The volatility editor is used to create specific volatilities for specific strikes prices. The curve or smile of a skew can be formed exactly to the traders preference and is used widely as an implied volatility override in programs such as Strategist, SCOTS, Position Analyzer, and Option Analysis. The System Administrator can set the Volatility Table so that it can be used by all users. Each symbol and month can be set by the Orion system administrator. If the administrator does not select ALL for the symbol month each user can set their own implied volatility table within their environment. However, when the administrator selects ALL it will override any changes to the symbol month that the user makes to their implied volatility table. This is useful for an environment where there are many workstations and users want to utilize a standard skew for all of their risk managment.
Select the type of
instrument, symbol and month. A table will be created for volatilites
either manually entered or created from the last Bid or Ask market traded
prices.The volatility tables are used for stocks, futures and even OTC
instruments. Market volatilites can be overwrttien with this table for
any of the programs within Orion.The volatilites can be either fixed to
the strike price or can float with the market relative to the at-the-money
strike price.
