Option Workshop contains functionality to display vector parameters of a whole option series in visual form. You can create option theoretical price and volatility chart. To go to the chart:

  1. Open the Option series tree → Series.
  2. Right-click on the series name.
  3. Select the Volatility skew command from the pop-up menu.

Volatility skew

By default, the volatility chart will open. The price range of the underlying asset is shown by the x-axis; the value of the volatility/theoretical price by the y-axis.

Volatility charts

The chart below shows the implied volatility of option prices.

Volatility charts

The color of the lines indicates the impliced price volatility:

  • – call options
  • – put options

Volatility chart line displays data calculated using the current option series' pricing model.

The markers indicate the implied volatility of the best bid and ask prices:

  • – call options
  • – put options

Markers are displayed only for the default model. The default model consists of two parts – a computation model (Black-Scholes or Black) and a volatility model. In Optin workshop the volatility values are calculated automatically. The screenshot shows a chart with implied volatility markers shown only for call options.

You can simultaneously display IV curves for all pricing models created for this option series (see IV curves of pricing models). The skew is shown by a dashed line.

Volatility skew

Theoretical price charts

To switch to the option theoretical price charts, click the price button on the toolbar.

Theoretical price chart

The color of the lines indicates:

  • – the theor. price of call options
  • – the theor. price of put options

The markers indicate the theor. bid and ask prices:

  • – call options
  • – put options
Markers are displayed only for the default model.

Chart controls

There are a number of controls on a chart's toolbar that allow you to manage the chart's settings (enumerated from left to right):

  • Ticker – shows the option series' underlying instrument ticker symbol and its current price
  • Strikes from/to – this is used to select the price range of the underlying asset
  • Y axis price/volatility – this is used to switch between volatility chart and theor. price chart
  • Settings:
    • Show call markers – if this checkbox is set then implied volatility markers for call options are displayed (otherwise they are hidden)
    • Show put markers – if this checkbox is set then implied volatility markers for put options are displayed (otherwise they are hidden)
    • Show model line – display IV curves
    • Enable pointer filtering – this is used to hide markers, if their deviation from the model chart is more than 30%
    • Enable cursor – this is used to display the guiding line and the tooltip
    • Show legend – this is used to turn chart legend display on or off
    • Configure chart style – open the Volatility skew setup form
  • – open the documentation site

To see specific vector parameters of any point, hover the mouse cursor over the desired point on the graph. The tooltip showing vector parameters at the selected point will appear.

Theoretical price chart

IV curves of pricing models

You can simultaneously display IV curves for all pricing models created for this option series. In the Models list, check the checkbox in front of the interest model.

IV curves of pricing models

If you’re working with several charts simultaneously, you may set different line style for each of them.

Volatility skew setup

You can customize the volatility skew:

  • select the color, thickness, line style (solid, dashed, dotted, etc.);
  • select the size of the orders price markers.
Click the Settings button and select the Configure chart style command. In the Volatility skew setup form select the color, thickness, line style (solid, dashed, dotted, etc.) and the size of the orders price markers and click the OK button to apply the settings.

Volatility skew setup

The last set parameters will be applied to the new chart.

Scaling and moving

You can scale and move the chart in several ways:

  1. Mouse wheel – scroll the chart horizontally.
  2. Shift+mouse wheel – scroll the chart vertically.
  3. Ctrl+mouse wheel – scaling.
  4. To scale into a certain area, hold the right mouse button and select the area.
  5. To return to default size double-click the left mouse button on the chart.
  6. To move the chart, click the left mouse button and hold it pressed while moving the cursor.