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Fundamental Analytics Documentation

Price Displays Types

Basis

This display defaults to a futures contract on the top row of drop-downs and a cash instrument on a second row of drop-downs. The larger drop-down allows the user to change the operator and ratio of the basis spread.

Expressions

Rather than select instruments from a drop-down menu, this display allows users to construct spread charts by typing the spread as an expression using exchange product symbols.

Forward Curve

For a particular date, this chart graphs the prices of all of the futures contracts for a product along a the time axis according to its contract expiration date. The result is a line graph that is called a forward curve. This chart allows the user to overlay the forward curves for the same product on different historical dates to display how the curve has changed over time. To add additional dates to the chart, the user should click on “Curves” in the top, left-hand corner of the chart, select “Manage,” and select different dates to add to the display. This chart also allow the user to compare forward curves of different products in the “Manage Contracts” window.

Futures Vs. Open Interest

This chart overlays the open interest of a specific futures contract with values values displayed on the left against the price of the same contract displayed on the right.

High-Low-Close Series

This is a traditional continuation candlestick chart for a specific futures product.

Historic Volatility

Displays year-on-year overlay of the historic volatility for a specific futures delivery month.

Implied Vol Deltas

This chart displays the implied volatilities at various Put/Call Deltas for a particular contract on a particular date. The user can compare the values for a contract on one day to multiple other days and to other contracts on the same or other days.

Implied Volatility

This chart is a year-on-year display of implied, at-the-money (ATM) volatility for a particular delivery month.

Instruments and Spreads

Describe above, this is the most common price chart that displays year-on-year prices for a particular delivery month or spread.

Open Interest

This chart displays open interest for a product in different ways. The user can view year-on-year overlays for open interest for a particular contract some configurable number of days to expiration. Another option allows the user to compare open interest in a contract for a specific year with that from any other contract in the same or other years. Finally, the user may view total open interest in a product in a year-on-year format.

Spread Matrix

The Spread Matrix displays spread differentials for all current futures contracts in various ways. The default view is “Carry Matrix” and displays the price differentials between the various contracts. “Full Carry” displays the real price differentials after you factor in carry costs. “Percent Full Carry” divides the price differential by the real price differential and displays the results as a percentage. “Days Apart” simply displays the number of days between contract expirations. “Percent Full Overlay” displays the percent full calculation for a specific spread in a year-on-year format.

Term Structure

This chart overlays the forward curve for a product on any date against the forward curve(s) of the same product on different date(s) and or the forward curve(s) of other products on any date(s).

Volatility Skew

This chart displays the spread between historical volatility and at-the-money (ATM) implied volatility. The user should change the sign to minus on either the product on the top row of drop-downs (historical) or the bottom row (implied). While the chart allows the user to look at the spread between different products and different months, it probably doesn’t have much utility. It is intended to be used for the same product and delivery month.