The most important volatility and order flow characteristics are provided in a concise format to help investors quickly analyze trading opportunities and patterns.
Implied volatility blends represent the current levels of volatility in options market pricing; historical volatility represents the actual volatility of the underlying stock. Implied and historical volatility percentiles represent current volatility compared to volatility over the past 52 weeks.
|IV30, IV60, IV90||IV30, IV60, and IV90 represent estimated implied volatilities of the theoretical 30-, 60-, and 90-day options. Implied volatility blends aid in historical analyses as it is possible to construct a multi-year IV30 stream, whereas actual options expire and inhibit analysis. IV30, IV60, and IV90 are trademarks of LiveVol, Inc.|
|HV10||HV10 is the historical volatility of the underlying security over the last 10 trading days.|
|HV20||HV20 is the historical volatility of the underlying security over the last 20 trading days.|
|HV30||HV30 is the historical volatility of the underlying security over the last 30 trading days.|
|HV90||HV90 is the historical volatility of the underlying security over the last 90 trading days.|
|Total Volume||The total volume of options traded today|
|Sold on Bid||The number of options that have traded at the Bid price. A high percentage may indicate that the volume is predominantly driven by customers entering sell orders.|
|% of Total||The percentage of options that trade at the Bid price. A high percentage may indicate that the volume is predominantly driven by customers entering sell orders.|
|>5% OTM||The volume of options that have traded at the Bid price that are more than 5% out of the money|
|Bought on Ask||The volume of options that have traded at the Ask price. A high percentage may indicate that the volume is predominantly driven by customers entering buy orders.|
|% of Total||The percentage of options that have traded at the Ask price. A high percentage may indicate that the volume is predominantly driven by customers entering buy orders.|
|>5% OTM||The volume of options bought at the Ask price that are more than 5% out of the money. A large percentage of >5% OTM calls trading at the Ask price may be an indication that traders expect a large upward move.|
|Net Deltas||Each option trade executed has a trade delta, which represents the quantity times the delta. For calls traded on the offer and puts traded on the Bid, this is a positive value. For puts traded on the offer and calls traded on the Bid, this is a negative value. The total net of all trade deltas is the net delta. Trades executed between the Bid and offer aren't considered in this calculation.|
|Net Premium||Net premium increases when either calls or puts are bought at the Ask price. Net premium decreases when calls or puts are sold at the Bid price. Mid-market trades are not recorded since it is difficult to ascertain whether the trader who entered the order was a buyer or seller. This number should be used qualitatively and not quantitatively, since certain trades are excluded. A high or low number may indicate a trend, but the number should not be construed as an exact calculation.|
|Open Interest||Total number of outstanding option contracts for a given underlying security|
|Avg Volume||Average volume of all options for a given underlying security over the prior 63 trading days (approximately 3 months)|
|Avg Open Interest||The average open interest of all options for an underlying security over the last 63 trading days (approximately 3 months)|
A list of the day's 20 largest option trades for a particular security. All columns are sortable by clicking on the column header.OPTIONS TRADE CONDITIONS
AdjTerms: Terms have been adjusted to reflect a stock split/dividend or similar event.
AutoExecution: Transaction was executed electronically. Prefix appears solely for informational purposes; processed as a regular transaction. Only found in Options Price Reporting Authority (OPRA) options trades, and quite common.
BlockTrade:An executed trade of a large number of shares, typically 10,000 shares or more.
BuyWrite: This is the option part of a covered call.
Cancel: Transaction is the last reported for the particular option contract and is now canceled.
Combo: Transaction represents the buying of a call and the selling of a put for the same underlying stock or index. Prefix appears solely for informational purposes; processed as a regular transaction.
IntermarketSweep:A trade resulting from an Intermarket Sweep Order Execution due to a better price found on another market
OpenReportInSeq: Opening report; this is the first price.
OpenReportOutOfSeq: Report is out of sequence; it was generated during market hours but its distribution was delayed.
Out of Sequence: Report was sent out of sequence. Updates last if it becomes only trade (if the trade reports before it are canceled, for example).
Regular: Indicates that the transaction was a regular sale and was made without stated conditions.
Reopen: Reopening of a contract that was previously halted
SoldLast: Refers to a trade that is reported late and the last sale is reported as the price. The last sale price represents the last price paid for an option during the trading day. It is usually an administrative message.
Spread:Spread between two options in the same options class. Transaction represents a trade in two options in the same class (a buy and a sell in the same class). Prefix appears solely for informational purposes; processed as a regular transaction.
Straddle:Straddle between two options in the same options class. Transaction represents a trade in two options in the same class (a buy and a sell in a put and a call). Prefix appears solely for informational purposes; processed as a regular transaction.
Options Exchange Codes
ARCA: NYSE Archipelago
BATS: BATS Global Markets
BOX: Boston Options Exchange
CBOE: Chicago Board Options Exchange
C2: C2 Options Exchange
ISE: International Securities Exchange
NOM: Nasdaq Options Market
MIAX: Miami International Options Exchange
PHLX: Nasdaq OMX PHLX
The Probability Calculator is a tool that allows you to determine the probability of an underlying index or equity trading above, below, or between preselected Price Targets on a specified expiration date.
The Probability Plot is a horizontally oriented distribution curve that displays your selected Price Target(s), along with probabilities for a selected time frame. It also displays the probability in a table format based on your Price Target(s) and Target Date. The table also displays the probability percentage at each option expiration date for the specific underlying security selected. If options are not traded, the display will show the next eight available quarter ends.
You can modify the Price Target(s), Target Date, and Volatility parameters (HV30, HV60, HV90, HV 180, Custom), all of which will recalculate the plot. You can also modify the display by selecting the time frame (1, 3, 6, or 9 months; 1 Year; or no Historical Data) for price data and the number of standard deviations (1, 2, or 3).
Enter the Price Target(s) for an underlying security to determine the probabilities of that security hitting those Price Target(s). Enter strike price(s) to determine the probabilities of a successful option strategy. You can enter either one or two Price Targets. If you enter one Price Target (a direction-biased trade), the probabilities of the underlying security falling above and below this price, on the Target Date, will be displayed. If you enter two Price Targets, the probabilities of the underlying security falling above the upper target and below the lower target (direction-indifferent trades) and between the two targets (direction-neutral trades) will be displayed for your chosen Target Date.
The Target Date is used to calculate the probability that the underlying security will be above or below the Price Target(s) at the specified time. You may enter the date you expect the underlying security to hit your target, the date you plan to exit the trade, or the expiration date of the option you are trading. Historical Volatility is based on price changes or one standard deviation of past prices over the specified preceding days. You can modify the Volatility setting by using the dropdown menu to select a number or by entering a custom %.
The default setting for Historical Volatility is based on price changes or one standard deviation of past prices over the preceding 90 days. You can use the dropdown menu to select a different setting: HV 30, HV60, HV 90, HV 180, or Custom.
Historical Volatility represents an annualized one standard deviation of past prices. It is a measurement of how much past prices deviated from their average over a period of time. The farther the closing prices stray from their average, the more volatile the underlying security. If you were to plot the closing prices on a distribution curve you would find that:
Example: Stock price of $100
If you anticipate realized volatility to be 15% (1 standard deviation) you would expect the following for one year:
By entering the Target Date, you narrow the time frame for the probabilities displayed.. For example, for a stock at $100, anticipated realized volatility of 15%, and a time frame of 30 days:
The Probability Table allows you to see how the passage of time affects the probability that your Price Target(s) will be reached. Changing the Price Target(s), Target Date, and/or the Volatility parameters will refresh the table with new data.
Given a Volatility percentage and a Target Date, the tool calculates the probability of the security being at, above, or below your break-even point. By evaluating the various break-even points of a position on that date, the tool can provide Profit Probability.
The Position Grid allows you to see the Profit Probability and Unrealized Gain/Loss for each position for a specified underlying in a selected account. The Probability of Profit column displays the probability of the underlying security being at or above (if bullish) or at or below (if bearish) the break-even point of the position on your Target Date. The Unrealized Gain/Loss column is calculated using your Price Target(s) and Target Date settings and displays what the position’s theoretical profit/loss would be if your Price Target(s) were met on the Target Date. The Average price for options, on your Target Date, is calculated using the contract’s current Implied Volatility.
The Positions Detail Table displays an owned stock or option position (paired and unpaired) for a specific underlying security on an account by account basis. The Position Pane gives you access to cost basis and position Greeks for further evaluation.
Greeks are mathematical calculations used to determine the effect of various factors on options.
Profit probability shows how likely a particular option trade (or combination of trades) will be profitable, based on a calculation that takes into account the price of the trade and the expected distribution of stock prices based on the 90-day historical volatility.
Your positions, whenever possible, will be paired or grouped as strategies, which can reduce margin requirements and provide you a much easier view of your positions, risk, and performance. Strategies displayed will include those entered into as multi-leg trade orders as well as those paired from positions entered into separate transactions. Pairings may be different than your originally executed order and may not reflect your actual investment strategy. For a single position used across multiple pairings cost is distributed equally.
The Probability Calculator is a research tool provided to help self-directed investors model various option strategies. The criteria and inputs entered are at the sole discretion of the user and are solely for the convenience of the user. The Probability Calculator is provided by LiquidPoint, LLC, an independent company not affiliated with Fidelity. Information obtained from the Probability Calculator is for informational purposes only and should not be considered investment advice or guidance, an offer of or a solicitation of an offer to buy or sell securities, or a recommendation or endorsement by Fidelity of any security or investment strategy. Fidelity does not endorse or adopt any particular investment strategy or approach to screening stocks. Fidelity makes no guarantees that information supplied is accurate, complete, or timely, and does not provide any warranties regarding results obtained from their use. Determine which securities are right for you based on your investment objectives, risk tolerance, financial situation and other individual factors and re-evaluate them on a periodic basis.
The P/L Calculator is an easy way to chart or calculate the profit and loss potential of your trades before you place them, or to evaluate your existing positions.
Based on the underlying security you are evaluating, your owned positions will automatically be imported for the account in focus or you can enter up to a total of 20 simulated positions. Simulated positions may be seeded from the Option Chain and other tools. The graph will automatically display the selected or seeded position in the main window.
Enter the Price Target(s) for an underlying security to calculate the profit/loss potential of your existing or simulated positions.
The Target Date is used in conjunction with your Price Target(s) to evaluate the profit/loss potential on the selected date.
The default setting for Historical Volatility which is used to calculate the probability percentages displayed in the blue bar along the top is based on price changes or one standard deviation of past prices over the preceding 90 days. You can use the dropdown menu to select a different setting for Historical Volatility: HV 30, HV60, HV 90, HV 180, or Custom which will update the probability percentages. Use the IV % Change or IV Value in order to change the profit and loss calculations.
The Positions Detail Table displays an owned stock or option position (paired and unpaired) for a specific underlying security on an account by account basis. You can add simulated positions by selecting Add Simulated Position. The Position pane displays cost basis and position Greeks for further evaluation. Additional positions may be multi-selected in the Positions Detail Table by holding [Ctrl] while clicking. The selected positions’ Profit/Loss will be graphed additively.The Positions Detail table displays risk parameters and analytics for the entire position. You can change the Volatility or Days to Expiration above the graph to simulate alternative assumptions and see how the changes affect profitability and Price Target(s).
The following attributes of a simulated position in the Positions Details Table can be edited via right-click and selecting the Edit Simulated Position button.
Evaluation Price: The price specified for a simulated option/stock
Bid/Ask: Bid or Ask is chosen according to the strategy (Bid for Sell and Ask for Buy).
Buy/Sell: You can flip a leg (i.e., switch from Sell to Buy and vice versa) by selecting the opposite value in the Buy/Sell column.
Quantity: Edit the desired quantity for each leg.
You can remove any simulated positions from the calculator via the right-click menu.
The following values will update dynamically based on your evaluation criteria.
Theoretical Price: This value is calculated based on your inputs for Price, Volatility, Time to Expiration, Interest Rates, and Dividends.
Theoretical Profit/Loss: This value is calculated based on your Theoretical Price, and position size.
IV (Implied Volatility): The calculated option implied volatility obtained by entering the current option price into the option pricing model
Delta: The sensitivity of the option price to changes in the price of the underlying security
Gamma: Delta’s rate of change
Theta: The daily option price decay with time
Vega: The sensitivity of the option price to changes in Implied Volatility
Rho: The effect of interest rates on the price of an option
The Greeks are represented in equivalent shares where the absolute values of the Greeks are multiplied by the standard contract size and the quantity of options selected in the QTY column.
If positions are added as a multi-leg strategy (Buy/Write, Butterfly, Condor, etc.), they will be bundled together to make it easier to place a multi-leg order. If you would like to add or delete individual legs, you may do so by clicking Edit Simulated Strategy.
Underlying Price: To change the Evaluation Price of the underlying security, simply type a number in the text-entry field. This allows you to view how price changes will influence the Net Greeks and P/L.
Expiration Date: To see how time to expiration affects the potential profitability, use the text-entry field or click the calendar icon and choose a date to change the expiration.
Implied Volatility Change: To change the volatility assumption, use the IV dropdown to specify IV Value or IV % Change then enter the value that you would like to have calculated.
Historical Volatility Change: To change the volatility assumption, use the HV dropdown to select a historical volatility or select Custom to enter a percentage change in volatility that you would like to have calculated.
Profit/Loss Table and Interactive Chart
In the middle of the page is a quote for the underlying stock or ETF you are modeling, plus a table summarizing the potential profits or losses given various price points. The table displays information based on today'’s date, as well as the other values you’'ve entered. If you would like to simulate your breakeven(s) at expiration, set Expiration Date to today.
Interactive Profit/Loss Chart
Once the strategy is entered into the calculator, a chart displaying profit and loss information based on today’s date will appear automatically. Use the View drop down to switch from a Profit/Loss graph to the Greeks and also include or exclude expired options in your evaluations. Click the magnifying glass zoom control to zoom in or out on a particular area.
The vertical white line on the graph shows your breakeven point (i.e., where your profit/loss would equal zero).
Hover your cursor over the graph to pinpoint exact profits at a given price level for the underlying security.
The Black-Scholes model is used to calculate the theoretical values based on your evaluation criteria.
We summarize the Profit/Loss information for all legs of a strategy, and show the total values. The Profit/Loss Chart will display a zero Profit/Loss for the current stock price.
The Strategy Ideas tool provides you with backtested, historical performance results for nine different Covered Call strategies over a 2 year period. This tool can be used to determine if you would have been better off holding the underlying stock for 2 years or if you could have generated better performance by selling covered calls against your position.
Strategy Ideas allows you to view multiple covered call strategies focusing on options that expire 30, 60 and 180 Days out, and are At, Near or Out of the Money. The summary display includes both the next contract available for the particular strategy, along with the potential income and probability of assignment. Below the next trade, you'll find the historical 2 year performance of the strategy. The strategy performance assumes that you are rolling the contracts on the last day before expiration and also takes into account commissions. When applicable, the tool will automatically populate the number of unpaired shares you have in the selected account for the underlying. This will allow you to quickly determine the estimated income you could receive if you were to sell covered calls. Otherwise, the data displayed will be based on one contract.
Highlight any of the strategies by clicking the appropriate column. This will expose the available trade buttons and also allow you the ability to get deeper results by clicking the View Historical Details button. The trade buttons are dynamic and should only appear active if you have a position on which you could take action.
The historical details area is broken up into two main sections. The next trade section and the 2 Year Historical Performance details. The next trade section provides you with details on the Income/Cost for the trade, Estimated Realized Gain if you were to get assigned and the Probability of the option finishing above the strike price given the historical volatility figures.
The 2 Year Historical Performance Price Chart gives you additional details on the historical trades in the strategy. Hover over any of the horizontal lines in the chart to view details of the trade. Clicking the Performance Chart button will provide you with the cumulative return for both the Stock and Strategy over the specified time period.
Custom Scans are also available within Strategy Ideas by clicking on the Edit Criteria button in the top right section of the tool. Running a Custom Scan gives you the ability to change the following inputs:
After completing your Custom Scan criteria, click the Run Backtest button to generate results. The next trade section and historical performance section will update based on your criteria. Note: You may run into a situation where there will not be a next trade that matches your custom criteria. In these situations you may see an error message in the next trade section but can still evaluate the historical performance of the strategy below.