TWS Release Notes

Volatility Lab

The Volatility Lab is the third tool in our suite of options labs, which also includes the Option Strategy Lab and the Probability Lab. The Volatility Lab workspace provides a comprehensive toolkit of nine volatility tools designed to help you uncover superior trading opportunities. The Volatility Lab is a useful trader dashboard that provides a snapshot of past and future readings for volatility on a stock, its industry peers and some measure of the broad market. The Volatility Lab is laid out in three tabs indicated at the lower left corner of the screen to include snapshots for Implied Volatility, Historical Volatility and an Industry Comparison.

Implied Volatility

• Implied Volatility Window - Displays the measure of anticipated volatility of the stock using prevailing option premium. The plot allows the user to display the IV reading for as many or as few of the available expirations. Each expiry is color-coded with the reading for implied volatility measured on the right axis and the stock price is shown on the left axis using the grey line. This look back view of IV can be plotted for 1 week, one, two and six months, one year or a custom period. The user may be able to immediately tell from the readings whether or not implied volatility is relatively high in any given month, possibly caused by expected earnings announcements or uncertainty over possible changes to dividend payments.
• Volatility Profile Window – Displays side-by-side over time the Historical and Implied readings of volatility. Either measure can be removed from the screen. The investor may like to compare actual stock volatility in comparison to the forward measure apparent through option premium. The investor may be able to gauge how far the two measures deviate over time in response to market shocks or as the underlying share prices tracks higher or lower.
• Multi-expiry Skew – Displays the "volatility smile" created by the premium paid for options at selected expirations. Because an option's premium is significantly comprised of the reading of implied volatility, an option trader is concerned by the respective cost of calls and puts at strike prices above and below the prevailing price of the underlying shares. When investors are more willing to pay higher premiums for in-the-money calls or out-the-money puts, the volatility curve may show a skew to price points below the prevailing share price. Conversely if options are priced higher for out-the-money calls and in-the-money puts, the volatility curve might be skewed higher to points above the prevailing share price.
• Time lapse Skew – plots the current volatility skew for a selected expiration and allows comparison to any prior period reading of one day, one, two and three weeks and one month ago. This allows investors to identify changing conditions in the option market or perhaps to identify a catalyst that caused skew to occur or disappear.
• Open Interest – Choose any available expiry and view the combined put and call reading of open interest. The plot can be restricted to specific strikes or will default to open interest across all strikes. Open interest measures investor enthusiasm for a particular stock and also identifies strikes where most or least liquidity might be available.

Historical Volatility

• Historical Volatility Window – Defaults to the 30-day reading of both implied and historical volatility plotted against the share price over a custom period. Investors may want to see how high and for how long volatility measures rise or fall when they suffer significant swings driven by aberrations to the trend for the underlying share price.
• Volatility Profile – repeats plot on Implied Volatility Window.
• Time Lapse Skew - repeats plot on Implied Volatility Window.

Industry Comparison

• Custom Comps
• Comparison (Implied Vol.)
• Underlying Price
• Skew Comparison
• Volatility Profile Comparison

Use the tabs at the bottom of the Volatility Lab frame to toggle between views.

IB Risk Navigator: Enhancements and Updates

Enhancements to the IB Risk Navigator, our real-time market risk management system, include:

• Plot Data by Underlying Report and Plot Slicers- Select this new report, Plot Data by Underlying, to view the values of the selected base curve for the new symmetric slicers that have been added to the P&L Plot - with this you can display the effects of change in underlying price on the portfolio value or value change depending on the curve selection you choose in the Plot drop-down of the Report Selector. By default the slicers are spaced at +/- 3%, 6%, 9%, 12% and 15%. Use the report to see all slicer values in the report matrix at portfolio level and for all underlyings at the same time. To change the domain value of the slicers, drag them directly in the plot, or use the Metrics menu to select Plot data columns and then Settings.
• Average Cost Total - We now display a Total for the Average Cost with the sum of all signed positions x average cost.
• New Time Value column - Use the Metrics>Value section of the Risk Navigator menu to add the Time Value column. This field presents the current time premium for options.
• P&L Plot - The Vertical crosshair feature now moves smoothly within the chart (you can slide it left to right) and the displayed values are much easier to read. To view the vertical crosshair, use the right-click menu from within the P&L plot.
• P&L Plot - You can now display the Close Price for a specific underlying. Select an underlying from the Underlying field in the Report Selector. From within the P&L plot, use the right-click menu to select Close Price. A gray vertical marker line displays the close price; the current underlying price is still represented by a black vertical marker.
• What If Portfolio - The Position and Average Cost cells now become editable with a single click. Previously the fields required a double-click.
• Advisors - Account aliases are now shown in the multiple account portfolio window instead of the actual account ids.

Probability Lab Enhancements

Strategy Scanner: Configurable and Streamlined

The Strategy Scanner panel in the Probability Lab has been redesigned:

• A new drop-down selector in the title bar of the Strategy Scanner allows you to choose the probability basis for the calculations; choose from Market Implied (system-calculated) or My Forecast.(custom settings that you define).
• We added more columns, and now allow you to configure which columns are displayed in the panel. To add or remove a column, hold your mouse over one of the fields for about three seconds until the "Insert" and "Remove" commands appear.

Incorporate Existing Positions in Probability Lab Calculations

You can elect to have your existing positions included in the computation used to build a strategy in the Probability Distribution Builder of the Probability Lab. To include positions, first create the custom distribution curve, then check Incorporate Existing Positions. In the sidecar popup box, check the positions you want to be considered when building your strategies. Once the strategies are displayed, a second checkbox, Existing Positions, is displayed in the Strategy Scanner title bar. When checked, the positions you selected are reflected in the data point value of the Strategy Scanner and in the P&L display in the Strategy Performance Detail window at the bottom of the lab. Uncheck this box to see these values without the effects of your existing positions.

If you uncheck the Incorporate Existing Positions checkbox in the Probability Distribution Builder, the Build Strategy buttons turns yellow indicating that you must rebuild the strategies (by clicking the button) to generate strategies that do not incorporate your positions.

Roll Existing Positions in Probability Lab Strategies

A new checkbox in the Probability Distribution Builder section of the Probability Lab, Roll Existing Positions, allows you to select existing positions in the active underlying to include in the strategy. When checked, the strategy builder will attempt to create a strategy that gets you out of the selected position.

• Only positions that expire before the selected expiry are displayed.
• Only two existing positions can be included.
• If the user-defined maximum number of legs is too small to accommodate rolling existing positions, the number will be auto-adjusted to be larger.

Specify Option Exchange in Probability Lab

For cases where products have options that look similar (with the same strike and expiry) but are actually different (i.e. different exercise style or commission) a new drop-down field will display after the ticker entry field in the Probability Distribution Builder section of the Probability Lab. This new field will allow you to select a specific exchange if desired.

For more information on using the Probability Lab, see the TWS Users' Guide. For an in-depth discussion, visit the Probability Lab web page.

Option Rollover: Added Columns; Details Sidecar

The Options Rollover tool, accessed via the New Window> More Advanced Tools menu in Mosaic and via the Trading Tools menu in legacy TWS, now provides a "Details" pop out window that shows the options underlying data and the details of the recommended "roll to" strategy. The Details sidecar appears when you click a contract in the Review Options to Roll section of the rollover tool. You can also use the right-menu from a contract and select Details.

In addition, a new field, In the Money, has been added to the "Options to Roll" section.

Portfolio Page: Group by Security Type and Expiry

Positions in the Portfolio page in the Monitor window and in Classic TWS can now be grouped by Security Type or Expiry using the right-click menu in the Contract field. You can also click the Contract field multiple times to change the grouping mode. The cycle allows you to group by:

• Alphabetically (by contract name), ascending.
• by Security Type, ascending
• by Expiry, ascending
• by Expiry, descending
• by Expiry and Option Right, ascending
• by Expiry and Option Right, descending

Additionally, when the portfolio is sorted and you hold your mouse over the Position or Market Value fields, the summary data totals for the sorted section displays the total position, total market value, and total cost basis.

Social Sentiment Added to TWS News Feeds, Scanners, and as Columns

The Social Sentiment news feed is now available in TWS via the Filtered Feeds news feed. Social Sentiment is included by default, but to isolate the feed, in Global Configuration select Information Tools > News Configuration and then select Settings. Uncheck all feeds except Social Sentiment . To add the feed to Mosaic, in the News panel select Filtered News. To view from TWS, from the Analytical Tools menu, select Filtered News. Note that all headlines from this news feed are identified by SS.

You can also add two News columns, Social Sentiment Activity and Total Social Sentiment, to any quote monitor, watchlist or other page. To add a column, hold your mouse over an existing Market Data column for about three seconds (until the "Insert" and "Remove" icons appear). Select "Insert" and open the News category. Click to add the new column. Note that these columns can also be added to many of the Market Scanners.

We have also added a predefined US stock scanner, Net Social Sentiment, to the Mosaic scanners. This scan supports our 'dual sort' display, allowing you to show stocks with the greatest negative social sentiment and the greatest positive social sentiment in separate columns at the same time, with the difference between the two resulting in the net social sentiment. To use Mosaic scanners, from the Monitor panel click the "+" sign (or double arrows if you have multiple rows of tabs) and select Mosaic Market Scanner. In the US Stock Scanner Library, scroll down to Net Social Sentiment.

The legacy TWS scanners for US Stocks now include Net Social Sentiment and Social Sentiment Activity.

Stock Loan Rate History

We now include our stock loan data in several places, including in the Mosaic Order Entry panel. Hold your mouse over the Shortable label to see mouse-over information including available shares and the current fee rate. Detailed short statistics via the Shortable, Fee Rate, Shares Short, Short % of Float and Days to Cover fields can be displayed in the Watchlist and other data windows. Additionally, the SLB Rates window, accessible from the New Window drop down in Mosaic, provides charted daily rate history and intraday time & sales of stock loan fees.

Collar Strategy Added to Combo Trader

The list of pre-defined Combo Selection strategies for option/option strategies now includes the Collar. To create a collar, enter a new ticker in the Quote Monitor and select Combinations from the asset type selection list and then select Option Combos (SMART) or Option Combos (Directed to ISE). If you don't see Combinations, use the "more" arrow at the bottom of the list to expand the number of entries. From the Strategy tab or the Multiple tab, use the Strategy drop-down list to select Collar. Use the wizard to complete the parameters for each leg of the strategy. Click OK to create the combo. To trade the collar, click the Bid or Ask price from the strategy line on the Quote Monitor.

Additional pre-defined strategies include Box, Butterfly, Buy Write, Calendar, Conversion, Delta-Neutral, Diagonal, Iron Condor, Reversal, Risk Reversal, Stock/Option, SSF/Option, Straddle, Strangle, Synthetic Call, Synthetic Put, Synthetic and Vertical Spread.

Fixes and Changes

• The right-click pop-up menu from the Trades Summary page was displaying too large. This has been fixed.
• Futures spreads that are directed to a specific exchange become Smart routed when ported into the ScaleTrader. This has been fixed.