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Liquidity Analyzer®
calculates option statistics at both the strike price and
option month levels. For example, implied volatility for
puts is calculated by strike price and is also consolidated
using only the most active strikes.
In the example below, some
of the option summary data is shown for Ten Year Note calls.
Notice implied volatility for both calls and puts is listed
along with various put/call ratios. Under the column
"Put/Call Ratios $w" are put/call ratios weighted by using the
option's open interest. In the lower
table are strike price statistics for the current day selected
(1/13/05 Mar/2005 option month). Volume, open interest,
and standard greeks are listed for each strike. |
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