the Historical Volatility using either Percent or Logarithmic rice changes. Percent changes assume that rices change at fixed intervals. Logarithmic changes assume that rices are continuously changing. Historical Volatility requires a eriod value. Constant value requires a ercentage value. Constant Volatility = If selected, you must also select a ercentage for the volatility. For examle, if the selected contract was trading at 300 and the volatility value selected was 0%, you would be imlying an underlying rice of 300+ or - 0%, i.e., over the next year. Otions User Guide

66 Page 60 Setting Interest Rate Preferences hese settings allow you to set the interest rate for various currencies. First, select the currency using the dro down menu, then select the tye of interest rate and set the value. Setting Otions Preferences

67 Page 6 Setting Price Filter Preferences hese settings allow you to select the otions and underlying rices that are used for the otions dislays. You can also choose to use most recent settlement rices. Use Most Recent Settlement Prices When you click this button, the system disables the other choices and yesterday's settlement rice is used. If the market has already closed for the day, then today's settlement rice is used. Yesterday Select this button to use yesterday s closing rice. No Filtering Click this button to use the most current Bid, Ask, Last rade, or Yesterday's Close as the oerative otion rice. Otion rice and Underlying rice Select the rice tye for both the Otion and the Underlying rice: Bid, Ask, Bid/Ask average, Last rade, and Yesterday s Close. If more than one rice is selected, the system uses the most current of the selected rices. For examle, if only Last rade and Yesterday's Close are selected, the last trade aears as long as that trade took lace in the current day's session. Likewise, if Bid or Ask is selected along with Last rade, the most recent Bid or Ask aears as long as it is more recent than the last trade. If not, the last trade aears. Otions User Guide

68 Page 6 Setting Greeks Scale Preferences Greeks Scale settings allow you to set the rice scale, time scale, and time direction and to choose ercent or fractions for imlied volatility and delta and gamma. Price Scale Select Decimal, Normalized, Currency, or ick Units. ime Scale he time scale alies to heta values. Select Days or Years. Years multilies the daily heta value by 365. Imlied Volatility Select Percents or Fraction. ime direction he time direction alies to heta values. Select Direct time or ime left to exiration. If Direct ime is selected, negative heta values are reorted rather than ositive. Delta and Gamma Select Percents or Fraction. Setting Otions Preferences

69 Page 63 Setting Advanced Preferences Advanced settings allow you to select the underlying contract tye and increase days to exiration. Not all otions are available for all models: Black, Black-Scholes, Bourtov, and Garman-Kohlhagen Modifications only Whaley Modifications and Dividends amount Merton Modifications, Underlying contract tye, Dividends amount Cox-Ross-Rubinstein All Contract style Select American or Euroean. Underlying contract tye Select Futures or Indices, Stocks, etc. or click the select automatically check box. ye a value for the ercentage of the underlying rice for the dividends amount. Modifications ye a value for how many days you want to increase the exiration by. You can also use the arrows. his is useful for contracts that are deliverable or settle after the last trading day. Otions User Guide

70 Page 64 Setting Model Preferences Model settings allow you to define arameters for each model. he arameters you set here aly to the model you have selected at the to-right of the window. For each arameter, either select a new value from the list (click the field to oen the menu or enter a new value. Setting Otions Preferences

71 Page 65 Setting Udate Frequency Preferences Because Greek values generally change slowly and udating them takes a lot of rocessing time, CQG IC offers you the oortunity to set otimal udate frequencies based on your references. Udate Frequency settings allow you to set the refresh eriod for average volatility, interest rate, and new/removed contract and to set udate delays for theoretical value and the geeks. hese reference do not aly to the Otions Calculator. Delayed udates for model values his setting allows you to delay udates for articular model values. Select the check box, then enter delays, in seconds, for the theoretical value; Delta & Gamma; and Vega, heta, Rho. If this check box is cleared, the system udates the Greek and heoretical values whenever there is a relevant change in the data. Refresh eriod for Enter refresh eriods for Average Volatility, Interest Rate, and New/Removed Contracts. Otions User Guide

72 Page 66 Udating the Refresh Rate he refresh rate is different from the udate frequency rates set in references. While frequency rates dictate when calculations are udated, the refresh rate dictates when the articular otions window view is udated. o change the udate rate. Click the Setu button.. Click Udate Rate. 3. Click the rate you want to set and enter a value for the interval. o sto udates, click the No udates button. 4. Click OK. Setting Otions Preferences

73 Page 67 Otions Window he Otions Window has three views: Standard Greek heoretical versus Underlying. he Standard view changes based on the value you want dislayed: LPrice, heov, Delta, Gamma, heta, Vega, IV, Oen Int, and Volume. You can customize these views, so that they dislay information relevant to you. he title bar indicates which view is active. o oen the Otions window, click the OtWnd button on the toolbar. If the button is not dislayed, then click the More button, and then click Otions. You can also click the Otions button and then click Otions Window. Otions User Guide

74 Page 68 Standard view Data in the to row includes: UndPr = underlying rice DE = number of calendar days until exiration Ex = exiration date Vol = default volatility used for calculations, default values is set in Otions references: Otions Window

75 Page 69 IVS = imlied volatility shift, sets the increase or decrease of all imlied volatility values IR = default interest rate calculated by taking near term -Bill rice Data in the bottom row includes the strike rice, the bid or ask rice, and then a value based on your settings. For examle, if the LPrice button is selected, then this value is last rice net change. If the heta button is selected, last rice and theta is dislayed. In this examle: ink text = yesterday extended colors red text = daily net down green text = daily net u Colors can be changed. Otions User Guide

76 Page 70 Greek view he Greek view dislays data for one month s call or ut. Data in the to row includes: UndPr = underlying rice DE = number of calendar days until exiration Ex = exiration date Vol = default volatility used for calculations IVS = imlied volatility shift, sets the increase or decrease of all imlied volatility values IR = default interest rate calculated by taking near term -Bill rice You can choose the columns to be dislayed. Move to another month by clicking the <<>> button. Move between calls and uts by clicking the Calls button and the Puts button. Note: CQG uses coherent ('at the time" rice evaluation to calculate Greek values. In other words, the system uses the underlying value at the time the otion traded to calculate Greek values. Otions Window

77 Page 7 heoretical versus underlying (/U view he /U view dislays data according to strike rice. Data in the to row includes: UndPr = underlying rice DE = number of calendar days until exiration Ex = exiration date Vol = default volatility used for calculations IVS = imlied volatility shift, sets the increase or decrease of all imlied volatility values IR = default interest rate calculated by taking near term -Bill rice Otions User Guide

78 Page 7 Otions Window oolbar he Otions toolbar includes these buttons: Greek button Dislays the comosite Greek age. heoretical Versus Underlying button Dislays the current theoretical value for a series of otion strikes shown on the horizontal axis versus a range of underlying futures rices shown on the vertical axis. Last Price button Dislays the last rice and the net change from the revious trading day's close for each otion series. heov button Dislays the current theoretical value and the difference between the current rice (last rice and the current theoretical value of the otion. Delta button Dislays last rice and delta. Gamma button Dislays last rice and gamma. heta button Dislays last rice and theta. Vega button Dislays last rice and vega. Imlied Volatility button Dislays the last rice with the current imlied volatility for each series of the underlying index or commodity. Otions Window

79 Page 73 Oen Interest button Dislays the last rice and oen interest for each otion series. Volume button Dislays the last rice and volume for each otion series. WhatIf button Oens the Otions Parameters window. Actuals button Coies the values from the Actual column to the What if column without closing the window. Calls button Changes a Greek or /U dislay from uts to calls. Puts button Changes a Greek or /U dislay from calls to uts. <<>> button Right-click the <<>> button to move forward to month after the one currently dislayed. Once you reach the last available month, the button then moves you back. he direction is indicated by the << button. Click the << button to move back to the month before the one currently dislayed. Once you reach the first available month, the button again moves you forward. he direction is indicated by the >> button. hese buttons are active with the Greek and heoretical versus Underlying views. Otions User Guide

80 Page 74 Pause button Pauses data udates and value recalculations. Otions dislays constantly udate during trading hours. Consequently, when the markets are active, the dislays could be changing quite raidly, not allowing you to fully digest the effects of each change. o alleviate this roblem, you can ause without losing data. Right-click this button to udate the data immediately and udate the rate. Settle button Click this button to view otions data based on the most recent settlement rice rather than the most recent tick data. Prefs button Oens the Otions Preferences window. Otions Window

81 Page 75 Customizing Columns You are able to customize the columns dislayed in the Greek view.. Click the Setu button.. Click Customize Columns. 3. Select and clear the check boxes for the columns you want to show and hide. 4. o move the columns, use the Move to o, Move U, and Move Down buttons. Otions User Guide

82 Page 76 Column Names Column Label Ask Ask Vol Bid Bid Vol Delta DeltaNC Gamma GammaNC Im Vol ImV NC Net Chg OI Price Pr-heo Rho Rho NC heo NC heoval heta hetanc ickvol ime Und Pr Vega Vega NC Volume Vol Crv Full Name Ask Price Ask Volume Bid Price Bid Volume Delta Delta Net Change Gamma Gamma Net Change Imlied Volatility Imlied Volatility Net Change Net Change Oen Interest Price Price - heoretical Value Rho Rho Net Change heoretical Value Net Change heoretical Value heta heta Net Change ick Volume ime Underlying Price Vega Vega Net Change Volume Volatility Curve Value Otions Window

83 Page 77 Changing the Order of Columns o toggle the order of the columns between months and uts/calls for the LPrice, heov, Delta, Gamma, heta, Vega and IV views: Months view:. Click the Setu button.. Select Change Order. A months view changes to uts/calls and a uts/calls view changes to months. Puts/Calls view: Otions User Guide

84 Page 78 Marking At-the-Money It s ossible to add an at-the-money indicator on the otions window. Here, you see it in orange: If there is a rice given for the strikes immediately above and immediately below the current underlying rice, the system draws a solid line between the two strikes. If there is a quote for the strike rice immediately above the current underlying rice, but no quote in the strike rice immediately below the current underlying rice, the system looks for the next lowest strike, below the current underlying rice, with a rice quote, and lace a dashed line below that rice. If there is a quote for the strike rice immediately below the current underlying, but no activity in the strike immediately above the current underlying rice, the system dislays a solid line underneath the lower strike. If there has been no activity in either strike, immediately above or immediately below the current underlying rice, the system does not dislay any at-the-money indicator. o mark the at-the-money strike:. Click the Setu button. Select Mark AM. he color of the line can be changed. Otions Window

85 Page 79 Changing the Dislay ye In addition to changing the dislay of the standard view otions window with the toolbar buttons, you can right-click the Setu button and then click the dislay you want: Otions User Guide

86 Page 80 Oening Another Alication from an Otions Window Right-click the otions window, and then click an alication name, including: ime & Sales Sna Quote Chart Otions Calculator Otions Grah Volatility Worksho Otions Window

87 Page 8 Setting What If Otions Parameters On the Otions Parameters window, you can change any or all of several variables for different series: Underlying Price, Volatility, Imlied Volatility Shift, Interest Rate, Days to Exiration (days until the most distant exiration selected in the Aly to area, and Date.. Click the WhatIf button. You can also right-click on the Otions window.. Select the series to which the changes are alied from the Aly to column. Click the All button to select every series in the selected commodity. 3. Enter the changes in the What if column. Click the New tab to create another What If set. Click the Actuals button to clear any What Ifs that have been alied to the otions window. Otions User Guide

88 Page 8 Coying Data to Excel o facilitate additional evaluation of otions data, you may decide to coy the information into a Microsoft Excel sreadsheet.. Right-click the data to be coied from the otions dislay.. Select Coy to Excel. 3. Oen the Excel alication. 4. Select the cell where the data should be asted. 5. Right-click that cell. 6. Select Paste. Note: he DDE model reference is Black. herefore, if the model chosen for the otions dislay is not Black, then the value in the Excel sreadsheet will not agree with the value in the otions dislay, unless you have selected the DDE & Oerator Values checkbox in the Aly to section of the Preferences for Otions Window. Otions Window

89 Page 83 Placing Orders from the Otions Window. Right-click on the otions window.. Click Place an Order. he Order icket, Simle Order icket, or DOMrader oens deending on your system settings. (Setu > System Preferences > Misc > Preferred Order Entry Dislay. Otions User Guide

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91 Page 85 Otions Calculator CQG designed the Otions Calculator to calculate and dislay the theoretical and Greek values of an otion contract based on user-defined What if values. You can dislay oututs for a single set of What if values or in grahical form over a continuously varying range of What ifs. o oen the Otions Calculator, click the OtCalc button on the toolbar to launch the Otions Calculator. If the button is not dislayed, click the More button, and then click Otions Calculator. You can also click the Otions button and then click Otions Calculator. Otions User Guide

92 Page 86 Otions Calculator Comonents he Otions Calculator includes these areas: itle bar Contract area Inuts area Calculate area Otions Calculator

93 Page 87 Grah area Otions User Guide

94 Page 88 Otions Calculator oolbar hese buttons are common to both the otions window and the otions calculator: Actuals Puts Calls Prev/Next Pause Settlement Prefs he Otions Calculator toolbar also includes these buttons: FullScr button Dislays the Otions Calculator grah across the entire width of the CQG window, hiding the Contract and Inut sections. Rescale button Re-adjusts the scales. Futures button Switches from an FX OC view to a futures view. Otions Calculator

95 Page 89 FXOC button Click this button to view OC Foreign Exchange contracts. he CQG FX OC Otions Calculator allows users to evaluate several tyes of OC cross currency otions. Currently users can evaluate 4 tyes of otions: Vanilla OC Sot, Exotic Vanilla Barrier, Exotic Binary AON and Exotic Lookback. o use the FX OC Otions Calculator, you must secify: a model underlying asset rice strike rice interest rate volatility days until exiration secific model arameters. When these values are given, the Otions Calculator evaluates the theoretical value or imlied volatility (if otions rice was secified and all Greeks for the "virtual contract." Otions User Guide

96 Page 90 Using the Otions Calculator Using the [ab] key (to move to the next cell and [Shift] + [ab] keys (to move to the revious cell keys facilitates moving around in the Otions Calculator. Using the Otions Calculator involves:. Selecting the desired instrument symbol.. Inutting the desired series. 3. Selecting a model. 4. Inutting the What if values (if desired. 5. Choosing a tye of grah (to tabs. 6. Selecting a view (bottom tabs. Selecting a Symbol o begin using the Otions Calculator you must: Enter the commodity symbol without any month indicator. Examle: JY Selecting the Class and Exiration Month Once you have entered the desired symbol, a dro-down list aears in the Otion row of the Contract section. Select the desired class and exiration month from the dro-down list associated with the Otion row in the Contract section. Selecting the Strike After you have selected a symbol, class and exiration month, a dro-down list aears in the Strike row. Select the desired strike rice. After a series is selected, the Actuals column is filled in with the most recent values. Note: Prices indicated by an asterisk in the Actuals column are yesterday's values. Otions Calculator

97 Page 9 Selecting a Model Otions ricing models roduce theoretical values for an otion contract based on five inuts: Underlying Price, Strike Price, ime to Exiration, Interest Rate, and Underlying Volatility. CQG offers seven basic otion models that serve as the framework for valuing otions: Black, Black-Scholes, Bourtov, Cox-Ross-Rubinstein, Garman-Kohlhagen, Merton, and Whaley.. Click the dro down arrow in the Model row in the Contract section.. Select the desired model. Or. Click the Setu button.. Select Preferences. 3. Select a model from the list. 4. Click the OK button to close the Preferences for the Otions Calculator window. Otions User Guide

98 Page 9 Inutting What Ifs he Inuts section allows you to enter new values for Underlying Price, Otions Price, Volatility, Interest Rate, Days to exiration and/or exiration Date and to see what effect those changes will have on the Greek, theoretical and imlied volatility values. You can see how imlied volatility is imacted if the rice were to change. You can also see how changes in the What if values imact rices. You can enter a number in any enabled box in the What if column. When you have chosen to calculate results for Imlied Volatility, the system relaces the Premium box with the Im. Vol. box. Changing the Exiration Date Enter either the number of days until exiration or the exiration date in the Days to Exiry box or enter the exiration date in the Date box. One adjusts based on the other. Additionally, users use the function keys to change the date: F F3 F4 Changes the date to the first day of the year. Restores the current date. Dislays the calendar, allowing users to select a date. [Enter]. Otions Calculator

99 Page 93 Viewing Summary Statistics In the Calculate Results For section of the Otions Calculator, you can view the Greek values for the selected underlying rice. Additionally, you can see the remium value when the heoretical Value radio button is selected or the imlied volatility when the Imlied Volatility radio button has been selected. Otions User Guide

100 Page 94 Using the Otions Calculator Grah he Otions Calculator allows you to view grahically the Premium, Delta, Gamma, heta, Vega, Rho and Volatility Skew as a function of Underlying Price, Days to Exiration, Interest Rate or Volatility. he dislay indicates the current X and Y values by lacing a diamond on the curve and highlighting the axis values in blue.. Click one of the to tabs (Premium, Delta, Gamma, heta, Vega, Rho or Volatility Skew to set the vertical axis value.. Click one of the bottom tabs, Und Price, Days to Exiry, Interest Rate or Volatility to establish the horizontal axis variable. Note: he bottom tabs are disabled when a Volatility Skew grah is dislayed. Premium Otions Calculator

101 Page 95 Delta Delta reresents the change in theoretical value associated with a change in the rice of the underlying. When stating delta values, CQG multilies the individual contract deltas by 00. Examle: A Delta of 86 means that the otion value will change by 86% of the underlying value. he Delta tab dislays the Delta versus Underlying Price, Days to Exiration, Interest Rates or Volatility, given the model selected, the Underlying Price, Otion Price, Volatility, Interest Rate, and Days to Exiration inuts. Otions User Guide

102 Page 96 Gamma Gamma reresents the rate of change in the delta. Examle: A Gamma of.004 means that that for every $.00 change in the value of the underlying, the delta will change by.4 Otions Calculator

103 Page 97 heta heta, also known as the time decay factor, reresents the rate of change in the theoretical value with resect to time. It is generally exressed as a negative number. Examle: A heta of -.057, for examle in the S&Ps, means that each day, solely as a result of the time decay, the otion loses.057 oints. Otions User Guide

104 Page 98 Vega Vega reresents the rate of change in theoretical value with resect to a change in volatility. Examle: A Vega of.5 indicates that an increase of one ercentage oint in the volatility of the underling would result in a ¼ oint increase in the theoretical value of the otion. Otions Calculator

105 Page 99 Rho Rho quantifies the change in theoretical value with resect to a -ercentage oint change in the interest rate. Examle: A Rho of 5.00 indicates that an increase of one ercentage oint in the assumed interest rate would result in a $5.00 decrease in the theoretical value of the otion. Otions User Guide

106 Page 00 Volatility Skew he Volatility Skew tab dislays a grah of Imlied Volatility vs. Strike Price for each currently traded strike. Additionally, it dislays a olynomial curve fit to the Imlied Volatilities calculated from yesterday s settlement rices. Contracts that have traded on the current day are dislayed in a searate user-selected color. Otions Calculator

107 Page 0 Using Cursors with an Otions Calculator Grah As in a Chart view, you can activate vertical and horizontal cursors in an Otions Calculator view. o use a vertical or horizontal cursor:. Click the horizontal (vertical scale to activate the vertical (horizontal cursor. he cursor value box is gray.. Drag the mouse to osition the cursor at the desired sot. 3. Click to anchor the cursor at the desired oint. he cursor value box turns brown. o remove a vertical or horizontal cursor:. Click an anchored cursor value box to activate the cursor.. Right click the active cursor value box. Otions User Guide

108 Page 0 Information Dislayed in an FX OC View When using the FX OC Otions Calculator, you must inut Contract, Currency, Date and Model Secific Parameter information. You can collase the Contract, Currencies Info and/or Dates-Delta in Days views, so that only the section heading shows. o collase a section view, click the button to left of the section header. o re-exand a section view, click the + button to the left of the section header. Otions Calculator

109 Page 03 Contract hese values should be entered in the Contract area: Parameter Currencies Otion ye Otions Style Call/Put Model Descrition he cross currencies being analyzed. he tye of otions being analyzed. Choices include: Vanilla OC Sot Exotic Vanilla Barrier Exotic Binary AON Exotic Lookback Describes the time restrictions relevant to exercising the otion. Values: American Otions Euroean Otions he tye of otions being dislayed. he model used. Values: Cox-Ross-Rubinstein Garman-Kohlhagen Currencies Info hese values should be entered in the Currencies Info area: Parameter Symbol Amount Sot Strike Otion Price Descrition Currency symbol, for examle, USD or EUR. Inut the amount of the first currency. he dislay then calculates the amount of the second currency, based on current market rices. Enter a theoretical sot market rice for the first currency. Enter a strike rice value. Enter a theoretical otion rice, if imlied volatility is the selected calculation value. Otions User Guide

110 Page 04 Parameter Interest Rate % Volatility% Days to Exiry Descrition Enter searate interest rates for the currencies involved. he defaults reresent the interest rates based on the settings selected in the Interest Rate tab of the Preferences window. Enter an assumed volatility value, if heoretical Value is the selected calculation value. Enter the number of days until exiration. Note: You can change the deendent and indeendent relationshi by left clicking on the currency header in the deendent column. Any values that have been derived through the CQG data line or given by a CQG data rovider are dislayed in a secial color, green by default. If you change one of these values, its color changes to black. Dates and Delta in Days he Dates and Delta in Days section dislays four dates in addition to the difference in days between the date in one row and the date in the row immediately above. he key dates are: oday Sot Date Exiry Date Delivery Date You can enter either a date in the Dates column or Delta values in the Delta in Days column. When you make changes in one column, values in other columns change as aroriate. Model Secific Parameters In addition to contract information, you must enter the following model secific arameters for each otion tye: Otions Calculator

111 Page 05 Vanilla OC Sot he Vanilla OC Sot otion tye allows you to choose between the Cox-Ross-Rubinstein model and the Garman Kohlhagen model. If you choose the Cox-Ross Rubinstein model, you must also designate the following model secific arameters. Parameter Iteration Number Smoothing Factor Descrition he number of calculations used to arrive at the exiration value. Smooths out the model's heoretic Value curve. Inut a number from 0-0. Higher numbers roduce a smoother curve. However, they also increase the error factor, esecially in the Greek values. Exotic Vanilla Barrier Parameter Barrier ye Barrier Value Barrier Rebate Descrition Way of describing the movement of the underlying versus the strike rice. Choices include: U and In, U and Out, Down and In, Down and Out. hreshold rice an underlying must reach for the otion to have value. Price that is aid to the holder of an otion if it exires worthless. Exotic Binary AON here are no arameters for the Exotic Binary AON otion tye. Exotic Lookback Parameter Lookback ye Lowest Price Highest Price Descrition Secify the brand of lookback. Values: Floating strike Fixed strike he lowest rice of the underlying within the life of the contract. he highest rice of the underlying within the life of the contract. Otions User Guide

112 Page 06 Selecting the Proerties for the Otions Calculator Grah Lines In addition to the colors selected in the Select Colors window, you can select the colors for the Otions Calculator grah lines searately.. Right click anywhere within the Otions Calculator grah. his dislays the Otions Calculator Grah Setu window.. Select the curve to be changed from the dro-down list. 3. Click the dro-down list associated with Color. 4. Select the desired color for the selected curve from the color alette. 5. Select the width (in ixels, from - for the selected curve. 6. Select the desired line style. Choices include: Solid, Dash, Dash Dot and Dash Dot Dot. Otions Calculator

113 Page 07 Otions Grah he Otions Grah alication allows you to fully customize an otions grah. o oen the Otions Grah, click the OtGrh button on the toolbar. If the button is not dislayed, click the More button, and then click Otions Grah. You can also click the Otions button and then click Otions Grah. Otions User Guide

114 Page 08 Otions Grah oolbar Most of the buttons on this toolbar are the same as the Otions window toolbar. he Otions Grah has these additional buttons: Both button Dislays both calls (green and uts (red. Dislay button Oens the Setu Otions Grah Contents window. Vol/OI button Visible Selected Selected Grah Content >>>Scale Volume Volume >>>Data Oen Interest Volume >>>Dislay Line Bar >>>Cation Oen Interest Volume Color >>>Put Red >>>Call Green Settings >>>Style Solid Solid >>>Hatch Not Selected >>>Width Smoothing >>>ye None Otions Grah

115 Page 09 None >>>Degree None None >>>Sensitivity 4 4 Multilier ickvol button Visible Selected Selected Grah Content >>>Scale Volume Volume >>>Data ick Volume ick Volume >>>Dislay Bar Smooth >>>Cation ick Vol ick Vol Color >>>Put Red >>>Call Green Settings >>>Style Solid Solid >>>Hatch Not Selected >>>Width Smoothing >>>ye None None >>>Degree None None Otions User Guide

116 Page 0 >>>Sensitivity 4 4 Multilier heov/pr button Visible Grah Content >>>Scale >>>Data >>>Dislay >>>Cation Color >>>Put >>>Call Settings >>>Style >>>Hatch >>>Width Smoothing >>>ye >>>Degree >>>Sensitivity 4 Selected Selected Price Price rade or Settlement heoretical Value Bar Line rade or Settlement heoretical Value Red Green Solid Solid Not Selected None None None None 4 Otions Grah

117 Page Multilier Otions User Guide

118 Page Rescale button You can set the vertical and horizontal scales to any sacing you choose by left-dragging a horizontal scale number to the left to condense the scale or to the right to sread out that scale. Left-dragging the vertical scale either u to sread it out or down to condense it. After either the vertical scale or horizontal scale has been changed from its original default sizing, return them both to their default states by clicking the Rescale button. Otions Grah

119 Page 3 Define Otions Grah Curves. Click the Dislay button to reveal the Setu Otions Grah Contents window or right-click the title bar of the Otions Grah window.. Select Customize dislays. he Setu Otions Grah Contents window gives you wide latitude to customize the Otions Grahs dislays. By default, the window dislays 8 tabs: Vol/OI, ickvol, heov/pr, Delta, Gamma, heta, Vega, IV. Within each tab you can select a Button Abbreviation, Button Descrition, Grah Content, Put and Call Colors, Secific Grah Style Settings, Smoothing roerties, and the Multilier. You may also add, remove or change the construction of any of the dislay tabs or revert the dislay back to its original state, that is, its state before any changes were made. Adding a ab Click the New button to lace a new tab in the Setu Otions Grah Contents window and clear the cells so you can make new selections. Entering a Button Abbreviation If you enter a name in the Abbreviation section, this name aears as the toolbar button name and as the tab name in the Setu Otions Grah Contents window. Otions User Guide

120 Page 4 Entering a Descrition he name entered in the Descrition box aears in the title bar of the Otions Grah window when that grah is dislayed. Selecting the Grah Content Within the Grah Content section of the window you can select the Scale, Data tye and Dislay tye and enter a Cation. Selecting a Scale he Scale variable allows you to select the value dislayed on the vertical axis.. Click the drodown list arrow to dislay the choices.. Select one or more of the choices, which include: Price, Greek and Volume. Note: You can select a Multilier to adjust scales that have different magnitudes. Selecting the Data tye Deending on the Scale choice, you have different Data choices available. he Data choices for each Scale choice within each tab include: Data choices for the Price scale: Price-heor.Value heoretical Value Price Close Price Last Price Oen Price Strike Price Yesterday's close Settlement Ask Bid rade or Settlement Data choices for the Greek scale: Delta Gamma heta Otions Grah

121 Page 5 Vega Rho Imlied Volatility Data choices for the Volume scale: Volume Oen Interest ick Volume Selecting the Dislay ye Select from the following dislay tyes: Unsmoothed line Bar Smoothed line Entering a Cation Inut a brief descrition in the Cation section. he cation aears in the mouse text that is dislayed when you move the mouse over a dislay element. Selecting Colors for the Puts and Calls You can select the call and ut colors for each of the lines within each tab.. Click the color under the Call or Put heading.. Select a color from the color alette. Selecting the Settings In the settings sections, users can select a Style, Hatch, and a Width size. Selecting a Style he Style section allows users to further refine the Dislay choice. Style choices include: Hatch and Solid. Note: Hatch style refers to a attern within the bar. Selecting a hatch style facilitates differentiating bar colors when rinting on a black and white rinter. A Hatch style can only be selected if you have chosen Bar as the Dislay tye. If you have selected Hatch as the designated style, you can select a hatch style from the drodown list under the Hatch heading. If you have chosen Solid as the designated style, you can set the thickness of the line (not the thickness of the bar in ixels in the Width area of the Settings section. Otions User Guide

122 Page 6 Choosing the Smoothing Characteristics Choosing the smoothing characteristics allows you to decide how the curve is fitted to the actual dislay oints. You can only choose smoothing characteristics if the Smooth dislay tye has been chosen. CQG allows you to select from the following smoothing methods: Standard: If you select the Standard method, you can select a olynomial degree and a sensitivity. he higher the olynomial degree, the more flexible (curvy the line is and therefore, the better it will fit the curve. However, the more oints that are considered, the less generally alicable the curve will be. he higher the sensitivity number, the more oints are taken into consideration when fitting the curve. Polynomial: he Polynomial method uses the following formula: Y(X = a0 + a*x + a*x^+ar*x^r Where the a's are values automatically selected by CQG to make the curve fit. Hyerbolic: he Hyerbolic method uses the following formula: Y(X = a0 + a/x + a/x^+ar/x^r Generally works the same way as the Polynomial method, with the X's reresenting observed values and the a's reresenting coefficients which make the curve fit. However, this method would resent a more accurate curve if the shae of the oints was more like a hyerbola rather than a arabola, i.e. the curve does not switch directions. Note: Users may want to try all three methods to see which yields the best fit for the observed oints. You must choose Smooth as the Dislay tye for the smoothing variables to become active. Choosing a Multilier Selecting a multilier increases the values on the vertical scale by the selected factor. Enter the desired factor in the Multilier section. Entering a Note You can enter a note that aears whenever the Setu Otions Grah Contents window is visible. Showing/Hiding the Dislay Comonents Select the Visible checkbox next to the desired dislay element to include that grah element in the dislay. Clear the checkbox next to the desired dislay to eliminate that iece from the dislay. Otions Grah

123 Page 7 Removing a Curve Click the Remove button in the Setu Otions Grah Contents window to remove the entire tab and all the curves associated with that tab. Customizing the Otions Grahs he Setu Otions Grah Contents window enables you to add, remove and rename the tabs. Additionally, you can easily restore the window to its original settings. o add a tab to the dislay:. Click the New button. his dislays a new temlate with the Abbreviation and Descrition sections blank. 3. Enter an Abbreviation and Descrition for the new tab. 4. he abbreviated name actually aears on the tab. 5. he descrition aears in the title bar. 6. Select the Scale, Data and Dislay characteristics from the resective drodown lists. 7. Enter a cation, if you want one. 8. he inutted cation aears as art of the mouse text. 9. Select the desired Colors, Settings, Smoothing and Multilier characteristics. o remove a tab from the dislay:. Select the desired tab.. Click the Remove button. 3. You cannot remove all the tabs; at least one must be dislayed. o rename a tab:. Click in the Abbreviation box.. Enter the new name. 3. o restore the defaults: 4. Click the Defaults button to restore the system to its original state (when first delivered to the user. Restoring the Setu Otions Grah Defaults You can revert the Otions Grah dislays to their original state (the state when CQG was first delivered by: Clicking on the Defaults button in any of the tabs in the Setu Otions Grah Contents window. his restores ALL the tabs to their original state. Otions User Guide

124 Page 8 Delta ab Original State Visible Selected Grah Content Scale Greek Data Delta Dislay Bar Cation Delta Color Put Red Call Green Settings Style Solid Hatch Not Selected Width Not Selected Smoothing ye None None Degree None None Sensitivity 4 Multilier Otions Grah

125 Page 9 Gamma ab Original State Visible Selected Grah Content Scale Greek Data Gamma Dislay Bar Cation Gamma Color Put Red Call Green Settings Style Solid Hatch Not Selected Width Not Selected Smoothing ye None None Degree None None Sensitivity 4 Multilier Otions User Guide

126 Page 0 heta ab Original State Visible Selected Grah Content Scale Greek Data heta Dislay Bar Cation heta Color Put Red Call Green Settings Style Solid Hatch Not Selected Width Not Selected Smoothing ye None None Degree None None Sensitivity 4 Multilier Otions Grah

127 Page Vega ab Original State Visible Selected Grah Content Scale Greek Data Vega Dislay Bar Cation Vega Color Put Red Call Green Settings Style Solid Hatch Not Selected Width Not Selected Smoothing ye None Degree None Sensitivity 4 Multilier Otions User Guide

128 Page IV ab Original State Visible Selected Selected Grah Content Scale Greek Greek Data Imlied Volatility Imlied Volatility Dislay Bar Smooth Cation Imlied Imlied Color Put Red Call Green Settings Style Solid Solid Hatch Not Selected Width Not Selected Smoothing ye None Standard Degree None 4 Sensitivity 4 4 Multilier Otions Grah

129 Page 3 Volatility Worksho he Volatility Worksho allows you to adjust the characteristics of an otions imlied volatility curve and review how those adjustments affect the theoretical values of either individual otion or a ortfolio of otions. You can modify either the imlied volatility for a single otions series or the entire volatility curve. o oen Volatility Worksho, click the VolWS button on the toolbar. If the button is not dislayed, click the More button, and then click Volatility Worksho. You can also click the Otions button and then click Volatility Worksho. Otions User Guide

130 Page 4 Volatility Worksho Comonents he Volatility Worksho window has these areas: itle bar Reset button Contracts Grou area Aroximation area Modification area Volatility Worksho

131 Page 5 3D area Dislayed when the 3D button is on. Price area Otions User Guide

132 Page 6 Grah he Volatility worksho dislays actual, current imlied volatility (IV oints. hese are calculated using the method selected from the Volatility tab in the Preferences for Volatility Worksho window. Each otion's IV is indicated by: a colored circle, if the series has not traded today, an u triangle, indicating an increase in the otion's IV, or a down triangle, indicating a decrease in the otion's IV. User-created, corrected IV oints. An u arrow indicates a volatility that has been adjusted uward. A down arrow indicates a volatility that has been adjusted downward. Select different colors to distinguish between current, old and stale volatility oints. Click here for information on the Volatility Worksho color window. U arrows, down arrows or circles indicate if today's volatility is greater than, less than or equal to yesterday's. A volatility curve constructed from user-adjusted oints. Yesterday's imlied volatility curve. In addition, the dislay shows a vertical line in the user-selected color at the current underlying rice. Volatility Worksho

133 Page 7 Volatility Worksho oolbar In addition to the buttons it shares with the Otions window toolbar, the Volatility Worksho toolbar also includes these buttons: Volatility Worksho FullScr button Click this button to exand the table and grah view so they cover the entire viewable area, hiding the arameters section. Volatility Worksho Rescale button Click this button to reset the sacing in the axes. Save button Oens the Save Volatility Curve window. Load button Oens the Load Volatility Curve window. 3D button Click the 3D button to change the current -dimensional Volatility Worksho grah to a 3-D dislay. Click it again to go back to D. 3D rovides a clearer icture of the interactions between the variables over time. Otions User Guide

134 Page 8 VShae button Click this button to add the vertical shae icon to the grah. You can then drag this icon to change the vertical shae of the grah. Changing the vertical shae kees the horizontal axis values constant, while changing the vertical axis values by a constant roortion. Volatility Worksho

135 Page 9 HShae button Click this button to add the horizontal shae icon to the grah. You can then drag this icon to change the horizontal shae of the grah. Changing the horizontal shae kees the vertical axis values constant while changing the horizontal axis values by a constant roortion. Otions User Guide

136 Page 30 Position button Click this button to move the main curve either u or down, or left or right, create a vertical shift, or create a horizontal shift, without changing its shae. Volatility Worksho

137 Page 3 Sloe button Adjusting the sloe changes the tilt of the curve. Larger numbers tilt the curve more; smaller numbers tilt the curve less. Aly button Click this button to aly the volatility selections made in the Volatility Worksho to otion values in other otions alications. Volatility Worksho Actuals button Click this button to remove all corrections and user-designated weights. Otions User Guide

138 Page 3 Measure button Click this button to oen the Volatility Curve Measurements window. his window dislays: Parameter Minimum Curve Value Maximum Curve Value Definition he lowest oint on the curve. he highest oint on the curve. Curve value at-the-money he volatility value calculated for the at-the-money strike. urning oints number Sloe at left end Sloe at right end Minimum sloe Maximum sloe Average sloe he number of times the volatility curve switches from going down to going u or vice-versa. he sloe of the curve for the lowest x-axis value. he sloe of the curve for the highest x-axis value. he minimum sloe of the volatility curve. he maximum sloe of the volatility curve. he average sloe of the volatility curve. Curve value at Delta 0% he imlied volatility for the strike where the delta equals Difference with AM Difference between the volatility values at the strike where the delta equals 0 and volatility value for the at-the-money strike. Curve value at Delta 5% he imlied volatility for the strike where the delta equals Difference with AM Difference between the volatility values at the strike where the delta equals 5 and volatility value for the at-the-money strike. Curve value at Delta 50% he imlied volatility for the strike where the delta equals Difference with AM Difference between the volatility values at the strike where the delta equals 50 and volatility value for the at-the-money strike. Curve value at Delta 75% he imlied volatility for the strike where the delta equals Difference with AM Difference between the volatility values at the strike where the delta equals 75 and volatility value for the at-the-money strike. Curve value at Delta 90% he imlied volatility for the strike where the delta equals Difference with AM Difference between the volatility values at the strike where the delta equals 90 and volatility value for the at-the-money strike. Volatility Worksho

139 Page 33 Parameter Average Absolute Error Definition he average error calculated using the absolute values of the errors of the observation oints. Merge button Click this button to dislay a main curve that uses merged call and ut volatilities. Otions User Guide

140 Page 34 Saving the Volatility Curve. Enter a name for the curve.. Select the Dislay the curve checkbox to kee the curve dislayed. he curve initially aears directly underneath the main curve and is not visible unless the main curve is moved. 3. Click the Save button to save the curve and close the Save Volatility Curve window. Or 4. Click the Cancel button to close the window without saving the volatility curve. Curves are saved by commodity, but not by month. Volatility Worksho

141 Page 35 Oening a Saved Volatility Curve he curve can only be alied to the same commodity and same tye of otion (call, ut, or merged as the one that was active was when the curve was saved. he month does not need to be the same. Select the curve from the list at the to left side of the window. Additionally, the Load Volatility Curve allows you to activate various filters to facilitate locating the desired volatility curve. he window allows you to filter by the saved date and/or the curve tye. Filtering by Date he Date filter allows you to dislay volatility curves that were created: Select one of the following date filters: Any Date his week his month oday Within a user defined date range. Otions User Guide

142 Page 36 Filtering by Curve ye In addition to filtering the volatility curves by date, you can further shorten the list of available curves by filtering by Curve ye. o filter by curve tye, select one otion from each of the following three sections: Section I Item All For Only For Descrition Filters the volatility curve only by commodity Filters the volatility by exiration month Section II Item his same context Do not care Descrition he otion is using the same model, same imlied volatility tye, same average volatility tye and same rice filter. he above criteria are irrelevant Section III Item Puts Calls & Merged Only Calls Only Puts Merged Descrition Looks for volatilities which have used the Put-Call Combined or the Put-Call searate average volatility calculation method Looks for volatilities that have used the Put-Call Searate method of average volatility calculation. Looks for volatilities that have used the Put-Call searate method of average volatility calculation. Looks for volatilities that have used the Put-Call Combined Average volatility calculation method. Volatility Worksho

143 Page 37 Adjusting the shae of the curve he VShae, HShae, Position, and Sloe buttons add icons to the grah that you can use to maniulate the dislay of the curve. Drag the icon to change the grah shae. As the VShae diamond is dragged, the number in the vertical shae row in the Modification table changes. Smaller numbers indicate the curve is getting flatter; higher numbers indicate the curve is getting rounder. he range of accetable numbers is 00 to 00. You can also change this number directly in the Modification table. As the HShae diamond is dragged, the number in the HorShae row in the Modification table changes. More negative numbers indicate the curve is getting skinnier; less negative numbers indicate the curve is getting fatter. he range of accetable numbers is -00 to 00. You can also change this number directly in the Modification table. As the Position diamond is dragged, the curve is reositioned as it maintains its shae. he horizontal shift variable moves the curve right (for ositive numbers or left (for negative numbers by the designated rice amount, scaled for rice units. For examle, entering 000 for an S&P 500 otion moves the curve right by 0 strike rice units. However, the actual oints do not change. he vertical shift variable moves the curve u (for ositive numbers or down (for negative numbers by the designated ercent. he horizontal and vertical shift arameters can also be changed directly using the Modification table. As the Sloe diamond is dragged, the number in the sloe row in the modification table changes. You can also adjust the sloe directly using the modification table. Otions User Guide

144 Page 38 Removing Corrections o remove all corrections, click the Actuals button. o remove a single correction, right-click on a oint that has been moved and select Reset Position. You can cancel any changes made by entering zeros for all the entries in the Modification table excet Minimum % and Maximum %, which should be small enough and large enough resectively to ensure that no oints are left out. Volatility Worksho

145 Page 39 Selecting the Colors for the Volatility Worksho Grah Lines In addition to the colors selected in the Select Volatility Worksho Colors window, you can select the colors for the Volatility Worksho grah lines searately.. Right click anywhere within the Volatility Worksho grah. his dislays the Volatility Worksho Grah Elements window. 3. Select the curve to be changed from the dro-down list. he list includes all curves currently dislayed. 4. Click the dro-down list associated with Color. 5. Select the desired color for the selected curve from the color alette. 6. Select the width (in ixels, from - for the selected curve. 7. Select the desired line style. Choices include: Solid, Dash, Dash Dot and Dash Dot Dot. 8. Click OK. Otions User Guide

146 Page 40 Designating the Aroximation Characteristics In the Aroximation section, you select characteristics used for estimating the curve. Secifically, select the aroximation method used to fit the data oints, the degree of the olynomial, used by the curve to fit the oints, the corrections method, the weighting scheme and the adjustment method. Changing the Aroximation Method he Volatility Worksho offers the following 4 aroximation methods: Polynomial he Polynomial method uses the following formula: n = = f ( x = i 0 a i x i Where n is the degree arameter and is user-defined. he coefficients are selected to guarantee the least ossible error between data oints and curve oints according to their weights (i.e. the greater the weight given to the oint, the closer the curve should be to that oint. Larger n values result in lower errors. Large n values ose roblems: Hyerbolic. Data sikes take on greater imortance. he behavior of the curve for data oints outside the range is exaggerated. he Hyerbolic method uses the following formula: n = = f ( x i= 0 a i / x i Where n is the degree arameter and is user-defined. he coefficients are selected to guarantee the least ossible error between data oints and curve oints according to their weights (i.e. the greater the weight given to the oint, the closer the curve should be to that oint. Larger n values result in lower errors. Large n values ose roblems:. Data sikes take on greater imortance. he behavior of the curve for data oints outside the range is exaggerated. Volatility Worksho

147 Page 4 Recirocal he Recirocal method uses the following formula: ( = n f x i = = 0 a i / x i Where n is the degree arameter and is user-defined. he coefficients are selected to guarantee the least ossible error between data oints and curve oints according to their weights (i.e. the greater the weight given to the oint, the closer the curve should be to that oint. Larger n values result in lower errors. Large n values ose roblems: Exonential. Data sikes take on greater imortance. he behavior of the curve for data oints outside the range is exaggerated. he Exonential method uses the following formula: n = = f ( x i= 0 a i e ix Where n is the degree arameter and is user-defined. he coefficients are selected to guarantee the least ossible error between data oints and curve oints according to their weights (i.e. the greater the weight given to the oint, the closer the curve should be to that oint. Larger n values result in lower errors. Large n values ose roblems: Data sikes take on greater imortance he behavior of the curve for data oints outside the range is exaggerated. Selecting the Curve Degrees Changing the curve degrees changes the flexibility of the curve, enabling it to better fit the oints. However, increasing the number of degrees also causes the curve to behave erratically at the endoints. Otions User Guide

148 Page 4 Selecting a Method for Keeing Corrections You can select from 4 choices for designating how long corrected oints are maintained. hese choices are: Disabled ill First Change Absolute Value Absolute Difference Relative Difference No corrections are made. When the system calculates a new imlied volatility, the user-selected IV is discarded. he corrected value is maintained even when new ticks are received. he imlied volatility value changes but the difference between the actual imlied volatility and the setu imlied volatility remains the same. Examle: If the real imlied volatility was 50 and the setu imlied volatility was 5, and, subsequently, the real volatility increased to 54, the setu imlied volatility would rise to 56. he imlied volatility value changes but the ercentage difference between the actual imlied volatility and the setu imlied volatility remains the same. Examle: If the real imlied volatility was 50 and the setu imlied volatility was 0% more, i.e. 55, and, subsequently, the real volatility increased to 60, the setu imlied volatility would rise to % or 66. Selecting a Weighting Method Selecting a weighting factor allows you to designate how various volatilities is used to create the volatility curve. he Volatility Worksho offers 3 distinct weighting factors. Additionally, you can create customized weighting factors or use no weighting (by selecting disabled. he 3 weighting factors offered are: Volume (yesterday's Oen Interest (yesterday's ick Volume (today's o create a customized weighting scheme:. Select Customized from the weighting dro-down list in the Aroximation section.. Enter the desired weights in the Weights row of the Volatility Worksho table. Note: You can only enter new weight values directly when the Customize otion has been selected. However, by excluding selected series (by clearing the box in the Included row, you can create a form of weighting. Volatility Worksho

149 Page 43 Selecting an Adjustment Method CQG offers two adjustment methods rot calculating the volatility curve, Underlying and Bourtov. he Underlying Adjustment Method For the Underlying Adjustment method, imlied volatility values are moved horizontally a distance equal to the difference between the current underlying rice and the coherent (at the moment of the tick underlying rice. Examle: Assume the imlied volatility is 5.35 and the last tick haened when the underlying was Currently, the underlying stands at 7.0. Without any adjustment the oint 000, 5.35 is used to draw the volatility curve. With the adjustment, the oint is , 5.35, where = ( he Bourtov Adjustment Method he Bourtov Adjustment Method involves 3 stes:. aking yesterday's volatility curve.. Shifting it (while keeing the shae the same according to the change in underlying rice. 3. Adjusting the shae according to the relative volumes (either tick or actual, deending on which was selected from the dro-down list related to Weighting of the strikes between yesterday and today. Stes & Otions User Guide

150 Page 44 Ste 3 Volatility Worksho

151 Page 45 Modifying the Volatility Curve he Volatility Worksho allows you to modify the shae and osition of the main volatility curve. You can make u to 7 modifications to the volatility curve. Within the 5 modification areas, CQG offers ways to modify each asect of the volatility curve, either by dragging the curve and adjusting it directly in the window, or by entering numbers in the Modifications table. he 5 tyes of modifications are: Horizontal Shift, Vertical Shift, Horizontal Shae, Vertical Shae and Sloe. In addition, you can set the minimum and maximum ercent volatilities secifications from the Modification table. Selecting the Minimum and Maximum Percent Modifications he maximum ercent imlied volatility reresents the smallest imlied volatility that is dislayed on the grah. Volatilities smaller than the designated value are dislayed as horizontal lines at the minimum value. he minimum ercent imlied volatility reresents the largest imlied volatility that is dislayed on the grah. Volatilities greater than the designated value are dislayed as horizontal lines at the maximum value. Otions User Guide

152 Page 46 Resetting the Volatilities Because CQG translates the user-inut volatility assumtions into the theoretical values in all the otion views, you may find it necessary to reverse your volatility assumtions.. Enter a small Minimum % number.. Enter a fairly large Maximum number. 3. Enter 0 (zero in all the other rows. Volatility Worksho

153 Page 47 Using 3D If there is amle market data, we can calculate a grah of Imlied Volatility (IV deending on the strikes. It is D Volatility Curve, which hels to find a value of IV even for those strikes that have no market data. he calculated diagram reresents the market state when it was generated. In reality, the change of market data should change the volatility curve. A 3D diagram allows you to select a third arameter to define the change of the D grah: time (days to exiration, average volatility, or underlying rice. hese arameters clearly reresent the changed market state and strongly affect IV values. Volatility Worksho rovides several modification arameters for time, average volume, and underlying rice: Horizontal Shift (it is defined as otion rice value Vertical Shift (in ercent Horizontal Shae Vertical Shae Sloe Min.DE (time only Max Down % (AvgVol and UndPr only Max U % (AvgVol and UndPr only Otions User Guide

154 Page 48 Let's consider time as an examle. he volatility curve for current market state (the slice of the surface for DE = 68 corresonds to the D diagram. However, this surface does not deend on DE; it is the same for all DE values. It is dislayed according to the arameters of the ime tye, and all modification arameters have value 0. (Min DE value, which is, defines the left DE limit value; it does not define any modification. By changing one of the time arameters, such as changing the Vert. Shift % to 0., the volatility curve now deends on DE value: the smaller DE value, the higher IV value. Volatility Worksho

155 Page 49 You can define the volatility surface as the method of Volatility Calculation to hel you find the correct volatility value for the next day in situations where there is not amle data by using settlements for the revious date. You can choose to define the IV deending on the Underlying Price or Average Volatility. hese otions oerate under the same rinciles as ime. hey offer additional arameters to define the range: Max. Down (in ercent and Max. U (in ercent, both of which is related to the current value of the rice or volatility. Otions User Guide

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157 Page 5 Strategy Analysis Window he Strategy window allows you to analyze the theoretical behavior of an otions strategy. Strategies consist of one or more otion ositions and/or underlying roduct ositions. he strategy may be analyzed using changes in underlying rice, time, volatility and interest rate. he able abs section at the to of the window rovides information about the strategy s current characteristics including the Greeks, breakeven oints and secific contract details, for both the total strategy and the individual arts. he central feature of the Strategy window is the grah, which facilitates visual what if analysis of the strategy. his grah dislays theoretical Profit and Loss (P&L, or any of the Greeks, on the Y-axis and the underlying rice, or other variable, on the X-axis. Once one or more ositions are entered, the grah shows the theoretical P&L curve for the strategy, both for the current time and at exiration. Each leg or osition of a strategy is entered as a trade into the able abs section of the Strategy window. You can save strategies either as a worksace within the Strategy window or into an account in the Orders and Positions view. Similarly, strategies reviously saved to the Orders and Positions view can be loaded into, and analyzed in, the Strategy widow. Any strategy can be customized, either by adding new ositions or liquidating existing ones. o oen Strategy Analysis, click the Strat button on the toolbar. If the button is not dislayed, click the More button, and then click Strategy. You can also click the Otions button and then click Strategy Analysis. Otions User Guide

158 Page 5 Strategy Analysis Window Comonents he Strategy Analysis window has these areas: Strategy area Underlying contracts area Strategy Analysis Window

159 Page 53 Plot Range When the Use standard deviation range check box is selected, standard deviation range is used. he formula for standard deviation range is: denominator = volatility * sqrt(de/365; xhi = ex(+coun * denominator * UPRICE; // range High value xlo = ex(-coun * denominator * UPRICE; // range Low value UPRICE = last rice of the underlying instrument COUN = number of std deviations to offset from the underlying rice (,, 3, etc. DE = minimum of the DE for all trades of the strategy, for otion not for underlying instrument (same value shown in DE column of the very first row with the strategy name ex( = exonential function sqrt = square root function volatility = value shown in Under Avg Vol column (secified in Volatility tab of the Strategy references window Otions User Guide

160 Page 54 What If rades he trades area has six tabs: rades Greeks Costs rade imes VolumeOI Underlying Strategy Analysis Window

161 Page 55 Otions User Guide

162 Page 56 Grah Strategy Analysis Window

163 Page 57 Strategy Analysis oolbar his toolbar shares these buttons with the other otions windows: Pause Settle Prefs Save It also includes these buttons: Load button Click the Load button to dislay the Load Strategy window. 3D button he CQG 3D Strategy grah gives users a clear icture of the interaction of three variables. Click on the 3D button to dislay a 3-dimensional version of the Strategy grah. FullScr button Click the FullScr button to dislay only the strategy grah, hiding the other elements of the Strategy window. Right click on the FullScr button to hide the strategy grah, the strategy selection box, the underlying information and the dislay roerties tabs, leaving only the table tabs dislayed. Rescale button Set the vertical and horizontal scales to any sacing by: Dragging a scale number to the left to condense the scale or to the right to sread it out for the horizontal scale. Dragging the vertical scale either u to sread it out or down to condense it. After the vertical scale or horizontal scale has been changed from its original default sizing, the Rescale button becomes active. Likewise, if the both scales are currently in their default state, the Rescale button is not available. Otions User Guide

164 Page 58 Cursors button When Underlying Price is showing on the horizontal axis, users can elect to dislay a cross-hair cursor. Click the Cursors button to activate a cross-hair cursor on a Strategy grah. o move the cross hair cursor:. Drag the diamond to the desired Underlying Price on the horizontal axis.. Click on the diamond to set the Underlying Price he Strategy grah cross hair cursor ositions itself so it is tangent to the theoretical value curve at the selected Underlying Price. o make the cross hair cursor tangent to a different curve:. Right click on the diamond.. Select the curve to which the cursor snas. Advanced button Oens the Advanced Strategy Analysis window. Strategy Analysis Actuals button Removes what ifs. Rules button Oens the Strategy Rules window. Strategy Analysis Window

165 Page 59 Selecting a Strategy CQG rovides a list of commonly used otion strategies that have a defined structure. When you select one of these re-defined strategies, CQG rovides a temlate to facilitate data entry. You can also enter customized strategies, without any re-existing rules. o select a re-defined strategy:. Click on the dro-down list arrow in the strategy box.. Click on the desired strategy. After you select a strategy, CQG sets u trade boxes according to the strategy definition. he system removes unneeded trade boxes, and trade boxes which only define the strategy, rather than the secific trade, are grayed out and cannot be changed without creating a custom strategy. Otions User Guide

166 Page 60 Customizing the Strategy Box Since the list of strategies can become quite long, with the CQG-rovided strategies and usercreated strategies, CQG allows you to customize the list and only show the strategies you believe you will use, thereby making the list easier to scroll through. o customize the strategy list:. Click on the Setu button.. Select Customize Strategy List. his dislays the Set Strategy List Preferences window. 3. Select the strategies. 4. Click on the All button to select all of the strategies. 5. Click on the None button to cancel the selection of all the strategies. From the Set Strategy List Preferences window you can change the order of the list, rather than leaving them in alhabetical order. Strategy Analysis Window

167 Page 6 o re-order the strategy list:. Select a strategy.. Click on the Move to o, Move U or Move Down buttons. 3. Click on the OK button to aly the changes and close the Set Strategy List Preferences window. Otions User Guide

168 Page 6 Selecting an Underlying Model for Strategy Dislays Click on one of the selections in the Model section of the Preferences window. You can also select a Model from the dro-down list in the Plot tab. Whether you select the model from the Plot tab or the Preferences window, the choice is changed in both laces. Strategy Analysis Window

169 Page 63 Strategy Analysis Defaults Black Model Defaults Variable Name IV Calculation Method Imlied Volatility ye Volatility for Calculation Average Volatility Otion Price Filter Underlying Price Filter Default Selection Brent raded Aly vol. curve Put-Call Searate Ask, Bid, Last rade, Yesterday's close Ask, Bid, Last rade, Yesterday's close Increase DE By 0 Imlied Volatility Scale Other Greeks scale ime Direction Underlying ye Contract Style Dislay ye Interest Rate (USD Percents Normalized(r, Days, Percents Direct ime (negative theta Auto select American Profit/Loss evaluated by contract: EDAA Black Scholes Model Defaults Variable Name IV Calculation Method Underlying Contract ye Imlied Volatility ye Aly IV Curve Use IV for Greeks Default Selection Brent Futures raded No Yes Otions User Guide

170 Page 64 Variable Name Use IV for heo. Value Average Volatility Otion Price Filter Underlying Price Filter Default Selection Yes At-the-money IV, Put-Call Searate Ask, Bid, rade, Yesterday's close Ask, Bid, rade, Yesterday's close Increase DE by 0 Imlied Volatility Scale Other Greeks Scale ime Direction Underlying ye Contract Style Dislay ye Interest Rate (USD Percents Price units, Days, Percents Direct ime (negative theta Auto select American Profit/Loss evaluated by contract: EDAA Bourtov Model Defaults Variable Name Default Selection Polynomial Degree Imlied Volatility ye Volatility for calculation Average Volatility Otion Price Filter Underlying Price Filter raded Aly vol. curve Put-Call Searate Ask, Bid, Last rade, Yesterday's close Ask, Bid, Last rade, Yesterday's close Increase DE By 0 Imlied Volatility Scale Other Greeks Scale Percents Normalized(r, Days, Percents Strategy Analysis Window

171 Page 65 Variable Name ime Direction Underlying ye Contract Style Dislay ye Interest Rate (USD Default Selection Direct ime (negative theta Auto select American Profit/Loss evaluated by contract: EDAA Cox-Ross-Rubinstein Model Defaults Variable Name IV Calculation Method Default Selection Brent Foreign Interest Rate Iteration Number 50 Smoothing Factor Imlied Volatility ye Volatility for calculation Average Volatility Otion Price Filter Underlying Price Filter raded Aly vol. curve Put-Call Searate Ask, Bid, Last rade, Yesterday's close Ask, Bid, Last rade, Yesterday's close Increase DE by 0 Imlied Volatility Scale Other Greeks scale ime Direction Underlying ye Percents Normalized(r, Days, Percents Direct ime (negative theta Auto select Dividends Amount Contract Style American Otions User Guide

172 Page 66 Variable Name Dislay ye Interest Rate (USD Default Selection Profit/Loss evaluated by contract: EDAA Garman-Kohlhagen Model Defaults Variable Name IV Calculation Method Default Selection Brent Foreign Interest Rate Imlied Volatility ye Volatility for calculation Average Volatility Otion Price Filter Underlying Price Filter raded Aly vol. curve. Put-Call Searate Ask, Bid, Last rade, Yesterday's close Ask, Bid, Last rade, Yesterday's close Increase DE By 0 Imlied Volatility Scale Other Greeks Scale ime Direction Underlying ye Contract Style Dislay ye Interest Rate (USD Percents Normalized(r, Days, Percents Direct ime (negative theta Auto select American Profit/Loss evaluated by contract: EDAA Merton Model Defaults Variable Name IV Calculation Method Default Selection Brent Int Rate Correlation with Underlying Strategy Analysis Window

173 Page 67 Variable Name Imlied Volatility ye Volatility for calculation Average Volatility Otion Price Filter Underlying Price Filter Default Selection raded Aly vol. curve Put-Call Searate Ask, Bid, Last rade, Yesterday's close Ask, Bid, Last rade, Yesterday's close Increase DE by 0 Imlied Volatility Scale Other Greeks Scale ime Direction Underlying ye Percents Normalized(r, Days, Percents Direct ime (negative theta Auto select Dividends Amount Contract Style Dislay ye Interest Rate (USD American Profit/Loss evaluated by contract: EDAA Whaley Model Variable Name IV Calculation Method Default Selection Brent Foreign Interest Rate Imlied Volatility ye Volatility for calculation Average Volatility Otion Price Filter Underlying Price Filter raded Aly vol. curve Put-Call Searate Ask, Bid, Last rade, Yesterday's close Ask, Bid, Last rade, Yesterday's Otions User Guide

174 Page 68 Variable Name Default Selection close Increase DE By 0 Imlied Volatility Scale Other Greeks Scale ime Direction Underlying ye Percents Normalized(r, Days, Percents Direct ime Auto select Dividends Amount Contract Style Dislay ye Interest Rate (USD American Profit/Loss evaluated by contract: EDAA Strategy Analysis Window

175 Page 69 able abs On the able abs (located just below the alication toolbar you can view detailed information about the selected strategy and its comonents. Within each of the able abs, some boxes are available so you can fill in the information, and some are not available because information is filled in by the system, based on the dictates of the selected strategy. Excet for the Symbol, Call/Put/Underlying, Long/Short, ExMonth, Strike, Qty, Entry and Comm columns in the rades tab, which dislay automatically, you can customize any of the columns within any of the other tabs. Additionally, with the excetion of the rades tab, you can decide which tabs to dislay and even create your own tabs. rades ab Enter u to four trades in the rade boxes. he number of rows dislayed under the rades tab deends on the strategy selected. he rules of the strategy dictate whether the trade boxes are enabled, disabled, or filled. he rades tab automatically includes boxes for the following items: Symbol, Call/Put/Underlying/Long/Short, ExMonth, Strike, Qty, Entry and Comm. You can add additional columns. Symbol Sace You can enter any commodity with otions carried by CQG. Usually only the commodity symbol must be entered. Based on this entry, the system automatically fills in the series information, generally selecting the near-term, at-the-money series. Examle: If today is May 8, 00, and the Standard & Poor's 500 June futures contract is currently at and SP is entered in the Symbol box, the system dislays the June S & P 500 calls. o change the series:. Click on the drodown list arrow.. Select a series. Otions User Guide

176 Page 70 ye Inut he trade ye can be a Call, Put, or Underlying. A strategy rule generally dictates this setting. Long/Short Inut A trade can be either long or short. In most cases, a strategy rule controls this setting. Exiration Month When an otion has been entered, either by a user or by the system, the trade tye (Call or Put aears in the ye box. Additionally, the Ex Month box contains a drodown list of available exiration months. When the ye is Underlying, this box is disabled. Strike Inut he Strike box lists the strikes for the selected exiration month. When you select a different exiration month, the available strikes and the default strike change, based on the rice of the underlying futures contract. Strategy View uses the at-the-money strike as the default strike, unless a strategy rule for the selected strategy imoses other requirements. In some cases, the available strike list is shortened, based on the contents of another Strike box. Examle: For instance, in a butterfly call strategy, the strike rice of trade is greater than the strike rice of trade. In this case, CQG shows only the strikes for trade, which are greater than those for trade. Similar to the Ex Month box, Strategy View dislays a strike rice only for otions trades. Quantity Inut he Quantity defaults to contract, or the lowest aroriate ratio numbers for ratio sreads. However, you can change this number. Note: When the quantity for one trade in a multi-trade strategy is changed, the quantities for the other trades change roortionately. Strategy Analysis Window

177 Page 7 Entry o select a new Entry rice using the rice Strategy or to change the default Entry rice:. Right click on the Entry box. his dislays the Entry Price Selector.. Click on a rice from the to half of the Strategy to make that rice the Entry rice. Bid/Ask averages are shown only when they can be calculated, but the system always dislays a theoretical value (for an otion and a last trade or settlement rice. Changing the values in the Underlying, Volatility, DE or Int Rate boxes results in a new theoretical value. 3. Click on the Set Defaults button to make the current selection the default selection. 4. Click on the OK button to aly the changes to the current Strategy window and close the entry rice selector. Otions User Guide

178 Page 7 he Entry rice of the trade can be inut directly into the Entry box. Prior to a user entry, this box contains the default entry rice. Select a default entry rice by:. Right clicking on the Entry cell.. his dislays the Entry Price Selector. 3. Click on the Set Defaults button. 4. his dislays the Default Entry Price Hierarchy window. 5. Click on the Move o o, Move U and Move Down buttons to establish the hierarchy. he rimary entry rice default choice should be at the to with successive entries reresenting fallback choices that are used if an earlier choice is not available. You can also change the entry rice for only the articular strategy currently under consideration. Commission You can systematically track the commissions aid by entering the amount of the commissions in the table under the Comm column. Strategy Analysis Window

179 Page 73 Re-ordering the Default Columns within the rades ab Reorder the 8 inut columns on the rades tab by:. Clicking on the Setu button.. Selecting Re-order Inut Columns. his dislays the Reorder Strategy Inut Cells window. Arrange the columns in the desired order using the Move to o, Move U, and Move Down buttons. he first item in the list is the first column in the table, and the rest of the columns are dislayed from left to right in the same order as they aear in the list. Otions User Guide

180 Page 74 Greeks ab he information in the Greeks tab is customizable by the user. o set u the columns in the Greeks tab:. Select the Greeks tab.. Click on the Setu button. 3. Select Customize Columns. 4. Select the elements you want to see in the tab. 5. Click on the Move to o, Move U and Move Down buttons to arrange the columns. he first item in the list is the first column in the table, and the rest of the columns are dislayed from left to right in the same order as they aear in the list. Among the items often dislayed under the Greeks tab: Full Symbol Imlied Volatility Delta Gamma heta Vega Rho Strategy Analysis Window

181 Page 75 Costs ab Among the items often dislayed under the Costs tab: he Full Symbol for each instrument used in the selected strategy he Credit/Debit for the whole strategy, as well as for each art of the strategy he Maximum Gain for each art of the strategy he Maximum Loss for each leg of the strategy he Oen rade Equity for each iece of the strategy he Breakeven Point at Exiration for each art of the strategy he Current Breakeven Point for the strategy Otions User Guide

182 Page 76 rade imes ab Among the items often dislayed under the rade imes tab: he Full Symbol for each instrument used in the strategy he Last rade rice for each leg of the strategy he ime of the Last rade for each leg of the strategy he ime Elased since the Last rade for each element in the strategy he change in rice since the last tick he Last Bid he Last Ask he ime of the most recent Bid or Ask As with the other tabs, you can add columns to the rade imes tab. Strategy Analysis Window

183 Page 77 VolumeOI ab Among the items often dislayed under the VolumeOI tab: Full Symbol Volume Oen Interest Underlying otal Volume Underlying otal Oen Interest Otions User Guide

184 Page 78 Underlying ab Among the items often dislayed in the Underlying tab: Full Symbol Last rade in the Underlying Change in the Underlying he ime of the last trade in the Underlying he ime Elased since the last trade in the Underlying Strategy Analysis Window

185 Page 79 Adding User-Created abs Right click on an existing tab. Select New ab.. his dislays the New User ab Name window. 3. Enter a name for the new tab. 4. Click on the OK button. 5. his closes the New User ab window, dislays the new, user-created tab and dislays the Customize Strategy Columns window, allowing you to include the desired items in the new tab. 6. Select the desired items from the Customize Strategy Columns window. Otions User Guide

186 Page 80 Re-ordering Custom abs Users can re-order the to tabs in Strategy view.. Right click on any of the tabs.. Select Reorder User abs. 3. his dislays the Reorder Custom abs window. 4. Change the order of the tabs using the Move to o, Move U and Move Down buttons. Deleting and Renaming a ab You can delete or rename any of the to table tabs (excet the rades tab by:. Right clicking on the tab.. Selecting Delete ab. Or. Selecting Rename ab. his dislays the Rename ab window.. Entering the new name for the tab. 3. Clicking on the OK button to close the Rename ab window. Strategy Analysis Window

187 Page 8 Customizing the Columns in the able abs With the excetion of the 8 columns in the rades tab, you can comletely customize the items dislayed in the table tabs. o select the items that are dislayed under each of the tabs:. Right click on the desired tab.. Select Customize. 3. Use the Move o o, Move U and Move Down buttons to control the order of the data in each of the table tab dislays. 4. Click on the All button to choose every available entry in the Values list for the selected tab. 5. Click on the None button, to clear any reviously made selections and begin selecting and re-ordering the columns again. Note: he Symbol, Call/Put/ Underlying, Long/Short, ExMonth, Strike, Qty, Entry and Comm columns always aear under the rades tab. Otions User Guide

188 Page 8 Column Choices for the able abs Strike Price Identifier Descrition DE Exiration Date Full Symbol Last rade Last rade ime Last rade Elase Last rade Change Last Bid Last Ask Bid Ask ime Credit/Debit Number of days from now until exiration. Note: he DE for the strategy equal the DE for the first exiring contract. he lowest strike for the strategy. he comlete symbol for each leg of the strategy. he value for the last trade. he time of day for the (C. ime elased since the last trade. Change in rice since the rior close. he most recent bid. he most recent offer. he time for the most recent bid or ask Indicates the total amount received or (aid before commissions. MMR Estimate Max Gain Max Loss Oen rade Equity B-E Point At Ex B-E Point Cur Val Imlied Volatility Delta Indicates the maximum gain for each leg of the strategy, as well as for the overall strategy. Indicates the maximum loss for each leg of the strategy, as well as for the overall strategy. he current value of the strategy - the entry value of the strategy. he underlying value necessary to reach the breakeven oint at exiration, i.e. where exiration value curve crosses zero. he underlying value currently necessary to break even, that is, where the theoretical value curve crosses zero. he imlied volatility for the otion contract. Change in rice with resect to change in the underlying. Strategy Analysis Window

189 Page 83 Strike Price Identifier Descrition Gamma heta Vega Rho Volume Oen Interest Underlying rade Under rade Elase Under rade Change Under rade ime Underlying otal Volume Underlying otal Oen Interest Imlied Underlying Price rade Quantity rade Commission rade Entry Underlying Days to Exiration Underlying Avg Vol Change in the delta with resect to a change in the rice. he loss in theoretical value in one day, holding all other factors constant. he change in theoretical value as a result of a oint change in volatility. he change in theoretical value as a result of a ercentage oint change in interest rates. he volume for the futures of otions contract. he oen interest for the selected otion or the oen interest for the entire comlex for an underlying futures contract. he last trade rice for the underlying contract. he time elased since the underlying futures contract last traded. he tick value of the underlying. he time the underlying futures contract last traded. he total volume for the relevant futures contract. he total oen interest for the relevant futures contract. Imlied underlying rice uses otions data to redict what the market value of the underlying should be. he osition summary line rovides a weighted average of IU for the entire strategy. he same weighted averaging method is also used for Imlied Volatility (IV calculations. he number of contracts long or short in the strategy. he commissions aid for each art of the strategy (users must inut these values. he entry rice for the trade. he number of days, including the current day, until exiration. he average volatility of the underlying instrument. Otions User Guide

190 Page 84 Strike Price Identifier Descrition Interest Rate heo Value Underlying Hist Vol he user-selected interest rate. (From the Setu menu he theoretical value of the otion. he historical volatility for the underlying instrument. Strategy Analysis Window

191 Page 85 Using the Dislay abs P&L ab he P&L tab shows the at-exiration and current rofit and loss curves. In the above dislay, they are colored green and red resectively. However, you can change these colors. he dislay also shows highlighted boxes on the X- and Y- axes, indicating the current underlying rice and the resulting rofit or loss. Otions User Guide

192 Page 86 Greek abs Delta, Gamma, heta, Vega, and Rho curves can be dislayed. Each curve can be shown with resect to: he underlying rice Days to exiration Volatility Interest Rate Choose an X-axis variable value by:. Clicking on the Plot tab.. Clicking on the down arrow in the X-axis list box. 3. Selecting the desired value. Strategy Analysis Window

193 Page 87 ime Value ab ime value is calculated by taking the value of the strategy at the end of each day and subtracting any intrinsic value. Otions User Guide

194 Page 88 able ab he table tab shows the value of Profit and Loss for every strike rice. WhatIf columns also dislay if alied. Strategy Analysis Window

195 Page 89 Setting Proerties for 3D Strategy Grah Note: he Proerties for the 3D SO grah work exactly the same way. From the 3D Control Proerties window users can set the dislay and motion characteristics related to the 3D Strategy grah dislay. Note: he roerties for the SO dislay are set searately but in exactly the same way as described below. o access the 3D Control Proerties window:. Right click in a 3D Strategy window.. Select Proerties. he 3D Control Proerties window contains 5 tabs. Otions User Guide

196 Page 90 General ab he General tab of the 3D Control Proerties window consists of 3 sections, Model, Coloring and Rotation. Model Section From the Model section, select a form for the 3D dislay. Choices for the dislay form include: Solid & Wire: Shows and colors the oints to indicate their lacement on the dislay. Solid: Colors the dislay to indicate the lacement of the oints without showing the secific oints. Only Wire: Connects the secific oints that comrise the diagram without showing the actual oints. Points: Shows only the secific oints that comrise the diagram. Color Section Back Color: Click to dislay the color alette and select the background color for the dislay. Wire Color: Click to dislay the color alette and select the colors for horizontal and vertical lines in the dislays. Auto Coloring: When selected, the system colors the wires based on their level, in accordance with the color scheme you selected in the Coloring ab. Show Border: When the Show Border checkbox is selected the system laces a one-ixel border around the bottom of the 3-D color scale. Rotation Section Enable Box: Click on the Enable box to turn on the rotation feature. Rotation Interval: Allows users to set the seed of the rotation (in milliseconds. Strategy Analysis Window

197 Page 9 Axis & Grid ab he Axis & Grid tab allows users to show or hide the Axes, Labels and Grids, as well as to set other roerties related to Axes, Labels and Grids. Establishing Axis Proerties Click on the Visible checkbox to show or hide the three axes related to the selected tab in the Strategy window. Click on the color bar (green in the above examle to change the color of the three axis lines. Establishing Label Proerties Click on the Visible checkbox to show or hide the label on the dislay. Click on the Short Labels checkbox to show the label abbreviation, for examle P/L, rather than the long label, heoretical Profit/Loss, on the dislay. Click on the color bar (urle in the above examle to change the grid label colors. Establishing Grid Proerties Click on the Visible checkbox to show or hide the dislay grids. Click on the dro-down list button to lace the grids. Choices for grid lacement include: Front, Back or All Sides. Click on the color bar (green in the above examle to change the grid colors. Otions User Guide

198 Page 9 Coloring ab he Coloring tab allows you to select the number and range of colors that aear on the 3D otions grahs. hese colors allow you to see, at a glance, the general level of various grah values. o use the Coloring ab:. Enter the number of colors to be used for the dislays in the Number of colors box. he maximum number of colors available deends on the grahics card installed on the comuter.. Select one of the color swatches to reflect the colors used in the dislay. he selected swatch is indicated by a white outline on the bottom and right side of a swatch. he colors in the selected swatch aear in the vertical indicator on the Strategy dislay, with colors at the to of color bar reresenting higher grah values and lower colors on the bar reresenting lower values. Strategy Analysis Window

199 Page 93 Font ab he Font tab allows you to select the font size and style for the letters and numbers in the 3D Strategy grah dislays. CQG offers over 30 font styles. o select a font style:. Click on the dro-down list arrow.. Select a style from the list. Additionally, by selecting the aroriate box, you can make the fonts Italic, Bold or both. You can also select the font height for the Data labels and Axis labels by inutting the desired font size in the box. Otions User Guide

200 Page 94 Projections ab he Projections ab allows you to control roerties associated with the 3 lanes in the Strategy Grah dislay. he 3 lanes are the XZ, which is erendicular to the Y axis, the XY lane, which is erendicular to the Z axis and the YZ lane, which is erendicular to the X axis. Select None or Visible to show or hide any of the 3 lanes. he Shift control allows you to move the selected lane along the associated axis. he XZ lane would shift along the Y axis, the YZ lane would shift along the X axis and the XY lane would move along the Z axis. he Convexity control curves the rojection lane. he Light control adjusts the brightness of each of the lanes. Strategy Analysis Window

201 Page 95 Additional Dislay Proerties Besides the elements controlled in the 3D Control Proerties window, you can set various dislay roerties by right-clicking within the strategy grah dislay. his dislays the following menu items: Strike Price Identifier Proerties Show Full Screen All Controls Color Panel Descrition Dislays the 3-D Control Proerties dialog. he lowest strike for the strategy. Removes the color anel and vertical and horizontal scroll bars, leaving only the 3-D grah dislayed in the grah area. Dislays the color bar and vertical and horizontal scroll bars. Shows/Hides the color along the left side of the 3-D grah. Horiz Scroll Shows/Hides the horizontal scroll bar along the bottom of the 3- D grah. Vert Scroll Shows/Hides the vertical scroll bar along the right side of the 3-D grah. Reset Position Resets the grah to its original, un-rotated osition. Otions User Guide

202 Page 96 Underlying Information he Underlying contracts tab rovides the following information for each underlying contract in the strategy: Last rade or settlement Historical Volatility Interest Rate Days until Exiration Strategy Analysis Window

203 Page 97 Dislay Proerties he Dislay Proerties window sets various dislay characteristics for the -and 3 dimensional strategy dislays. he -Dimensional Dislay Proerties Plot ab From the Plot tab, you can select an otions model from the drodown list. Additionally, you can choose the variables reresented on the X and Y axes, as well as the number of oints included on the X axis. he X-axis can only be changed for Greek dislays. X-axis choices include: Underlying Price Days to Exiration Interest Rate Volatility he X-axis is always Underlying Price for the P&L dislay and Days to Exiration for the ime Value dislay. Note: he value selected here for X-axis is also reflected in the Range tab. Otions User Guide

204 Page 98 he Y-axis can be changed for all the dislays. he choices for the Y-axis are: U.S. Dollars Full Points Price Units ick Units o select the X-axis or Y-axis variable: Range ab. Click on the dro-down list button associated with an axis.. Select the variable. You can set dislay arameters and characteristics from the Range tab. he Range tab takes 3 similar, but somewhat different, forms in the various Strategy grah views. Strategy Analysis Window

205 Page 99 From the P&L ab From P&L dislays, you set the range for the x-axis using either numbers or Standard Deviations. o set the range for the dislay using numbers, simly enter the desired numbers in the aroriate Low: and High: boxes. o set the range for the dislay using Standard Deviations:. Select the Use Standard Deviation Range: checkbox.. Select the Standard Deviations to be included in the dislay. Or. Select a custom Standard Deviation by:. Selecting the white box in the lower right hand corner. 3. Entering the desired value. 4. [Enter] Users can also select the form for the dislay of the range dislay by selecting either or both of the Lines and Shades checkboxes. Otions User Guide

206 Page 00 From the Greeks and ime Value abs From the Greeks tabs the Range window allows users to select the following values: X-axis: Choices include: Days Until Exiration, Interest Rate, Underlying Price or Volatility. Note: For the ime Value tab the X-axis is always days until exiration. And A range of values, either selected by the user or by CQG. Enter values in the Low and High boxes to select a range. Or Select the Use automatic range checkbox to allow CQG to automatically select a range. For Volatility for the X-Axis or the Z-Axis, the system takes a range equal to 80-0% of the Underlying Average Volatility. For Interest Rate for the X-Axis or the Z-Axis, the system takes a range equal to 90-0% of the Interest Rate associated with the underlying contract. Strategy Analysis Window

207 Page 0 From the able ab From the able tab the Range window allows users to set the high-low range of the table, in addition to the table increment. o change the range: Enter values for Low and High in the corresonding boxes. [Enter] o change the increment: Enter a new value in the Increment box. [Enter] Otions User Guide

208 Page 0 What If ab he What Ifs tab enables users to enter u to 4 what-if values for Volatility or Volatility Shift, Interest Rate, and Days to Exiration. U to four What If lines may be added to the grah, with different constant volatilities or volatility shift factors, Interest Rates and Days to Exiration for each line. Also, a different color may be selected to dislay each line. he Volatility Shift allows users take into account varying volatilities of a strategy that uses multile series. By using a Volatility Shift factor, rather than a constant volatility, users affects all series in the strategy in a similar manner, rather than having an extreme effect on a articular series in the strategy. Users may enter values directly into the sreadsheet cells. Or, Double click on the label for Volatility, Interest, or DE to insert a range of values in the corresonding row. he values are inserted based on the following: Volatility: Interest: he CQG Underlying Average Volatility, as shown in the Greeks tab is multilied by.8, 9,., and.. he CQG default interest rate, as shown in the Underlying Contracts tab is multilied by.8, 9,., and.. DE: he number of days until exiration is divided by 5. Color: Searate colors can be assigned to each WhatIf scenario or different shades of one color can be used across the WhatIfs.. Click in one of the color boxes.. Select a color from the color alette. 3. A range of shades of one color can be assigned to each WhatIf scenario. Strategy Analysis Window

209 Page 03. Click a color label.. Select a color from the color alette 3. his colors each of the WhatIf lines with a different shaded of the selected color. 4. Right-click on a label to remove all the values in that row 5. Right-click on a cell to remove the value in that individual cell. he 3-Dimensional Dislay Proerties he dislay roerties window is somewhat different for the 3-dimensional dislays vs. the - dimensional dislays. Plot ab From the Plot tab users can also set the number of oints used in lotting the curves. Points for the X-axis range from 30 to 0, while the number of oints which they system can lot on the Z-axis ranges from U to six lines may be lotted. Since the dislay is re-drawn in resonse to market changes, the system may be calculating a large number of oints very frequently. Users with a slow otions model or a slow rocessor may want to use a lower number of oints to seed u the dislay. he X-axis can only be changed for Greek dislays. X-axis choices include: Underlying Price Days to Exiration Interest Rate Volatility he X-axis is always Underlying Price for the P and L dislay and Days to Exiration for the ime Value dislay. Note: he value selected here for X-axis is also reflected in the Range tab. he Y-axis can be changed for all the dislays. he choices for the Y-axis are: U.S. Dollars Full Points Price Units ick Units Otions User Guide

210 Page 04 he Z-axis can be changed for all the dislays. he choices for the Z-axis are: Days to Exiration Interest Rate Volatility o select the X, Y or Z-axis variable:. Click on the dro-down list button associated with the aroriate axis. Select the desired choice. he X-axis can be changed for Greek dislays. Choices include: Underlying Price Days to Exiration Interest Rate Volatility he X-axis is always Underlying Price for the P and L dislay and Days to Exiration for the ime Value dislay. Note: he value selected here for X-axis is also reflected in the X-Range tab. he Y-axis can be changed for all the dislays. he choices for the Y-axis are: U.S. Dollars Full Points Price Units ick Units he Z-axis can also be changed for all the dislays. he choices for the Z-axis are: Days to Exiration Interest Rate Volatility Strategy Analysis Window

211 Page 05 X-Range ab he X-Range tab allows users to set the value reresented by the X-axis, as well as the range for the x-axis values. he value selected for the X-axis from the X-Range tab is also reflected in the value dislayed for the X-Axis in the Plot tab. he X-axis can be changed only for Greek dislays. Choices include: Underlying Price Days to Exiration Interest Rate Volatility he X-axis is always Underlying Price for the P and L dislay and Days to Exiration for the ime Value dislay. CQG gives users ways to establish the X-Range, either manually, through user-selected Low and High values, or automatically, where CQG selects the value range. o manually set the range for the dislay, simly enter the desired numbers in the aroriate Low: and High: boxes. o allow CQG to set the range automatically, select the Use automatic range checkbox. For Volatility for the X-Axis or the Z-Axis, the system takes a range equal to 80-0% of the Underlying Average Volatility For Interest Rate for the X-Axis or the Z-Axis, the system takes a range equal to 90-0% of the Interest Rate associated with the Underlying contract. Otions User Guide

212 Page 06 Z-Range ab he Z Range tab allows users to set the value reresented by the Z-axis, as well as the range for the Z-axis values. he value selected for the Z-axis from the Z-Range tab is also reflected in the value dislayed for the Z-Axis in the Plot tab. he Z-axis can be changed for all the dislays. he choices for the Z-axis in all the dislays are: Days to Exiration Interest Rate Volatility CQG gives users ways to establish the Z-Range, either manually, through user-selected Low and High values, or automatically, where CQG selects the value range. o manually set the range for the dislay, simly enter the desired numbers in the aroriate Low: and High: boxes. o use the automatic range: o automatically establish the Z-Range, select the Use Automatic range checkbox from the Z-Range tab or the X-Range tab. When the Use Automatic range checkbox is selected: For Volatility for the X-Axis or the Z-Axis, the system takes a range equal to 80-0% of the Underlying Average Volatility For Interest Rate for the X-Axis or the Z-Axis, the system takes a range equal to 90-0% of the Interest Rate associated with the Underlying contract. For Days to Exiration for the X-Axis or the Z-Axis, the range covers from zero u to the number of days until exiration. Strategy Analysis Window

213 Page 07 Creating and Editing Strategies he Strategy Rules window dislays the trade comonents of a strategy and gives a brief descrition of the market exectations aroriate for the strategy and the risk characteristics associated with the strategy. Viewing the Comonents of a Strategy. Click the Rules button.. Click the strategy list dro down button. he Market Indicator shows the market exectation underlying the strategy. he Indicator ranges from Strongly Bearish to Strongly Bullish. he other Market Indicators are: Bearish Mildly Bearish Neutral Mildly Bullish Bullish Volatile he Risk Profile indicator gives a brief descrition of the level and direction of risk associated with each strategy. Possibilities include: Limited Unlimited Uside Unlimited Downside Unlimited Otions User Guide

214 Page 08 Creating Strategies hrough the Strategy Rules window, users can create new strategies, as well as edit reviously created strategies. Strategies sulied with CQG may not be edited directly. o create a new strategy or modify a strategy reviously created by the user: Click the Rules button. his dislays the Strategy Rules window. When creating a new strategy, the Coy button can be used to coy an existing strategy. Modifications can be made to the name, abbreviation and rules. o coy an existing strategy. Select a strategy using the dro- down list button.. Click on the Coy button. 3. he new strategy is exactly the same as the old one, excet the name has Coy in the front. o edit an old strategy. Click on the drodown list under Purchase.. Select either Long (for buys or Short (for sells. 3. Click on the drodown list under ye. 4. Select either Call, Put or Underlying. Enter a Symbol For single trade strategies, no symbol is needed. For strategies with multile trades, the first symbol cell is blank, and the others contain =sym. Strategy Analysis Window

215 Page 09 Enter an Exiration Date definition For single trade strategies, no exiration date is needed. For strategies with multile trades, the first symbol cell is blank, and the others contain either =ex for a contract with the same exiration date, <ex, if the second exiration date is earlier than the first contract, or >ex, if the second exiration is further out than the first contract s exiration date. Enter a Strike definition For single trade strategies, no Strike rice is needed. For strategies with multile trades, the ossible strike rice inuts and their definitions are as follows: Strike Price Identifier =high =low Definition he highest strike for the strategy. he lowest strike for the strategy. =str his strike rice equals strike rice # >str,,3 his strike rice is greater than strike rice, or 3 <str,,3 his strike rice is less than strike rice, or 3 Enter a Quantity definition For the first trade, whether a single or multile trade strategy, no quantity is needed. Other quantities are exressed as a comarison with the first quantity. Examle: qty* Otions User Guide

216 Page 0 o create a comletely new strategy. Click on the Rules button.. Click on the New button. 3. Select the radio button indicating the number of trades in the strategy. 4. Enter a name and an abbreviation for the study. 5. Select a Market Indicator from the dro-down list. 6. Select a Risk Profile from the dro-down list. 7. Click on the drodown list under Purchase. 8. Select either Long (for buys or Short (for sells. 9. Click on the drodown list under ye. 0. Select either Call, Put or Underlying.. Enter a Symbol: For single trade strategies, no symbol is needed. For strategies with multile trades, the first symbol cell is blank, and the others contain =sym. Enter an Exiration Date definition For single trade strategies, no exiration date is needed. For strategies with multile trades, the first symbol cell is blank, and the others contain either =ex for a contract with the same exiration date or >ex, if the second exiration date is further out than the first contract's exiration date. Enter a Strike definition For single trade strategies, no Strike rice is needed. For strategies with multile trades, the ossible strike rice inuts and their definitions are as follows: Strike Price Identifier =high =low Definition he highest strike for the strategy. he lowest strike for the strategy. =str his strike rice equals strike rice # >str,,3 his strike rice is greater than strike rice, or 3 <str,,3 his strike rice is less than strike rice, or 3 Strategy Analysis Window

217 Page Enter a Quantity definition For the first trade, whether a single or multile trade strategy, no quantity is needed. Other quantities are exressed as a comarison the first quantity. Examle: qty* No strategies may have the same name or abbreviation. he New button allows users to write a new strategy from a blank window. he Purchase (long or short and the trade ye (call, ut or underlying must be defined for each trade. If a cell has no rule defined, there is no restriction on data entry in the corresonding trade entry box of the Strategy window. When a rule is given, it must define the data entry with resect to a revious trade s data of the same tye as the rule being entered. For instance, a symbol rule can be =sym or a strike rule can be >str. Before a strategy definition is saved, the rule interreter must be satisfied that the rules you have entered make sense. Once the strategy has been defined and saved, the new strategy aears as art of the list of strategies immediately after users close the Rules window, allowing users to immediately enter new trades using the strategy. Otions User Guide

218 Page Saving an Otions Strategy Saving user-created strategies enables the strategy to be re-used. Strategies are saved via the Save Strategy window. o save a user-created strategy: Click on the Save button. his dislays the Save Strategy window. Using the Save Strategy Window he Save Strategy window allows users to save the selected strategy, with trades, to a Worksace, to a local account (which is dislayed in your Orders and Positions view or to both. he saved strategy can be accessed later using the Load button. When trades are saved to a local account, you have the otion to set market exectations associated with the strategy. Strategies saved to a local account become a single osition in the Orders and Positions can be viewed and maniulated in that view. If you save the strategy to a worksace, the ositions are not entered into a local account, and you are not able to view them in the Orders and Positions view. Unlike saving a strategy view to a age, when the strategy is saved as a worksace, it can be loaded into a Strategy window on any age. Selecting the check box Set automatic alerts on rice exectations causes your exectations to be used to set and remove rice alerts on the underlying. When the exected start date is reached, the rice alert automatically sets itself. Likewise, when the sto date is reached, the system removes the alert. he window also allows you to save the strategy to a local account, so it can be monitored as art of an overall ortfolio. Strategy Analysis Window

219 Page 3 o Save a Strategy and its rades to a Worksace: Click on the Save o Worksace checkbox within the Save Strategy window. he Worksace Name aears automatically as the name of the strategy with the currently inut trades. You can change this by simly entering a new Worksace Name. o Save a Strategy and its rades to a local account:. Click on the Save o Local Account checkbox in the Save Strategy window.. Select a new strategy name, if desired. he current strategy name, along with the selected series, initially aears in the Strategy Name box. However, you can change this by entering a new name in the Strategy Name box. Setting an Alert based on Price Exectations for the Strategy: You can enter rice exectations for the strategy's underlying contract by entering the desired rices in the Low Price and/or High Price boxes. Additionally, you can set time arameters by entering dates in the Starting Date and/or Ending Date boxes. If you select the Set automatic alerts on rice exectations checkbox, the system warns you if either of the Underlying Exectations criterion are met within the designated time frame. When all the desired selections are made in the Save Strategy window: Click on the Save button to register the selections and close the Save Strategy window. Hitting the Save button at this time automatically saves the market exectations and the strategy to the a local account or to a Worksace where it can be accessed later using the Load button. When trades are saved as art of a strategy, they become a single osition in the Orders and Positions view where they can be viewed and maniulated. Selecting the check box Set automatic alerts on rice exectations causes your exectations to be used to set and remove rice alerts on the underlying. When the exected start date is reached, the rice alert automatically sets itself. Likewise, when the sto date is reached, the system removes the alert. For additional information about setting and removing Alerts, see the Alerts chater. Otions User Guide

220 Page 4 Loading a Saved Strategy Click on the Load button to dislay the Load Strategy window. Once a strategy has been saved it can be easily re-used by simly re-loading it into the Strategy view o load a reviously saved strategy or worksace:. Click on the Load button.. Select the Load Worksace button. 3. Click on the Worksace Name drodown list button to select the desired worksace to load. Or. Select the Load a Strategy from Local Account button.. Select the desired account. he list of accounts consists of those accounts the user has set u in the Orders and Positions view. For information about setting u accounts in the Orders and Positions view, click here. 3. Select the desired strategy from the dro-down list. he list consists of all strategies you have saved. 4. Select the Include exit rades checkbox to show the status of the strategy as it stands after any arts of it have been liquidated. If selected, the rofit and loss curve are shifted u or down (maintaining its same shae to reflect any liquidated trades that were art of the selected strategy. 5. Click on the Load button to retrieve the strategy. Strategy Analysis Window

221 Page 5 Using the Strategy Worksace Manager Window You can easily delete or rename any strategy that has been saved to a worksace by using the Strategy Worksace Manager window. You must first have a strategy saved to a worksace to make this menu otion available. o access the Strategy Worksace Manager window:. Click on the Setu button.. Select Worksace Manager. his dislays the Strategy Worksace Manager window. Renaming or Deleting a Strategy Worksace he Strategy Worksace Manager dislays any strategies that users have saved. Renaming a Strategy Worksace. Select the worksace you want to rename.. Click Rename. 3. Enter the new name for the Worksace. 4. Click Close. Otions User Guide

222 Page 6 Deleting a Strategy Worksace. Select the Worksace you want to delete.. Click Delete. 3. Click Close. Strategy Analysis Window

223 Page 7 Weights he ability to use the otions models to derive the imlied underlying rice and Imlied Volatility is available under the Weights button. CQG accomlishes this by sulying the selected otions model with all the inuts excet the underlying rice, which is seeded as a start value. Next, the system uses a search algorithm to find the underlying rice that satisfies the otion value observed in the market. his is the same method used to find imlied volatility. For average imlied values there are a number of averaging methods that may be emloyed. o change the order of the Averaging Methods. Click on the Setu button.. Select Weights. 3. his dislays the Imlied Value Averaging Method window. Using the Imlied Value Averaging Method Window o change the order of the Averaging Methods. Click on the Change Imlied Vol Method or Change Imlied Under Method buttons.. Either the Select Imlied Vol Averaging Methods window or the Select Imlied Under Averaging Methods window is dislayed. Otions User Guide

224 Page 8 Using the Select Imlied Vol Averaging Methods and Select Imlied Under Averaging Methods windows Note: he Select Imlied Vol Averaging Methods and Select Imlied Under Averaging Methods windows work exactly the same way. Click on the Move to o, Move U and Move Down buttons to arrive at the desired order. Strategy Analysis Window

225 Page 9 Volume Weighted Averaging Method his method laces the greatest emhasis on contract with the greatest daily volume. he greater the volume traded for the otion in question, the more weight is given to the otion s imlied value. When using this method, one assumes that the current trading activity is most relevant in a determination of market behavior. Secifically, for n number of trades, each with a searate oen interest, the method would be used as follows: Variable Definition VOL Volume for trade VOL Volume for trade VOL n UP Volume for trade n Imlied underlying rice for trade UP Imlied underlying rice for trade UP n AUP OI Imlied underlying rice for trade n Average imlied underlying rice for the strategy otal oen interest for all trades. he average is the sum of each imlied underlying rice for each trade weighted by its roortion of the total volume for all trades: AUP = [VOL /(AUP * UP ] + [VOL /(AUP * UP ] + [VOL n /(AUP * UPn] Otions User Guide

226 Page 0 Oen Interest Weighted Averaging Method his method laces emhasis on oen interest for the otion contract. More weight is given to the imlied values derived from otions with the greatest oen interest. An underlying assumtion when using this method is that the interest in a contract requires holders of that contract to adjust their ositions in accordance with their market exectations. A large oen interest on a low volume suggests that the contract holders are satisfied that the otion is correctly valued in the market and that adjustments are not in order. herefore, volume is not required to justify the imortance of the contract with resect to the market. Secifically, for n number of trades, each with a searate oen interest, the method would be used as follows: Variable Definition OI Oen interest for trade OI Oen interest for trade Ol n UP Oen interest for trade n Imlied underlying rice for trade UP Imlied underlying rice for trade UP n AUP OI Imlied underlying rice for trade n Average imlied underlying rice for the strategy otal oen interest for all trades. he average is the sum of each imlied underlying rice for each trade weighted by its roortion of the total oen interest for all trades: AUP = [OI /(AUP * UP ] + [OI /(AUP * UP ] + [OI n /(AUP * UPn] Strategy Analysis Window

227 Page Price Weighted Averaging Method his method laces the greatest emhasis on the series that is closest to at-the-money. he closer the otion strike is to at-the-money, the more weight is given to the imlied value from the otion. Conversely, the further out-of-the-money the strike is, the less weight is given to the imlied value from the otion. For examle: Strike Price Identifier Strike Underlying Price (UP Strike - UP rade rade he lowest strike for the strategy rade rade Volatility n Sum = Strike k UP k -----In other words, the sum of column 4. = 500 k = n Sum = Sum ( Strike Pr ice Underlying Pr ice = ( ( ( K = + ( = 500 n Sum Column4 Price Weighted Average Imlied Volatility = * Volatility K = Sum herefore, Price Weighted Average Imlied Volatility = * 0 + * + * 4 + * = = 3.46 his method is most useful for averaging Imlied Volatilities. For averaging Imlied Underlying Prices this makes less sense, since the roximity of a strike to the underlying rice is in doubt. Simle Average Method his method alies no weighting. Otions User Guide

228 Page Using Advanced Strategy Features Click Advanced button. he advanced strategy feature allows you to set u various whatif scenarios concerning 5 variables, Volatility, Interest Rate, Days till Exiration and Sread. Additionally, you can lot u to 8 curves using different values of the 5 variables. Selecting the Range Manually CQG offers users ways to select range values, either manually or automatically. o select range values manually:. Click on the Suort Ranges checkbox.. Select the From or o box which corresonds to the variable whose range you are creating. 3. Inut the desired from and to range values. Strategy Analysis Window

229 Page 3 Selecting the Range Automatically o select a range automatically:. Click on the Suort Ranges checkbox.. Click on the Auto Select Ranges button. 3. his dislays the Auto Select Ranges window. he range of values used when users choose the Select Range checkbox deends on the eriod selected. However, the method of calculating the range is the same. he system calculates the range using the high and low values for the selected eriod, and distributes the curves evenly within the range. Otions User Guide

230 Page 4 Auto Selecting the Volatility Range o automatically select the volatility range:. Select the Volatility tab.. Select the Select volatility range checkbox. 3. Select a volatility calculation method. Choices include Historical Volatility or Imlied Volatility. 4. Click on the Setu button to change the arameters for the Historical or Imlied volatility selection. 5. Select a contract (only relevant for sread strategies. 6. he contract selected here is the minuend, while the other contract, the subtrahend, is selected from the Advanced Strategy Analysis window. (Minuend Subtrahend = Difference or sread value. 7. Select the Period from radio button. 8. Click on the dro down list buttons associated with the Period from and to boxes to dislay a calendar 9. Select the desired from and to dates using the calendar. 0. Right click on the right arrow to move forward year.. Click on the right arrow to move forward month.. Right click on the left arrow to move backward year. 3. Click on the left arrow to move backward month. Or. Click on the ake last radio button.. Enter the number of immediately receding trading days to be used for the volatility calculation. Strategy Analysis Window

231 Page 5 3. Click on the OK button to aly the selections made in all three tabs and close the Auto Select Ranges window. Auto Selecting the Interest Rate Range o automatically select the Interest Rate range: or. Select the Select interest rate range checkbox.. Select the interest rate calculation method. Currently the only method available is 00 - Close@ (-. 3. Select the contract to be used. Currently the choices include EY (EuroYen, ZSD (Singaore Dollar Interest Rate and B (US reasury Bill. 4. Select the Period from radio button. 5. Click on the dro down list buttons associated with the Period from and to boxes to dislay a calendar 6. Select the desired from and to dates using the calendar. 7. Right click on the right arrow to move forward year. 8. Click on the right arrow to move forward month. 9. Right click on the left arrow to move backward year. 0. Click on the left arrow to move backward month.. Click on the ake last radio button.. Enter the number of immediately receding trading days are used for the volatility calculation. 3. Click on the OK button to aly the selections made in all three tabs and close the Auto Select Ranges window. Note: he values for the interest rate range deend on the currency selected from the Interest Rate tab in the Preferences for the Strategy window. Otions User Guide

232 Page 6 Auto Selecting the Sread Range. Click on the Select sread range checkbox.. Select the desired contract from the dro-down list. his is the minuend. he subtrahend is selected from the Advanced Strategy Analysis window. 3. Select the Period from radio button. 4. Click on the dro down list buttons associated with the Period from and to boxes to dislay a calendar 5. Select the desired from and to dates using the calendar. 6. Right click on the right arrow to move forward year. 7. Click on the right arrow to move forward month. 8. Right click on the left arrow to move backward year. 9. Click on the left arrow to move backward month. Or. Click on the ake last radio button.. Enter the number of immediately receding trading days to be used for the volatility calculation. 3. Click on the OK button to aly the selections made in all three tabs and close the Auto Select Ranges window. Note: he Sread tab is only active when a strategy utilizing different underlying futures contracts has been selected. Strategy Analysis Window

233 Page 7 Otions Strategy Color Windows he Strategy Grah Elements window facilitates changing the Strategy grah color elements. o do this:. Click on the Setu button.. Select Change Grah from the menu. Or. Click on the Color box in the What If tab.. Select the element to be changed from the dro-down list. 3. Select a color from the color alette. his colors the What If boxes a range of the selected shade. he individual What If lines can also be colored searately, rather than simly being a different shade of each other.. Click on the color box corresonding to the desired WhatIf scenario. Select a color from the color alette. his colors only the selected line with the designated color. Or. Right click within the Strategy Grah dislay. Otions User Guide

234 Page 8 Using the Strategy View Coloring Windows he two coloring windows associated with Otions Strategy are the Select Strategy Colors window and the Strategy View Grah Elements window. Using the Select Strategy Colors window he Select Colors window allows users to change many of the on-screen dislay elements for the alication currently dislayed. he content of the Select Colors window deends on the tye of window that is active when the command is given to dislay the Select Colors window. Besides roviding access to the color elements for the active window, the Select Colors window allows users to select colors for several system-wide elements. Like all the other Select Colors windows, the Select Strategy Colors window consists of three basic sections: Color Element, Color Preview, and Aly to. he Color Element section lists the elements of the articular window that can be colored searately and accesses the color alette, allowing the user to select a color for each element. he elements of a Strategy window that which can be colored searately include: the ext and Backgrounds for the Header, Enabled and Disabled Inut and Enabled and Disabled Data. he Aly to: section allows the user to aly changes differently among the same tyes of windows. Secifically, within a Strategy window, changes can be alied to one of the following: his Strategy Window Only, All Strategy Views On his Page, All Strategy Views on all Pages. In addition to selecting one of those, users can also aly the changes to All New Strategy Views. he Color Preview section allows users to refine their color selections and to get a general idea how those changes look before they are actually alied. o change the color of a dislay element: Click on the color box next to the name of the Color Element. Or. Click on the color element in the Color Preview area. In either case, the floating color alette aears.. Select a color from the alette. 3. Select one of the choices from the Aly to: area. 4. Click on the OK button to effect the changes and close the Select Colors window. Strategy Analysis Window

235 Page 9 Using the Strategy View Grah Elements window he Strategy View Grah Elements window allows users to select a color from the color alette and a thickness, ranging from - ixels, for the various elements of the Strategy View grahs. o make changes to the Strategy View dislays:. Click on the Grah Elements selector dro-down list button.. Select the element to be changed. Choices include: Exiration Value Curve, heoretical Value Curve, Standard Deviations, Underlying Price, Zero Line and What Ifs -4. Additionally, users can select colors for any curves set u from the Advanced Strategy Analysis window. 3. Click on the dro down list button associated with Line Color. his dislays the color alette. 4. Click on the desired color. 5. Select the desired line thickness. Choices range from - ixels. Additionally, for the What If Values users can select a Volatility, Volatility shift, Interest Rate, Days till Exiration or a Calendar Date for each What If. 6. Click on the OK button to aly the changes and close the Strategy View Grah Elements window. Otions User Guide