Dynamic Skew App

Robust market data handling and modeling logic allow the algo to perform well during all market conditions, and with much less latency risk than in a manual curve update process. The DSA exposes fleeting vol trading opportunities that previously could not be realized.

The algo supports the popular Flexible Spline type vol curves in Metro. User-defined settings allow complete control over market data filtering, graphical curve smoothness, time evolution of the curve, and a variety of risk controls. Three available modes for wing treatment include auto-sloping, tabletopping, and/or user-defined fixed slopes. The algo can identify liquidity crises in realtime and gracefully accomodates degradation in implied vol (IV) information. A detailed report grid supplies the trader with useful vol trading data, allowing better identification of potential opportunities. The algo also supports “multi-skew risk” functionality by allowing trade and portfolio syncing in conjunction with an artificial symbol for the options. For example, this can allow the trader to execute on realtime, fixed skew, Black-Scholes greeks, while simultaneously enjoying the risk management benefits from having the inventory risk analyzed on a floating skew with adjusted greeks and a vol path assumption. The multiple skews may also be different curve types.

Please contact the developer at kevin@axonetric.com with any questions you might have regarding technicalities, client use cases, etc.

All of the variables below can be configured or modified at runtime. This gives users the power to modify their job behavior throughout the day without having to make code changes.

Name	Type	Default	Description
options	instruments		the options expiration to model
curve_update_sensitivity	double	3.0	the sigma threshold (0.0 – 10.0) to trigger a vol curve publish
temporal_smoothing	double	3.0	curve evolution smoothness: 0.0 (none) – 10.0 (most)
spline_smoothing	double	5.0	spline smoothing strength: 0.0 (none) – 10.0 (most)
kernel_smoothing	int	2	kernel smoothing strength: 0 (none) – 15 (most)
option_min_size	int	1	the minimum aggregate size for a valid price level near ATM
option_max_spread_width	int	20	the max. spread width in ticks for a valid market near ATM
underlying_min_size	int	1	the minimum aggregate size for a valid price level
model_detail	int	1	spline model detail affects CPU usage: 0=Low, 1=Normal, 2=High
PUT_TBLTOP	boolean	false	do put wing tabletopping (instead of auto-sloping)
CALL_TBLTOP	boolean	false	do call wing tabletopping (instead of auto-sloping)
RESET	boolean	false	clear reconstructor and any other saved values in DB
REQTRD	boolean	false	require at least one futures or options trade before first vol curve publish
CONVEXITY	boolean	false	enforce vol curve convexity prerequisite
EXTREME_VOL	boolean	false	enable alternative processing for extreme volatility conditions
copy_trades	string		sync using format: FromRealSymbol -> ToArtificialSymbol
SYNCCURVE	boolean	false	also periodically sync the vol curve of the copy trade’s artificial symbol
verbosity	int	1	log detail level: 0=Minimal, 1=Basic, 2=Full, 3=Debug
curve_publish_cutoff_time	string		in server time zone (PM); e.g. 3:30
iv_upper_limit	double	0.0	the maximum allowed IV anywhere on the curve (0=disabled)
control_pt_vals	string		optional comma-separated list of control point X-axis values
fs_wing_slopes	string		put wing slope, call wing slope (optional overrides for Flexible Spline)
on_job_exit	int	1	0=Do nothing, 1=Abort options expiration, 2=Abort whole options symbol
special_flags	string		KEOD=keep EOD pattern through evening, INIT=user-defined pattern, REQOTRD=require an options trade before first publish, UVPCPO=update vol path’s center point only, CTMAN=copy trades for manual trades also

Remember that in Metro NOW, dashboards and widgets can be utilized in both OnRamp and Metro clients.