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Catalog
>>> Option Chain (1)
BTC-21SEP23-27400-C: Option Information - Expires on September 21st, with a strike price of 27400, and it is a call option for BTC.
Cross Margin/Isolated Margin: Cross Margin allows all available balances in the account to be used as collateral to avoid forced liquidation. Isolated Margin refers to allocating a certain amount of collateral assets to a specific position.
Price: Displays the Implied Volatility and USD value corresponding to different BTC prices.
24-hour High/Low: The highest and lowest traded prices of the option in the past 24 hours.
Order Book: Market information for the option instrument - Red represents sellers, green represents buyers, and the highlighted area indicates that there are sellers willing to sell 10.47 BTC at a price of 0.0037 (Note: 0.0037 is the lowest price at which sellers are willing to sell, and 0.0034 is the highest price at which buyers are willing to buy).
Mark Price: The fair price derived by the exchange using an internal model, and it is updated in real-time.
Model Price: The fair price calculated by the SignalPlus model.
>>>Option Chain (2)
Quantity: Input your desired quantity of options to be traded.
1.1 GTC: Good Till Cancel - Unfilled order remains in the order book until cancelled.👉 Post Only Order (Visible under GTC): When selected, the order will appear on the right order book, waiting to be filled; it will not be executed immediately at the market price.1.2 FOK: Fill Or Kill - The entire order must be executed immediately; otherwise, the order will be automatically canceled.1.3 IOC: Immediate Or Cancel - Execute the entire or partial order immediately; any unfilled portion will be canceled immediately.
Greeks: Provides a detailed analysis of the option leg.
2.1 Delta:Long - Expecting the price to increase.Short - Expecting the price to decrease.2.2 Gamma:Long - Expecting the realized volatility (RV) to rise, RV > IV.Short - Expecting the realized volatility (RV) to decrease, RV < IV.2.3 Vega:Long - Expecting the implied volatility (IV) to increase.Short - Expecting the implied volatility (IV) to decrease.2.4 Theta:Long - Profiting from time decay (selling options).Short - Losing money from time decay (buying options).
Recent Trades: Based on the taker side, red represents the seller, and green represents the buyer.
Ps: If you want to learn more about the Greeks, please continue to follow us.
>>> Option Chain (3)
Select Underlying Asset: BTC/ETH
Select Expiry Date: May vary across different exchanges
Around ATM: Check to only display option legs closest to the ATM strike (can modify the display quantity)
Underlying: Real-time price of BTC/ETH
Displays:
5.1 Left side shows call options, right side shows put options, and the middle displays the strike prices
5.2 Top left corner shows in-the-money (ITM) call optionsBottom left corner shows out-of-the-money (OTM) call optionsTop right corner shows out-of-the-money (OTM) put optionsBottom right corner shows in-the-money (ITM) put options
Indicators:
6.1 Mark: Fair price calculated by the exchange using internal models, updated in real-time
6.2 Model Price: Fair price calculated by the SignalPlus model
6.3 Spread: The difference between the displayed best bid and ask prices, represented as basis points(bp) or USD
6.4 Last Price: Latest traded price
6.5 Size: Market buy/sell volume for each strike price
6.6 Position & ROI: Displays current positions held at the corresponding strike price (can choose to view only total or isolated margin positions)
6.7 Open: Number of long/short option contracts held by investors in the market
6.8 24h Volume: Volume of trades in the past 24 hours
6.9 APR: Annualized cost for the buyer who pays the premium upon option contract execution; annualized return for the seller who receives premium income when the option contract is not executed
6.10 Greeks: Compares the Greek values of option legs at different strike prices, with the same expiry date
>>> Positions
Filter and display the types of positions
1.1 C-M: Coin Margined
1.2 USDC-M/USDT-M: USDC/USDT Margined
1.3 Expire: Select expiration dates
1.4 Strike: Input the range of strike prices
Instrument: Displaying derivatives positions held by expiration date
Size: The quantity of the position held, with green indicating a long position and red indicating a short position
Mark Price: The fair value determined by the exchange model
Entry Price: The cost price of opening the option
Average Price: The cost price of holding the option
IM: Initial Margin, the margin required to open a position or set a pending order. If the margin falls below the initial requirement, pending orders will be automatically canceled. At this point, you can only reduce positions and cannot open new ones.
MM: Maintenance Margin, the margin required to maintain the position.
PA Delta: Using the BS model, it measures the change in the BTC/ETH price corresponding to a 1% change in the underlying asset.
PA Smile Delta: Taking into account the volatility model, it measures the change in the BTC/ETH price corresponding to a 1% change in the underlying asset.
Gamma: Measures the change in Delta when BTC/ETH changes by $1.
Theta: Measures the change in option price over one day.
Vega: Measures the change in option price when IV changes by 1 vol.
Unsettled PNL: The profit or loss of the position since the last settlement (different exchanges may have different settlement rules and Crypto/USD conversion index prices).
Unrealized PNL: The profit or loss of the position since opening (different exchanges may have different Crypto/USD conversion index prices).
ROI: Return on Investment
Futures ROI = (Unrealized PNL/Initial Margin) * 100%Options ROI = ((Mark Price - Average Price)/Average Price) * 100%
Day's PNL: The total profit or loss of the account for the day, including all positions (settled at 8:00 am, UTC+0)
Inventory PNL: Displays the profit or loss variation of the current position compared to the mark point on the previous trading day at 8:00 am (UTC+0).
Intraday Trading PNL: The profit or loss generated from trading from the previous 8:00 am (UTC+0) until now.
Action: Close Position, click to close the corresponding position directly.
Group by risk unit: Display options and futures legs that can hedge margin as risk units.
(You can choose the information you want to display in the upper right corner.)
>>> Order History
Order Categories:
1.1 Regular Orders: Single leg orders, usually in options chains
1.2 Multi-Leg Orders: Multi-leg orders in Smart Dealing
Time: Users can select a specific time period to display their orders
Instrument: The symbol of the options contract, representing the underlying asset and the expiration date
Submitted Price: The price at which the options are placed
Order Status:
5.1 Active: Order is actively placed on the market
5.2 Filled: Order has been filled on the market (appears/disappears in positions)
5.3 Cancelled Qty: Order was not filled and has been canceled by the exchange
Remaining: The quantity of options still placed in the market (only appears for active orders)
Avg. Price: Calculates the average price of buying/selling under the same instrument
Fees: The trading fee paid after the order is filled
Order Type:
9.1 Limit Order: Places an order at a specified price and quantity
9.2 Market Order: Executes the order immediately at the current price in the order book for the specified quantity
Post-Only: Appears when placing orders in options chains and selecting "Post-Only"
Reduce-Only: Appears when closing existing positions in Positions or Smart Dealing
TIF:
12.1 GTC: Good Till Cancel - The unfilled order remains valid until canceled (default)
12.2 FOK: Fill Or Kill - The entire order must be executed immediately, otherwise it will be automatically canceled
12.3 IOC: Immediate Or Cancel - Executes the entire or partial order immediately, and cancels the remaining unfilled portion
Action: Users can modify the order details or directly cancel the order based on market conditions
Cancel All: Allows users to cancel all active orders with one click
>>> Smart Dealing (1)
Options Strategy:
1.1 For user convenience, SignalPlus includes 10 of the most common options strategies. For more details, please refer to the documentation: https://rowan-hawk-725.notion.site/Cryptocurrency-Options-Advanced-ddccc1b820894f15b64a25e2d208d2af
1.2 In addition, you can choose "Custom" to create your own options strategy.
Price:
2.1 Limit-Fixed: Input a specified IV/BTC/USD (or directly click on the left order book).
2.2 Dynamic Limit Price:2.2.1 Mid: The midpoint of the market order book (Bid0+Ask0)/
2.2.2.2 Mark Price: The fair price determined by the exchange's model.
2.2.3 Model Price: The fair price calculated by SignalPlus' model.
2.2.4 Bid0: The best bid price currently available in the market.
2.2.5 Bid-0.1%: The price that is 0.1% lower than Bid0 for a given volume.
2.2.6 Bid+0.1%: The price that is 0.1% higher than Bid0 for a given volume.
Quantity: Clicking on the second row (0.5/1/5/...500) will automatically input the corresponding order quantity.
Close Positions: Close the current opening positions of the current position
Import Recent Orders: Click to choose to import the latest 10 orders.
Delta Neutral: Add a futures leg to make the entire strategy delta neutral.
Expand All Legs: Expand all options legs to view related information.
>>> Smart Dealing (2)
After entering the relevant information of the options legs in Smart Dealing, you can click on the "Execute All" button in the upper right corner to place the order.
My Deal Cost: Positive number indicates premium paid, negative number indicates premium received.
Bid Price: The price at which a strategy places a buy order for a single portion on the order book (Best Bid).
Ask Price: The price at which a strategy executes a buy order for a single portion on the order book (Best Ask).
Balanced Trade (When there are two or more options legs in the order strategy, maintaining a consistent proportion of the order legs to avoid excessive risk exposure; for example, maintaining a 1:1 ratio for a straddle with two legs)
4.1 Divide Deal: Split the options combination into x small portions and execute them one by one.
4.2 Scenario 1: Check Filled & Maintain Balance: Select a time interval (e.g. 30s) and check the execution status of each leg; if leg 1 has executed 0.1, wait for 30s and check the execution status of leg 2; if leg 2 is not executed, leg 2 will immediately execute 0.1 leg at market price to maintain a 1:1 ratio.
4.3 Scenario 2: Check Filled & Maintain Balance: Select a time interval (e.g. 30s) and check the execution status of each leg; if leg 1 has executed 0.5, wait for 30s and check the execution status of leg 2; if leg 2 has only executed 0.3, leg 2 will immediately execute the remaining 0.2 leg at market price to maintain a 1:1 ratio.
4.4 End Task: Select a time limit for the entire options order (e.g. 30min), and if the entire options strategy is not completed within 30min, the remaining portion will be either canceled or executed at market price (optional).
>>> Smart Dealing (3)
Scenario: Profit & Loss Forecast in the Current Market Conditions
1.1 Expiry Date: You can select the expiry date of the current options strategy to view the profit and loss scenario.
1.2 Exclude Expired Positions: It is recommended to tick this option when viewing the P&L chart on the selected expiry date to avoid any errors.
1.3 Include Real Positions: Displays the total profit and loss chart of the current positions along with upcoming orders.
1.4 More: Redirects to a more professional and detailed risk scenario analysis.
1.5 IV: Adjusts the IV of all legs in the options strategy by a unified percentage and then views the profit and loss scenario.
Greeks
2.1 Display the various Greek indicators of the order positions based on the expiry date.
2.2 Gamma Neutral: Select one or multiple legs of the strategy, input the order quantity, and the system will automatically calculate the remaining legs to achieve gamma neutral.
2.3 Vega Neutral: Select one or multiple legs of the strategy, input the order quantity, and the system will automatically calculate the remaining legs to achieve vega neutral.
2.4 Position Before: Displays the Greek status of the existing positions.
2.5 Position After: Displays the Greek status after adding new options positions.
>>> Smart Dealing: Straddle (4)
Long Straddle: 1.1 Option Legs: Buy 2 legs of options with the same expiration date, same strike price (near ATM), and same quantity of both call and put options. 1.2 Use Case: When expecting significant price volatility in BTC/ETH or other assets but uncertain about the market direction.
Short Straddle:
2.1 Option Legs: Sell 2 legs of options with the same expiration date, same strike price (near ATM), and same quantity of both call and put options.
2.2 Use Case: When expecting BTC/ETH prices to be stable or in range.
Pros and Cons of Straddle:
3.1 Pros: The long straddle strategy generates unlimited profits when the market price fluctuates in either direction. Alternatively, the short straddle strategy can yield substantial premium income. 3.2 Cons: The long straddle strategy has higher premium costs due to the near ATM strike price, and it also suffers from time decay (theta). While the short straddle strategy can earn significant premiums, it carries substantial risks due to potential volatility in a double-selling strategy.
>>> Smart Dealing: Strangle (5)
Long Strangle: 1.1 Options Legs: Buy 2 options legs with the same expiration date, different strike prices (both out-of-the-money), and the same quantity of both call and put options.
1.2 Use Case: When expecting significant price fluctuations in BTC/ETH or other assets but uncertain about the market direction.
Short Strangle Strategy:
2.1 Options Legs: Sell 2 options legs with the same expiration date, different strike prices (both out-of-the-money), and the same quantity of both call and put options.
2.2 Use Case: When anticipating limited price movement within a specific price range for BTC/ETH or other assets until the expiration date.
Pros and Cons of Strangle Strategy:
3.1 Pros: Lower cost compared to the straddle strategy. When implementing a long strangle strategy, the potential profits are unlimited when the market price fluctuates in either direction. The risk exposure to volatility is lower when implementing a short strangle strategy compared to the straddle strategy.
3.2 Cons: Due to the combination of out-of-the-money options legs, a wider price range is required to generate profits compared to the straddle strategy. Additionally, when implementing a short strangle strategy, the premium received is not as high since both options legs are out-of-the-money.
Tip: Clicking on the "Strike Width" directly allows for synchronously moving both options legs in two directions.
>>> Smart Dealing: Butterfly (6)
Long Butterfly Strategy: (Using call options as an example)
1.1 Option legs: Same expiration date, call options onlyBuy 1 contract of higher strike call option (OTM)Buy 1 contract of lower strike call option (ITM)Sell 2 contracts of near at-the-money (ATM) call options
1.2 Use case: Expecting narrow price fluctuations in BTC/ETH, with prices staying within a specific range until expiration.
Short Butterfly Strategy: (Using call options as an example)
2.1 Option legs: Same expiration date, call options onlySell 1 contract of higher strike call option (OTM)Sell 1 contract of lower strike call option (ITM)Buy 2 contracts of near at-the-money (ATM) call options
2.2 Use case: Expecting significant price fluctuations in BTC/ETH, but uncertain about the market direction.
Pros and Cons of Butterfly Strategy:
3.1 Pros: Limited risk/loss, price neutral strategy
3.2 Cons: Limited potential profit when shorting this strategy.
>>> Smart Dealing: Condor Option Strategy (7)
Bullish Condor Strategy (using call options as an example):
1.1 Option leg combination: Same expiration date, all call options Buy 1 contract of out-of-the-money (OTM) call option with a higher strike price Buy 1 contract of in-the-money (ITM) call option with a lower strike price Sell 1 contract of out-of-the-money call option with a higher strike price, closer to the at-the-money (ATM) price Sell 1 contract of in-the-money call option with a lower strike price, closer to the at-the-money (ATM) price
1.2 Use case: Expecting narrow price movement of BTC/ETH, with the price staying within a specific price range until expiration
Bearish Condor Strategy (using call options as an example):
2.1 Option leg combination: Same expiration date, all call options Buy 1 contract of OTM call option with a higher strike price Buy 1 contract of ITM call option with a lower strike price Sell 1 contract of out-of-the-money call option with a higher strike price, closer to the ATM price Sell 1 contract of in-the-money call option with a lower strike price, closer to the ATM price
2.2 Use case: Expecting significant price movement of BTC/ETH, but uncertain about the market direction
Pros and Cons of the Condor Strategy:
3.1 Pros: Limited risk/loss, neutral strategy
3.2 Cons: Limited profit potential when implementing the bearish version of this strategy; ITM options often have lower liquidity, which may lead to difficulty in executing trades
3.3 Comparison: In practice, the probability of profiting using the Condor strategy for shorting volatility is higher, so it is more commonly used. Alternatively, for long volatility, the Butterfly strategy is preferred because it has a smaller range of limitations and higher probability of profitability.
>>> Smart Dealing: Iron Condor Strategy (8)
Long Iron Condor Strategy:
1.1 Option Leg Combination: Same expiration date Buy 1 contract of higher strike price call option (OTM) Buy 1 contract of lower strike price put option (OTM) Sell 1 contract of higher strike price call option, closer to ATM (OTM-ATM) Sell 1 contract of lower strike price put option, closer to ATM (OTM-ATM)
1.2 Use Case: Expecting narrow price fluctuations in BTC/ETH, with the price staying within a specific price range until expiration date
Short Iron Condor Strategy:
2.1 Option Leg Combination: Same expiration date Sell 1 contract of higher strike price call option (OTM) Sell 1 contract of lower strike price put option (OTM) Buy 1 contract of higher strike price call option, closer to ATM (OTM-ATM) Buy 1 contract of lower strike price put option, closer to ATM (OTM-ATM)
2.2 Use Case: Expecting significant price fluctuations in BTC/ETH, but uncertain about the market direction
Pros and Cons of Iron Condor Strategy:
3.1 Pros: All options are OTM, which has better liquidity; Limited risk/loss, price neutral strategy
3.2 Cons: Limited potential profit when shorting this strategy
3.3 Comparison: The Condor strategy includes option leg combinations that are ITM, which have relatively higher costs, poorer liquidity, and slower execution. On the other hand, the Iron Condor strategy consists of option leg combinations that are OTM, which have relatively lower costs, better liquidity, and faster execution.
<<< Smart Dealing: Call Spread Strategy (9)
Long Call Spread:
1.1 Option Legs: Same expiration date, both are call optionsBuy 1 contract of lower strike price call optionSell 1 contract of higher strike price call option
1.2 Use Case: Expecting limited upside in BTC/ETH price
Short Call Spread:
2.1 Option Legs: Same expiration date, both are call optionsBuy 1 contract of higher strike price call optionSell 1 contract of lower strike price call option
2.2 Use Case: Expecting neutral or slightly bearish BTC/ETH price
Advantages and Disadvantages of Bullish Call Spread Strategy:
3.1 Advantages: Lower cost compared to single options when going long on this strategy; limited risk/loss even if the market doesn't move as expected
3.2 Disadvantages: Limited potential profit compared to trading single options leg
>>> Smart Dealing: Put Spread Strategy (10)
Long Put Spread Strategy:
1.1 Option Leg Combination: Same expiration date, both are put options.Buy 1 contract of put option with a higher strike price.Sell 1 contract of put option with a lower strike price.
1.2 Use Case: Expecting a limited decline in BTC/ETH price.
Short Put Spread Strategy:
2.1 Option Leg Combination: Same expiration date, both are put options.Buy 1 contract of put option with a lower strike price.Sell 1 contract of put option with a higher strike price.
2.2 Use Case: Expecting a neutral or slightly bullish BTC/ETH price.
Pros and Cons of Put Spread:
3.1 Pros: If the price fluctuates between the two strike prices, going long on this strategy can earn more than buying a single leg put option. The risk/loss is limited even if the market does not move as expected.
3.2 Cons: The maximum profit obtained is limited compared to trading a single option.
<<< Smart Dealing: Calendar Spread Options Strategy (11)
Long Calendar Spread Strategy:
1.1 Option leg: Different expiration dates, same option leg (using call options as an example) Sell 1 contract of a short term call option Buy 1 contract of a longer term call option
1.2 Use case: Anticipating a relatively stable price of the underlying asset in the short term, with an expected increase in the future. Also expecting an increase in implied volatility.
Short Calendar Spread Strategy:
2.1 Option leg combination: Different expiration dates, same option leg (using call options as an example) Sell 1 contract of a short term call option Buy 1 contract of a longer term call option
2.2 Use case: Anticipating significant price volatility of the underlying asset in the short term, with an expected decrease in the future. Also expecting a decrease in implied volatility.
Advantages and Disadvantages of Calendar Spread Strategy:
3.1 Advantages: When implementing a long call calendar spread, selling the nearer-term option can offset some of the premium paid, reducing costs.
3.2 Disadvantages: The maximum potential profit that can be obtained before both option legs expire is limited.
3.3 Note: When viewing the profit curve forecast, make sure to check the "Exclude Expired Positions" option.
<<< Smart Dealing: Diagonal Spread Options Strategy (12)
Long Diagonal Spread Strategy:
1.1 Option Leg: Different expiration dates, different strike prices (using call options as an example) Sell 1 contract of a nearer-term call option Buy 1 contract of a farther-term call option
1.2 Usage Scenario: Expecting the underlying asset's price to remain relatively stable in the near term, with significant theta decay. After the nearer-term option leg expires, expecting a substantial increase in the underlying asset's price to achieve secondary profits.
Short Diagonal Spread:
2.1 Option Leg: Different expiration dates, different strike prices (using call options as an example) Sell 1 contract of a farther-term call option Buy 1 contract of a nearer-term call option
2.2 Usage Scenario: Expecting the underlying asset's price to experience significant volatility in the short term. After the nearer-term option leg expires, expecting the underlying asset's price not to increase.
Advantages and Disadvantages of Diagonal Spread Strategy:
3.1 Advantages: After the expiration of the short-term options, the strategy allows for the closure of the farther-term options or the initiation of new option positions based on market conditions, enabling the construction of entirely new options strategies.
3.2 Disadvantages: The strategy involves multiple considerations and complex operations. The maximum potential profit is limited compared to trading a single option.
3.3 Comparison: Compared to Calendar Spread strategy, Diagonal Spread strategy can achieve profits more effectively by taking advantage of different strike prices, and it can also capture theta (time decay) more efficiently.
3.4 Note: When viewing the profit curve prediction, be sure to select "Exclude Expired Positions".
<<< Smart Dealing: Risk Reversal Option Strategy (13)
Long Risk Reversal:
1.1 Option Leg: Same expiration date Buy 1 Out-of-the-Money (OTM) Call Option Sell 1 Out-of-the-Money (OTM) Put Option
1.2 Use Case: Anticipating an increase in the underlying asset price. Typically, individuals who are short on the underlying asset use this strategy as a hedge to reduce their risk exposure.
Short Risk Reversal Strategy:
2.1 Option Leg: Same expiration date Buy 1 Out-of-the-Money (OTM) Put Option Sell 1 Out-of-the-Money (OTM) Call Option
2.2 Use Case: Anticipating a decrease in the underlying asset price. Typically, individuals who are long on the underlying asset use this strategy as a hedge to reduce their risk exposure.
Advantages and Disadvantages of the Risk Reversal Strategy:
3.1 Advantages: If an investor holds a long/short position in the underlying asset, the losses incurred when the asset price changes unfavorably will be significantly reduced. Both options are out-of-the-money, resulting in lower operating costs.
3.2 Disadvantages: When solely relying on this strategy, if the market moves unexpectedly in the opposite direction, the losses incurred can be unlimited.
3.3 Note: This strategy is typically used as a protective measure in conjunction with actual spot trading.
<<< Volatility Labs - Term Structure (1)
Vertical sidebar on the left - Strike Price: Displays the option's strike price in the form of Delta. 25D Put represents a put option with a Delta of -25%, while 25D Call represents a call option with a Delta of 25%. ⚠️ Note: Generally, the more expensive the option, the larger the absolute value of Delta. The strike price corresponding to the same Delta exposure may vary for different expiration dates.
Vertical sidebar on the right - Implied Volatility (IV): IV is primarily used to measure the market's expectations for future changes in the underlying asset.
Horizontal Axis - Expiration Date
Purpose: It is mainly used to observe the changes in IV with the passage of time for the same Delta exposure. In general, as the farther the expiration date, the uncertainty about the future increases, leading to higher IV. The current curve changes mainly due to factors such as fake news last night, which have pushed up the short-term IV values.
Other usage: Comparing the IV of Call and Put options with the same Delta exposure can provide insights into market sentiment. If the Call IV is higher than the Put IV, it indicates a higher demand for bullish options. Conversely, if the Call IV is lower than the Put IV, it suggests a higher demand for bearish options.
>>> Volatility Tool: Model Volatility Smile (2)
Left Sidebar - Expiry Date
X-Axis - Delta/Strike Price
Y-Axis - Implied Volatility (IV)
Main Purpose: Compare the IV levels for different expiry dates and different Delta/strike price positions. In general, if the market is neutral, the slope of the curves and the level of IV will be similar for both the Call and Put ends. However, as shown in the graph below, when the market sentiment is more positive or investors are more inclined to buy call options, the IV for the Call end will be higher than the Put end for the same Delta exposure/strike price.
PS: Clicking on the left sidebar expiry date section directly allows you to select the options legs you want to display and compare.
>>> Volatility Labs - Volatility Surface (3)
x-axis - Delta
y-axis - Expiration Date
z-axis - Implied Volatility
Introduction: The color of the surface ranges from blue to red, allowing for a visual representation of the volatility levels (blue represents low volatility).
Usage: The volatility surface provides a comprehensive view of the volatility of options. It allows for easy observation of the relationship between IV, Delta, and expiration date, enabling better analysis and comparison of options to identify various trading opportunities.
Example: For instance, if the surface is high on both sides and low in the middle, it may indicate an opportunity for a long butterfly strategy. On the other hand, if the Call side is high and the Put side is low, it may suggest potential for a short Risk Reversal strategy.
>>> Volatility Labs: IV vs RV (4)
Display Time: Selectable from one week to one year
Implied Volatility (IV): Reflects the market's expectation of future risk.
Realized Volatility (RV): Represents the level of volatility exhibited by the returns of the underlying asset over a past period.
Usage: Observe the changes in trend of IV/RV, as well as the changes in the premium levels of both. When the market overvalues/undervalues IV, leading to a significant difference between IV and RV, it is possible to engage in IV arbitrage by shorting/going long on IV.
>>> Volatility Labs: Volatility Cone (5)
Indicators:
1.1 RV: Realized Volatility, reflects the level of volatility exhibited by the underlying asset's returns over a certain period of time.
1.2 ATM IV: Represents the overall level of implied volatility.
1.3 25D/10D RR IV: Measures the IV of the 25D/10D RR (Risk Reversal Strategy). This indicator compares the IV of call and put options on the volatility curve, reflecting the market's demand for call and put options.
1.4 25D/10D FLY IV: Measures the IV of the 25D/10D FLY (Butterfly Strategy). This indicator primarily observes the slope of the volatility curve, where higher values indicate a steeper slope and greater market demand for long volatility.(Note: 25D and 10D are commonly used reference points with high liquidity and frequent trading.)
Sample Statistics: Allows selection of different past time periods as sample statistics, such as 1W/2W...1Y. Users can choose the desired time length based on their analysis needs. For example, if analyzing future IV changes based on the past year's data, select 1Y. Conversely, if predicting IV changes based on the past week's data, select 1W, and so on.
X and Y-Axis: The Y-axis represents the level of IV. The X-axis represents future time windows of 7D/14D...180D. The chart displays the analysis of ATM IV changes using the past month as the sample statistic. For the next 7 days, the current IV value will be at 54.21%, with a maximum value of 56.73% and a minimum value of 22.39%. Note: RV showcases the IV changes over the past 7D/14D...180D.
IV Indicators:
4.1 Current: Current IV value.
4.2 Minimum/Maximum: Minimum/maximum IV values.
4.3 25%/Medium/75%: IV values at the 25th percentile/median/75th percentile of historical data.
<<< Volatility Labs: 7Day RV Momentum (6)
RV Momentum: The velocity of the trend of RV, describing the change of RV over time, which can be understood as the first derivative of RV with respect to time in a day.
7D RV: 7D RV momentum represents the speed of RV change on the trailing 7-day basis.
Functions:
3.1 RV Momentum can indicate the upward or downward trend of RV.
3.2 7D RV can show the past trend of RV.
3.3 Strategy: When the RV trend changes from positive to negative, it means that RV has reached a high point and started to decline. At this point, one can consider shorting volatility.
>>> Volatility Tool - Historical IV- Expiry (7)
Indicators: Allow to choose various indicators to be displayed on the chart according to their needs.
Time: Allow to select the time range to be displayed on the horizontal axis, ranging from 1W (1 week) to 1Y (1 year).
Navigation Bar: Select the expiry dates they want to compare the IV for.
Horizontal and Vertical Axes: The horizontal axis represents time, while the vertical axis represents IV.
Functions:
5.1 Observing the IV trend for a specific expiry date.
5.2 Comparing the IV differences between different expiry dates. For example, in the chart below, we can see that there was an abnormal volatility in IV on October 28th for the near-term expiry, but the IV for the far-term expiry did not show significant changes.
>>> Volatility Labs: Historical IV - Tenor (8)
Indicator: Users can choose various indicators to display based on their needs.
Time: Select the desired time range to view the IV trend, such as 1W/2W/...1Y.
Navigation Bar: Choose the term to compare IV.
X and Y-axis: The X-axis represents the term, while the Y-axis represents IV.
Functions:
5.1 Observing the IV of a single term allows users to assess the current IV level and make predictions about future trends based on historical IV records.
5.2 Comparing the IV of multiple terms, such as the difference in IV between 7D and 14D, can be utilized for term arbitrage.
>>> Volatility Labs - Time Lapse IV - Expiry (9)
Indicator: Users can choose various indicators to display, such as ATM/RR, according to their needs.
X and Y axis: The X-axis represents the expiry date, and the Y-axis represents IV.
Chart: Shows the highs and lows of IV for different expiry dates at different times. For example, the yellow line represents the current IV trend for different expiry dates, while the green line represents the IV trend for different expiry dates from the previous day.
As of Date: Users can select the past data dates they want to view and compare, or they can input a custom date.
Function: Allows users to compare the differences and trends among the current IV and past IV for the same expiry date. For example, with the indicator set to ATM and the same expiry date of 10JAN24, if the yellow line's ATM IV is lower than the green line's, it indicates a decrease in volatility. It also allows users to observe that the current ATM IV on 9Jan is lower than the ATM IV on 8Jan.
Top-right corner switch: Category - Displays different expiry dates for options available on the market; Calendar - Displays the information chronologically.
>>> Volatility Labs - Time Lapse IV - Tenor (10)
Indicator: Users can choose various indicators, such as ATM/RR, based on their needs.
X and Y Axis: The X-axis displays the number of days to expiration, while the Y-axis represents IV.
Line Chart: The chart displays the IV and corresponding RV (Realized Volatility) of options with x days remaining until expiration. For example, the yellow line shows the current IV trend for different expiration dates, the green line shows the IV trend from the previous day, and the pink line shows the RV trend.
Date: Users can select the dates they want to view and compare past data. Custom input is also available.
Purpose: This tool allows users to compare the difference and trend between current IV and past IV for options with the same expiration date. For example, by selecting the ATM indicator and a delivery date of 2 days later (2d), if the yellow line for ATM IV is higher than the green line, it indicates an increase in volatility. By comparing the current IV and RV data, users can also see that the RV of ATM options expiring in 7 days is lower than IV. If one predicts a decrease in volatility after 7 days, they can profit from shorting volatility.
Top Right Corner Switch: Category - displays
>>> Scenario Analysis Table for Risk Scenarios (1)
1. Main Function: Used for conducting risk stress testing and estimating Greeks/PNL/MM changes under various scenarios.
2. Index Bump Range% or Index Range: Input the desired range of price fluctuations to be tested, such as (-20%, 20%).
3. Price Step: Set the dollar interval or equal share based on the designated price range.
4. X and Y Axis: The X-axis displays different prices set, while the Y-axis shows the overall risk and PNL changes in the next 7 days to expiration.
5. Application: By setting a price change range of (-20%, 20%) and dividing it into 20 equal parts after excluding expired positions, one can observe that within the next 2 expiry dates, ETH will incur losses if the price is below 2483.23, but profits can be made if the price exceeds 2533.91. If traders have concerns about the PNL situation at that time, they can analyze and adjust the positions of various Greeks to subsequently modify the PNL situation of the entire position.
>>> Scenario Analysis Table for Risk Scenarios (2)
Positions Filter: You can select the position type from Isolated/ Cross/ USDC-M/ USDT-M.
Expiry Filter: By checking this option, only options positions with expiry dates between 17Jan24 and 15Jan25 will be selected.
Risks: You can choose the risks and PNL indicators to be displayed.
IV: By entering the IV% in the yellow box, you can adjust the IV for all options positions. This allows you to see how the overall PNL of the positions will change when the IV increases or decreases by x%. By clicking on the red box, you can customize the PNL of each options position for different IV changes.
Delivery Price: Before viewing the risk scenarios for a future day (Day x), you can click on the yellow box to customize the delivery price for expiry positions of different options. For example, by setting the future delivery price for 17Jan24 as 3000, you can view the PNL under this assumption after clicking on the query button.
>>> Scenario Analysis Graph for Risk Scenarios (3)
If you find the scenario analysis table to be unclear, you can switch to the scenario analysis graph for a more intuitive view. The graph displays the profit and loss (PnL) of your position under different scenarios when specific modules, such as PNL, are selected.
The horizontal axis of the chart represents the price, while the vertical axis allows you to choose different indicators, such as PnL, Greeks, IM, or MM.
In practical terms, let's take an example from the provided image. On Day 3, under different ETH prices, you can visually observe the PnL situation of your current options position. From the image, you can see that the maximum profit can be obtained when the ETH price is around 2557.16. Additionally, you can identify the breakeven points when the price fluctuates by approximately -5% or +7%.
Other settings for the scenario analysis graph are similar to those of the scenario analysis table.
>>> Risk Scenario: IM&MM (4)
Premise: In the Smart Dealing module, we can intuitively see the profit and loss situation of the upcoming order options portfolio. However, at this point, we are also concerned about the potential changes in IM & MM after placing the order, especially the risk of liquidation.
Solution: Click on the "More" button in the PnL chart, and you will be automatically directed to the risk scenario chart. Select the option "Include Real Positions" to estimate the changes in IM & MM after the options combination is formed.
Other: If you want to dive deeper into how to use the risk scenario feature, you can refer to the previous two introductions.
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