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Project: Vertical Spread and Butterfly Heatmap to Help Deciding on Tenors and Strikes

Authors
  • avatar
    Name
    Teddy Xinyuan Chen
    Twitter
Table of Contents

Interactive Demos

Fix-width Vertical Spread vs Tenor

This solves problem of 'how much time I should give the spread, and how much more it'd cost?'.

SPY Fixed spread width of $10, call only, only want delta from .4-.1:

Full screen: https://g.teddysc.me/598b036c49da09113fd316c77e6f920b

50-wide SPX Version if you don't like SPY: https://g.teddysc.me/44e0bc46580b00d228039fab634ef7fc

The Vertical CALL 550.0/560.0 row visualizes how a near-the-money OTM spread's value can collapse as time passes, especially when the spot's ATM vol term structure is backwarded.

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Web app's interface

Moontower-style fix-tenor spread and fly matrix

See my 4/9 post for the Moontower reference and first attempts.

Moontower doesn't support plotting matrix for butterflies, the idea for butterflies comes from this pdf.

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Only showing strats found for 4/17 AM tenor where delta in .1-.3. It shows the width [35] and the mark (mid) and nature quotes for the spread, and the ratio of quote vs width. The combined greeks info is also very useful. You can also see the different between the mark and nature quotes to get a sense of how wide the spread is.
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Flies (symmetric only) matrix

Interactive versions:

Full screen: https://gg.teddysc.me/?g=b283c7ed46239be8c66b3d636f387aec&a&c=2

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