Option Analytics Window
The Option Analytics window displays values that reflect the rate of change of an option's price with respect to a unit change in each of a number of risk dimensions.
The contract price plots display the static set of contract prices determined during the price scan. Each point associates an underlying price on the horizontal axis with the corresponding contract price on the vertical axis. Note that the contract price is expressed as the price per underlying unit (just as it is represented on an order line or in the execution window). The top plot displays calls, the bottom plot displays puts, for whichever option(s) your have highlighted in the list.
Move your mouse over the curves to highlight the current value. Also, note that the current underlying price is highlighted on the bottom axis, and the close price is marked by a light gray vertical line.
Use the Plus sign to specify the close value. Use the Vol+15%, Vol-15% and Time-1d raise the implied volatility by 15% in relative change*, reduce the implied volatility by 15% in relative change*, and reduce the time to expiry by one calendar day. Use the Date Scenario section to create dynamic curve scenarios.
To view the Option Analytics window
- From Mosaic - Use the New Window drop down and select Option Analysis > Interactive Analytics > Option Analytics.
- From Classic TWS - Use the Analytical Tools menu and select Option Analysis > Interactive Analytics >Option Analytics from the Technical section.
*For an example of a relative percent change, if the current implied volatility of an option is 10%, a 15% relative change would result in an implied volatility of 11.5%, calculated as follows:
10% * (1 + 0.15) = 11.5%.
Additionally you can open just the option Greeks or just the Put & Call P&L by selecting:
- Option Analysis > Interactive Analytics > Greeks
- Option Analysis > Interactive Analytics >Put+Call P&L
