Dynamic Management for Volatility Orders
You can instruct the application to dynamically manage your option VOL orders by setting values in the low and high Stock Range fields, using the Hedge Delta Order Type and Aux Price fields, the Continuous Update checkbox, and the Reference Price type.
Dynamically manage VOL orders
The table below defines the dynamic volatility management fields. You can use some or all of these features to dynamically manage option Volatility orders.
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Field Name |
Function |
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Stock Range (Low) |
A low end acceptable stock price relative to the selected option order. If the price of the underlying instrument falls BELOW the lower stock range price, the option order will be cancelled. |
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Stock Range (High) |
A high end acceptable stock price relative to the selected option order. If the price of the underlying instrument rises ABOVE the upper stock range price, the option order will be cancelled. |
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Continuous Update |
Check this selection to continuously update the price of the order if the price of the underlying instrument changes significantly. Note that you can only check Continuous Update for three active orders at a time. You will be subject to cancellation fees for order modifications that are made by the system when you have the Continuous Update mode enabled. |
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Hedge Delta Order Type |
Select an order type. An order will be submitted against the executed option trade to maintain a delta neutral position. Use the Hedge Delta Aux. Price field to set a price for orders that require one. |
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Hedge Delta Aux. Price |
Used in conjunction with the Hedge Delta Order Type field. If you have selected an order type that requires you to define a price, for example a limit order or a relative order, use this field to set the price. |
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Reference Price Type |
The reference price is used in the price calculation to determine the limit price of the option that is submitted to the exchange, and as the price reference if you elect to use price monitoring via the stock range fields. Use the dropdown list in the Reference Price Type field to select:
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