Options Filter

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Option Filters

The Option Filters feature is a shared utility used to manage option series display in both the Option Chain and Analysis Strategy page tables. Filters created in one function can also be accessed and applied by the other.

The filters feature allows users to limit the options that are displayed in a table, based on the parameters specified by the user.

Users can create any number of filters, and then choose the filter that is most applicable to the particular trading strategy and apply it to a table.

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Apply a Filter

The default setting is No Filter Set. In this setting all available options series will be displayed.

Each Option Chain can contain hundreds of individual option series of both Call and Put types.

In order to quickly reduce the number of option series displayed, and to view only those options most relevant to the current trading strategy, apply a filter.

Assuming filters have been defined and saved, a filter is applied by selecting it from the Filter Selection drop-down list in the function bar.

Click on the down arrow to open the Filter Selection drop-down list.

Single left mouse click to select and apply a filter.

The filter will immediately change the content of the current table, and current filter's name is displayed in the function bar text box.

The chosen filter applies to both the Put and Calls tables.

The drop-down list can hold as many filters as the user creates.

Filter Definition

Single left mouse click on the Filter Selection text box to open the Option Filters dialog box:

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Current Filter

The settings for the current filter will be displayed.

Change the settings and click Apply to see the effect on the table display. Other changes can be made and applied without closing the dialog box.

Click OK to save and apply the final changes to the table and close the dialog box.

Users can also Rename the current filter or Delete it from the Filter Selection drop-down list. When a filter is deleted, the next filter in the drop-down list is applied.

Create New Filter

To create a new filter, open the dialog box as previously described and select New. The Filter Name dialog box will open:

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Type in a name and click OK.

A blank Options Filter dialog will replace the current dialog.

Option Filter Parameters

Filter definition employs two types of criteria: price data criteria and time based settings.

Price Data Criteria

The Price Data Criteria settings allow users to restrict the options series that are displayed in the table to only those which meet certain conditions based on the price data that is retrieved for each options series from the server. Six option price data types are used, and there are a number of different settings applicable to each.

Price

The option's Last price data type is used in a comparison with a user set dollar amount.

The comparison's operators are: equal to (=), greater than (>) or less than (<)

The user inserts a dollar figure. To be affective, the dollar figure should be relative to the Last prices for the options in the current option chain. This setting may have to be changed frequently, as it will only be affective for options trading at or near the level set.

Volatility

The option's Volatility price data type is used in a comparison with a user set percentage amount.

The comparison's operators are: equal to (=), greater than (>) or less than (<)

The user inserts a percentage figure. This setting is dependent on which type of volatility used in the calculation. The volatility type is set in the Option Model dialog box: Implied Average, Implied Skew, Manual and Historical are available.

Volume

The option's Volume price data type is used in a comparison with a user set numerical amount.

The comparison's operators are: equal to (=), greater than (>) or less than (<)

The user inserts a number. The liquidity of options chains and options can vary depending on the underlying security and the market. To be effective, this setting may need to be reset for different options chains.

Strike

The option's Strike price data type is used in a comparison with a user set numerical amount for the monetary setting and a percentage amount for the percentage setting.

The comparison's monetary operators are: equal to (=), greater than (>) or less than (<)

The user inserts a dollar amount.

The Strike criteria also has a percentage setting: within

This setting compares the Strike prices with the option's Last price data type and includes in the table all option series that come within the percentage amount set by the user.

Has Traded

This setting uses the Last Traded Date price data type to ascertain the frequency of trade, and to give an indication of the option's liquidity. This filter can be used to remove illiquid results from the table.

Time Based Settings

By default options for All Expiry Dates are included in the table.

Users can restrict the options included in the table by the following mutually exclusive settings:

  • Those options expiring between two user specified dates.
  • Those options expiring within the next user defined number of months.
  • Those options expiring after a user defined number of months.
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