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Does Volume Matter With Futures Options?
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Does Volume Matter With Futures Options?

  #11 (permalink)
Redwood City, CA
 
Trading Experience: Advanced
Platform: SierraChart and TWS
Broker/Data: Interactive Brokers
Favorite Futures: ES, CL, GC, 6E, ZN/ZB, FGBL, and options
 
Posts: 9 since Aug 2017
Thanks: 3 given, 12 received

Hi, TWS user and options trader here.

There's a ton of nice options tools in TWS. Just to give you some pointers on what you can find there, you can open the Risk Navigator and either analyze your real portfolio or create a simulated one, and then have it show all the Greeks aggregated in many different ways (per product, per sector, per country, per currency etc), and you can even plot some risk analysis charts with different scenarios you can specify (things like an increase or decrease in IV, or at a specific date in the future, etc).

With the Model Navigator, you can see all the underlying model IB is using to perform calculations, including things like expected cash flow of dividends (if you are looking at stock options), or interest rates, IV per strike, etc. If you want, you can even customize these values if you have a better model.

There's the Option Chain window, where I actually place most of my trades - if you enable the "Strategy" setting on the bottom, you can create more complex, multi-legged strategies. It will even show some of the same data you said you found on the order confirmation screen.

There's a similar, but different, window called Options Trader. What I use this one for is if I want to trade IV - you can easily place orders indicating the IV you want to buy or sell the option for, and it will dynamically update the price for you. Also, it allows you to attach a delta-hedge order, meaning that it will automatically buy or sell the right amount of underlying to give you a delta exposure as close to 0 as possible. I find this especially useful if I'm in the process of closing a complex book of options, and I don't want to get unnecessary delta exposure as I close each node.

There are lots of other tools that you can use to visualize information on options, including the term structure of IV, or how the volatility skew changes over time, etc.

Finally, there's an Option Lab, which I never really use, but is interesting nevertheless - it shows you the probability distribution of the price of the underlying based on the market prices of options. You can then adjust the probability distribution to match your model / your beliefs, by dragging around the curve. You can then ask IB to find the best strategies for you to trade based on the difference between the market implied distribution and your distribution.

Sorry, there's a lot of stuff here. But hopefully it might give you some ideas to explore!

Cheers

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  #12 (permalink)
Legendary Market Wizard
Houston, TX
 
Trading Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 3,031 since Dec 2013
Thanks: 2,461 given, 5,449 received

Great Post @bfreis

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The following user says Thank You to SMCJB for this post:
 
  #13 (permalink)
Kyoto, Japan
 
Trading Experience: Intermediate
Platform: TW TOS LiveVol
Broker/Data: TD, TW, IB, Saxo
Favorite Futures: UVXY, VXX, VIX, /VX
 
suko's Avatar
 
Posts: 1,216 since Oct 2013
Thanks: 782 given, 1,191 received


>My concern is liquidity when it comes to execution time, since some days lately I see almost no trades at all on this specific option

Liquidity is edge.

And increasingly liquidity is being concentrated during a crash in two names: VXX and SPY

Edge and risk.


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