Implied Volatility Viewer

For all stock, index and futures that have option contracts, open the Implied Volatility Viewer to see option volatility plotted against a range of user-specified strike prices for a user-defined expiry list.

To do so, please take the steps outlined below.

1. For Mosaic - Click the New Window button in the top left corner and select Option Analysis > Interactive Analysis > Implied Volatility Viewer

   For Classic TWS - Click the Analytical Tools button across the top of the page and select Option Analysis > Interactive Analysis > Implied Volatility Viewer

   

Use the Implied Volatility Viewer to see option volatility plotted against a range of user-specified strike prices for different Last Trading Days. Available for all stock, index and futures contracts that have options.

• Adjust display and other frequently used settings using the right-click menu within the chart.

• Study the model volatility surface of contracts in 3D. Display the model surface together with individual option IV points, or compare the current surface with any historical value by plotting them together. Click and drag the plot to rotate the view, and scroll within the plot to zoom. Expand the "Extra plot controls" to show contour and value lines and manipulate scaling using sliders.

• Use the right-click menu to open such tools as the Crosshair and tooltip display and to import and export curves.

• Use the wrench configuration icon to define other settings.

• To zoom in, use scroll bars or draw a rectangle on the chart to zoom to that area.

The Implied Volatility Viewer has two modes: Remote Server and Local PC.

Remote Server mode - In this mode, the model Implied Volatility is calculated on the server side, based on the entire volatility surface for the selected underlying. This computation includes all options in the related option chains that have a valid quote. In Remote Server mode, you cannot access the Edit menu nor can you make any changes to assumptions used in the model.

Local PC mode - In this mode, the model Implied Volatility is calculated on the based only on options loaded in TWS. In this mode, you have access to the Edit menu and can modify the interest and dividends and the loaded basket contract.

Remote Server Mode

3D Volatility Surface Webtool

Click the "3D" button on the Implied Volatility Viewer to view. Grab and move the 3D image with your mouse.

• Display the model surface together with individual option IV points or compare the current surface with any historical value by plotting them together.

• Click and drag the plot to rotate the view and scroll within the plot to zoom.

• Check “Historical” and choose a date to plot historical data. To see ONLY historical data once it’s loaded uncheck “Today.”

• Change the range of displayed trading dates using the “Displayed Last Trading Dates” slider or using the calendar entry fields.

• Expand the "Extra plot controls" to show contour and value lines and manipulate scaling using sliders.

• See specific data by holding your mouse over a point in the plot.

Local PC Mode

• Edit menu is available when the tool is in "Local PC" mode

• Specify last trading days to display and check days to include at the top of the Implied Volatility Viewer.

• Use the Configuration menu for more settings.

  

• Strike axis shared - When checked all curves use the same Strike axis along the bottom of the graph. If unchecked, curves are charted separately each with their own Strike axis.

• Strikes relative to forward price - If checked, the strike axis shows the value relative to the forward price of each vol curve. If unchecked, the axis displays the actual strike prices.

• Show Legend - If Midpoint and/or the bid/ask are displayed, the legend in the top right corner identifies the icons used for them.

• Highlight strike points near cursor - When checked, the strike points are shown as easy to see colored balls along the curves as you move your cursor along them.

• Highlight curves on mouse hovering - When checked, curves are highlighted in white when the cursor is over them.

• Include prices in export - When exporting the chart, if checked the prices are also included along with the volatilities.

• Connect forward price with related curve - Uses vertical lines from the Strike axis to connect forward prices with the related curve. Only available if "Strikes relative to forward price" is not checked.

• Connect at-the-money IV with related curve - Uses horizontal lines from the Volatility axis to connect at-the-money implied volatilities with the related curve. Only available if "Strikes relative to forward price" is not checked.

Default Domain Range

• Full Model

• IV Strikes

• set range

Tooltip Mode

• Compact - Shows the very basic for mouse-over tips.

• Verbose - Shows an expanded version of information for mouse-over tips.

Volatility Units

• Annual - Uses annual volatility

• Daily (business days) - Uses daily volatility

Color Scheme

• Automatic

• Rainbow

• Gradient

The Option IV Term Structure shows the Days to Last Trading Day along the bottom horizontal axis and the at-the-money IV for that date along the vertical left axis. You can use this tool alone, or open it in conjunction with the Implied Volatility Viewer.

To open Options Implied Volatility Term Structure

1. For Mosaic - Click the New Window button in the top left corner and select Option Analysis > Interactive Analysis > Option IV Term Structure

   For Classic TWS - Click the Analytical Tools button across the top of the page and select Option Analysis > Interactive Analysis > Option IV Term Structure

   

• Use checkboxes at the top to view Today and/or Yesterday's previous close data.

• Change the color scheme and the display and configuration of the horizontal axis using the "Configure" wrench icon in the top right corner.

• Elect to show "uniform spacing" for last trading day, or to show Days to Last Trading Day.

• Use the slider along the bottom frame to zoom, and use the right-click menu to show data tooltips.

The Implied Volatility Term Structure has two modes: Remote Server and Local PC.

Remote Server mode - In this mode, the model Implied Volatility is calculated on the server side, based on the entire volatility surface for the selected underlying. This computation includes all options in the related option chains that have a valid quote.

Local PC mode - In this mode, the model Implied Volatility is calculated on the based only on options loaded in TWS. In this mode, you have access to the Edit menu and can modify the interest and dividends and the loaded basket contract.