Derivatives

Description

The program includes a window for derivatives that structures and presents the data in a certain view.

How to open

Select File | New | Derivatives window.

Requirements

•Orc Software Derivatives feeds (e.g Eurex, EuroNext Liffe, OMX)

•Access to Advanced Derivatives functionality package

Description

The derivatives window consists of the following tabs:

•Outrights

•Strategies

•Spread Matrix

•Packs

Outrights

The Outright tab show all the options and the combo symbols for the selected underlying instrument. There is a list of default columns, but this is configurable by the user. The user can sort on any column and right-click to get to the symbol commands for a single symbol, including Overview, Orderbook, Chart, Buy, Sell etc."

Spread Matrix

The Spread Matrix is used to compare the futures and forwards of and underlying, and get information about any combination contracts that are made up of these futures or forwards. You can also trade from the Spread Matrix. The prices and volumes of calendar spreads (the ”roll”) are set out in a graph. All futures and forwards are represented both with a column and a row. The futures/forwards are sorted according to their expiry date. Early expiry dates are found to the left along the x-axis and near the top along the y-axis. If there is a combination of two futures/forwards, then you can find the combination in the intersection of the contracts. Each cell in the Spread Matrix provides information about the bid (Bid), ask (Ask), and last (Last) price of the contract, the volumes on the bid (b#) and ask (a#) side, and the volume in the last trade (Last #). There are two types of spreads displayed in the Spread Matrix, front month over and back month over.

Front month over

The leg with the later expiry date is bought and the leg with the earlier expiry date is sold.

Back month over

The leg with the later is expiry date is sold and the leg with the earlier expiry date is bought.

Which spread type is shown is determined automatically by the Spread Matrix and cannot be changed by the user. You cannot display two different spread types at the same time.

Example

In the preceding screen shot, you can see that there exist two combination contracts, the OMX3DC and the OMX CS K03-M03 contracts. When you buy an OMX3DC combination, you buy a OMX May Forward contract, and sell an OMX Apr Forward. Hence, this Spread Matrix only show front month over spreads.

Calculate implied values for combo derivatives

Mostly used in the new Derivatives window, we now dynamically calculate the implied values for combination symbols. Each combination symbol has a number of leg symbols and volumes associated with it. The program now calculates implied Bid, Ask, BidSize and AskSize from the streaming quotes of the legs. In addition there are Best Bid/Ask/BidSize/AskSize columns that show the ”best” of the actual combo instrument prices and the implied prices from the legs.