by TrueDataAll release notes
Options analytics rebuilt: one pricing model, Spread Scanner, IV Smile, Gamma Exposure and Option Strategies
Rolled out to the web terminal between 10 and 12 October and included in desktop build 26.10.13. Every option panel now prices from the same forward, the Option Chain absorbs multi-strike OI analysis across several sessions, and two new panels price spreads and the volatility smile.
New
- Spread Scanner panel prices every call, put and iron butterfly, or 1:N ratio spread, around the money as a grid of centre strike by wing width, coloured from cheap to rich. Each cell shows net debit or credit, cost as a percentage of the wing, reward to risk, break-evens, slippage and minimum open interest, with mid, LTP or executable pricing per unit or per lot. Spread Scanner guide.
- IV Smile panel solves implied volatility for every call and put strike, fits a vega-weighted curve in log-moneyness and shows rich and cheap residuals, ATM IV, the 25-delta risk reversal and butterfly, skew slope and the richest and cheapest strikes, as a chart on a strike, moneyness or delta axis, or as a table. IV Smile guide.
- Gamma Exposure rebuilt for accuracy. Legs are priced off a parity-implied forward, out-of-the-money volatility is borrowed for in-the-money legs, dead strikes are interpolated and walls are gamma-weighted. New views include the net-GEX profile curve the flip is read from, a change-in-OI GEX view, a concentration view, six metric tiles, a session history strip, percentage strike scopes and a warning when the contract is expiring. Gamma Exposure guide.
- OI Analysis inside the Option Chain. A Chain, Split and Analysis switch lets you select CE or PE rows or strike pairs and open a resizable pane with range aggregates, RTH and ETH sessions, a timeline and Overview, Price, Volume, OI and OI Change tabs. The separate Multi-Strike OI Analysis panel is retired; saved layouts convert automatically. Option Chain guide.
- OI analysis across several sessions. A Days control loads 3, 5 or 10 trading days of 5- or 15-minute bars; overnight gaps collapse so open-interest build-up reads as one line, and OI change is measured from the first bar of the window.
- One pricing model across option panels. The Option Chain, IV Smile and Gamma Exposure previously implied three different volatilities for the same strike. All now resolve the same forward, from put-call parity, else the future, else spot carried at the risk-free rate, so header ATM IV, straddle, expected move and row greeks agree everywhere.
- Expiry-eve strangle card. On the afternoon before a weekly index expiry, the Option Chain's market-context strip shows an Expiry eve pill. Its card names the strangle or iron-condor legs picked from the live chain, the credit per lot after charges, the closing range required, break-evens and the maximum loss, with the tail risk stated plainly. The chain tags the strikes.
- Option Strategies rebuilt. A metric-card strip shows P&L after charges, probability of profit, exact maximum profit and loss, net premium with break-evens and estimated margin, alongside position greeks, expected move and touch probabilities. The payoff chart gains dated value lines, an IV shift, one- and two-sigma bands, strike ticks and a target; a price-by-date P&L surface, greeks versus price and session series for P&L, premium, OI and greeks with adjustment markers are new. Build quickly by ATM width, delta, premium or percentage OTM, with futures legs, and keep a saved-strategy library. Option Strategies guide.
- Option Strategies backtester upgrade. Strike selection by delta, premium, percentage OTM and straddle width; nearest, next or monthly expiry rules; per-leg entry times with wait-and-trade; weekday and days-to-expiry filters; positional holds across sessions; and new statistics including per-trade win rate, profit factor, intraday mark-to-market drawdown, monthly and weekday tables and Sortino. Fills use the last print at or before the spot bar on the 0.05 tick.
- Option Strategies: Chain tab, replay auto-exit and Suggest. The Chain tab plots call versus put OI, PCR, max pain, ATM IV and the ATM straddle through the session. Auto-exit closes all legs at a profit, loss or time as replay advances. Suggest ranks strategies by value at the payoff target and date. Right-click any chain cell to buy or sell it as a leg, open its chart or Time & Sales, trade it or add it to a watchlist.
- Gamma Blast tuned for index futures. Every leg is priced off the expiry forward with a new Chart Is a Future setting; NIFTY futures, rolling contracts and option symbols resolve to the underlying; expiry rolls automatically at 15:30; the OI unit (quantity or lots) is detected so exposure is not double-counted; and defaults are tuned for index futures. Gamma Blast guide.
Improved
- Shared chain feed. One subscription per contract now serves every open option panel. The chain shows the previous session's closes and OI when nothing is ticking instead of empty rows, and retries other option exchanges when an instrument's exchange lists no contracts.
- Power Scanner prints and sweeps are sized to each symbol's own session. Large Print no longer floods and Sweep now fires: both require a multiple of the symbol's average minute of volume today, the sweep window grows from 1.5 s to 5 s, OI findings need a 0.5% change instead of 2%, findings no longer depend on when the panel was opened, and overnight scanners start the new session clean.
- Formula Chart locks unsupported indicators. Tick-based and chain-based indicators are shown locked with a reason on formula charts instead of mounting empty.
Fixed
- Far out-of-the-money index strikes no longer collapse to the volatility floor; the IV solver tolerance was corrected.
- Formula Chart results from Add symbol in custom mode were clipped by the toolbar and are now visible; chart mode (TPO or candle) is mirrored into the straddle configuration and saved; the RTH and ETH toggle now changes the data.
- Option Chain grid no longer shows a blank spacer at the top after returning from the Analysis layout.
- Option Strategies in live mode: a date change cleared the chain without reloading it, legs were judged open by bar index instead of exit state, and hover actions in the LTP cell were clipped in narrow splits. Jade lizard templates were corrected.
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