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Derivatives

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

 

How to open the Derivatives Window

 

Select File > New > Derivatives window.

 

Requirements

 

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

Access to Advanced Derivatives functionality package

 

What is the Derivatives Window

 

The derivatives window consists of the following tabs:

Outrights

Strategies

Spread Matrix

Packs

 

Outrights

 

Spread Matrix

 

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.