Field Definitions

Last modified 14:23, 2 Aug 2013

Definitions of Data Fields

Outlined below are definitions for the data fields used through OptionGear, listed alphabetically

 

% Close

The percentage change from the last price to the previous close.

% Open

The percentage change from the last price to the previous open.

Abbreviated Desc 

An abbreviated description of the option, given as follows:

<expiry date><instrument><strike price>

Ask  

The latest price at which someone is prepared to sell options.

Bid     

The latest price at which someone is prepared to buy the option.

Broker    

The individual broker code of the latest buyer or seller.


Brokerage    

The brokerage paid for a trade.


Buy IV Sell IV    

The individual implied volatilities of the bought and sold legs of the option.  This is given as two separate figures, the top number being the total implied volatility of all of the bought legs, the second being the total implied volatility of all of the sold legs of the trade.


Chg Close  

 The amount of change from the last price to the previous close.


Chg Open  

 The amount of change from the last price to the open.


Construction    

This outlines the options included in the trade in the format of
<number of options><exp date><strike price><option price>
A minus sign before the number of options indicates sold options while a plus sign indicates bought options.


Cost    

The overall cost of the strategy.  A positive number indicates that the trade has been entered at a credit, while a negative number indicates a trade established at a debit.


Data Date    

The date for the displayed data


Days to Ex    

The number of trading days from the current date to the date of expiry.


Delta  

 Delta is the amount that an option will change if there is a small change in the underlying share price where all other factors remain constant.  Call options have a positive delta, put options a negative delta.
Delta is sometimes used as an indicator of the likelihood the options will finish in the money at expiry.


Description    

The long description of the option, given as follows:
<strike price> <Instrument> option expiring <expiry date>.


Ex Type Code    

The expiry type of the option.  This can be either American (A) or European (E) and determines whether the option can be exercised prior to expiry.  Most Australian options are American type, which means they can be exercised prior to the expiry date.


Exchange    

The exchange on which the instrument is listed.


Expected Profit    

Expected Profits are calculated by adding the average of potential losses to the average of potential profits.
It's the sum of both Average potential losses and Average potential profits based on the currently selected Risk curve.


Expected Profit/Risk  

 The expected profit calculation is divided by the maximum risk calculation to give a more accurate outcome of the strategy.  


Expiry Date  

 The date on which the option expires.


First  

 The first traded price of an option.


First Active Date 

   The first date the option is available for trading.


Gamma  

 Gamma measures the amount that the Delta value of an option will change if the underlying share price changes by a small amount.  It is often used as a risk profile for large, complex trades with a number of strike prices and expiry dates.  Typically negative gamma implies positive theta and indicates that time has a positive effect on the strategy.


High  

The highest traded price of the period.


Hist Volatility  

 The latest historical volatility value for the options within the trade.  In a multi-leg strategy, this is the combined value of historical volatility for all legs.


Instrument  

 The type of option - either Put or Call.


Intrinsic Value  

 The difference between the market value of the underlying security and the exercise price of the option.


ISIN  

 International Securities Identification Number - A unique code used to identify all securities and derivatives products.  This consists of a two letter country code, a nine character (letter or digits) existing national security number for the security (padded to left with zeros) and a one digit check number.


Last  

 The price at which an option last traded.


Last Active Date 

   The last date the option is available for trading.


Last Traded Date  

 The last date that the option was traded.


Last Traded Time  

 The last time that the option was traded.  This reflects trading between 10.00 am and 4.00 pm on a normal business day.


Local Time 

   The exchange time converted to local time based on your regional time settings.


Low  

 The lowest traded price of the period.


Lower Breakeven

    The first breakeven point below the current share price.  See Upper Breakeven for more details.


Lower Breakeven (% more)  

 The difference between the current share price and the lower breakeven point as a percentage.  This is a negative number because it is the amount that the share price has to move down to reach the breakeven point.  


Lower Breakeven (std dev) 

   The difference between the current share price and the lower breakeven price, calculated as a standard deviation.  As with the percentage move, this is given as a negative value.


Market Value   

 The current value of a holding, based on the current price and the number held.


Max Profit  

 The maximum profit available for the trade.


Max Profit/Cost  

 The ratio of the maximum profit to the cost of entering the strategy.  This allows for genuine comparison of strategies that have significantly different entry costs and profitability.


Max Profit/Risk  

 The maximum profit divided by the maximum risk to give a ratio of profit to risk.  The higher the ratio, the further apart the two values are, indicating there is either a higher profit or a higher risk.  A lower ratio suggests that there is less difference between the risk and reward for the strategy.


Max Risk  

 The maximum loss that can be made on the strategy.  This number will almost always be negative, indicating that a loss has been made. A value of zero indicates that there is no risk as any loss would be covered by the profits made from the initial setup of the strategy.


Model  

 The theoretical value of the option based on the pricing model selected.


Money  

 Whether the option is in the money, at the money or out of the money, based on strike price of the option compared to the share price of the underlying security.


Multiplier    

The number by which the underlying value being traded must be multiplied in order to determine the dollar value of the contract.


Number of Buyers

    The number of Buyers recorded at the Current Bid Price.


Number of Sellers 

   The number of Sellers recorded at the Current Ask Price.


Odds 

 Odds are calculated by taking the average of potential profits and dividing it by the absolute value of the average of potential losses.


Open  

 The opening price of an instrument.


Open Interest  

 Open Interest is the number of trades that are still open at the end of a trading day.  The open interest of each leg of the trade is added together to give a total open interest for the strategy.


Prev Close  

 The previous closing value.


Previous Open Int  

 The previous open interest value.


Previous Volume  

 The previous volume value.


Rank  

 The rank of the trade based on the ranking criteria specified in the Strategy pane.


Root Prod  

 The underlying security.


Sales Value 

   The total value in dollars of the sale transaction within the day.


Short Desc 

   The option symbol


Stock  

 The underlying security of the trade.


Stock price  

 The last close price of the underlying security.


Strategy 

   The strategy used to determine the trade.  When only scanning for a single strategy, this field isn’t really useful but is important when including multiple strategies in the one scan.


Strike Price

    The price at which the underlying security may be bought or sold by exercise of the option.


Symbol

    The unique option symbol code, consisting of 5 letters, the first three of which are the underlying security and the remaining two which identify the expiry date.


Theta 

   Theta is used to measure the effect of time decay on an option, with all other influences remaining constant.  As an option approaches expiry, its Theta value increases, showing how the value of an option is affected by time.


Tick size 

   Shows the size of the last trade.


Type

    The type of instrument, eg stock, put, call etc


Upper Breakeven

    The first breakeven point above the current share price.  Some strategies, such as spreads, will only have one breakeven point.  In this case, an upper breakeven value indicates that this occurs above the current share price and the lower breakeven value will be given as n/a. 

However, if the breakeven is below the current strike price, the upper breakeven value will be n/a.

In the case of strategies such as straddles, there are typically two breakeven points. 
A value of n/a for the upper breakeven for such a strategy indicates that both breakeven points are below the current share price.  

Where this occurs, the breakeven point given will be the one that is closest to the current share price.


Upper Breakeven (% more)

    The difference between the current share price and the upper breakeven point given as a percentage.  This is the amount the share price needs to move in order for the breakeven point to be reached.  


Upper Breakeven (std dev) 

   The difference between the current share price and the upper breakeven price, calculated as a standard deviation.


Vega  

 Vega is used to measure the effect a small change in implied volatility has on the price of an option.  Long term options typically have a higher vega value as they are more sensitive to changes in volatility. 

As the volatility of an option decreases, its vega also typically decreases.


Volume  

 The number of units transacted within a single day.

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