The following Changes, Enhancements and Fixes were made to OptionVue 7 for Version 7.06
1. Bid Size and Ask Size were added to the QuoteVue service and these feed through into the Matrix. All asset types are
accommodated. In addition, for all equity and index options the Exch field of the Matrix now displays two small letters representing the bid
and ask exchanges. The letter codes used are as follows:
- c CBOE
- a AMEX
- x Pacific
- p Philadelphia
- n NY
- b Boston
- q Nasdaq
- s ISE
- t BATS
- 2 C2
- o NBBO (national best bid offer)
So for example, if you see “as”, that means the Bid came from AMEX and the Ask came from ISE. QuoteVue always brings you the
highest Bid and the lowest Ask available at the moment.
2. Graphic Analysis now displays $ on one side and % yield on the other, plus % change along the bottom.
3. For VXX traders, we added two new special indexes representing the VXX fair value ($VXXFV) and the XIV fair value ($XIVFV). Just
add these symbols to your Quotes Display!
4. From customer suggestions, two new option parameters were added to the Matrix: Probability of ever touching and percent change.
Probability of ever touching is a computation intensive Monte Carlo process and cannot be recomputed with every price change that
comes into the Matrix. Therefore we set it up so that probability of ever touching is computed whenever you click a new button near the
top of the Matrix that displays “PT” (probability of touching). This button becomes available if you have the Probability of ever touching
parameter included in your Matrix layout. When you click the PT button the Matrix performs a 500 iteration Monte Carlo computation for
every option in the Matrix that is out of the money. The resulting number for each option represents the probability of the underlying ever
moving to touch the strike price during the remaining life of the option. An hourglass cursor is displayed during the computations, which
may take anywhere from a few seconds to a minute or more, depending on the speed of your computer and how many options are
defined in the Matrix. 500 iterations is enough to get reasonably good numbers but there will still be some degree of error involved and
from one round of computations to the next you can see the numbers change a bit just due to this. Once you click the button and see the
numbers filled in, the program will remember the computed values for the remainder of the day (or until you click the PT button again,
which you had better do if the underlying price has moved appreciably in the meantime). The next day the PT numbers are automatically
blanked out.
5. Ever since the beginning, the Matrix has involved every defined option in the computation of Grand Average MIV. However, we
realized that it is better to limit the scope of strikes involved to just a few that are either at the money or very close to the money. This
way the Matrix produces a Grand Average MIV that both agrees with what other users are seeing and agrees with the historical numbers
that are displayed in the Volty Charts. Also, we do not include weekly or quarterly options in this calculation.
6. If you close OptionVue with any Matrixes or Charts open, the next time you open the program it automatically re-opens these windows.
It still does that. However, now it also finds and highlights the appropriate symbol in the Quotes Display so the program is ready to
browse if you like.
7. Since the best way to model the VIX options is with separate (independent) volatility skew curves, we made that the program default
when you are creating a new $VIX asset file.
Problem Fixes in Version 7.06
1. If you have purchased the VXX Trading Tools, the first time you started OptionVue each day the VXX Trading Tools were not enabled
within the program. This problem has been corrected.
2. In Recordkeeping, there is an upper limit of 1,000 deposits and withdrawals that can be in the T.Log. If this limit was reached the
program would keep displaying the warning message repeatedly. We changed this so the message would only be displayed once.
3. When using OptionVue with Track Data brokerage, it was possible to see the message “Internal Error. ReadAndProcessLogFile: Too
many deposits and withdrawals.” when you opened and closed the T.Log soon after starting the OptionVue program. This has been
corrected.
4. The new process for handling previously expired options still contained some problems. These were resolved.
5. Immediately after putting a trade through Track Data or PFG that opens an option position, the Account Status should have been able
to pick up current pricing but it wasn’t. This has been corrected. (It was always working ok after you closed and re-opened the program.)
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