Volatility Charting

[TWedler]

Can anyone tell me how to calculate and chart historical volatility with esignal? It does not appear with my basic studies.

I would also love to export live data to MS Excel for implied volatility pricing. Thanks for your help!

Is there a forum for options traders with esignal?

[jeffch]

Re: Volatility Charting

I would also love to export live data to MS Excel for implied volatility pricing. Thanks for your help!

I believe eSignal ships with sample macros for using DDE to send real time data to Excel. There's even a sample spreadsheet.

Here's a quote from the program's online help pages:

Third-party applications that support DDE (Dynamic Data Exchange) can receive data from the Data Manager. (Microsoft Excel and other applications support DDE.) The Data Manager acts as a server, and the other application acts as a client. You can format, arrange, and manipulate the data using the application’s normal features.

A sample Excel file is included in the program installation. You can open it to see an example of how applications handle DDE. For example, to request the bid size for IBM, you enter the following formula =WINROS|BidSize!ibm. The exact way that you request DDE data varies, so be sure to consult your application's documentation for details.

That is followed by a list of the specific DDE topics that eSignal supports, such as Bid, Ask, Last, etc.

Is there a forum for options traders with esignal?

If so count me in. I have some basic questions such as is there any way to chart a price history for options as there is for equities? If not, there should be.

[EdKoF]

Here are two links to the DDE link stuff:

http://www.esignal.com/support/eSignal/Tips/tipsDDE.asp

http://www.esignal.com/exchange/v18_..._spotlight.asp

Cheers,


Edo.

[TWedler]

thanks jeff !

back to your question now: esignal allows charting/time & sales for CBOE options (only, as far as I know). other news providers like Reuters have databases and charts for options as well.

nonetheless, options charts are not used in the same way as underlying charts are; as 1. options are usually less liquid and 2. time decay would add an unwanted bias. thus, implied volatility is usually charted instead, allowing the trader to predict the direction of kappa influences on the option. delta influences are obiviously in the underlying chart, and further factors would either be neglected or charted as far as possible (i.e. chart bund yields for Eurex rho influences).

for german dax options, there is actually a volatility index which is great for charting equity vola. esignal's code is VX A0-DT. it is the 3-month ahead spot volatility for at the money options on the index of germany's 30 most liquid shares. the underlying futures market (AX in esignal) is one of the world's most liquid and quite well correlated to s&p 500, footsie etc. so the figure might be of use to you too.