The Volatility Surface page displays the volatility surface for vanilla options for a variety of contracts (or tenors). In the page itself you can choose to use either of the following sets of tenors:
Exchange dates
These are the expiry dates each month for the options on the future, and they are calculated according to the convention of the relevant exchange. By default, the exchange dates are the tenors displayed.
System-defined dates
These are as follows–one week, one month, two month, three month, six month, nine month, one year and two year.
Once you have chosen a set of tenors you can then select which of the set (i.e., which maturities) you want to display. You do this in the Maturity dropdown list.
The dates displayed in the Maturity dropdown list depend on whether you choose to display the exchange dates or system-defined dates.
If you choose to display the exchange dates, by default the maturities displayed depend on which maturities you have selected to display for the Term Structure page via the Customize window > Term Structure tab. So for example, if you have defined that the term structure should be displayed for:
All exchange contracts only, then in the Volatility Surface page's Maturity dropdown list you will only see the exchange dates.
Up to 4 years, then in the Volatility Surface page's Maturity dropdown list you will see the exchange dates plus extra dates extended out to four years.
By default the first 24 exchange date maturities listed in the Maturity dropdown list are displayed in the Volatility Surface. You can then edit the displayed maturities according to your requirements by checking and unchecking each maturity as relevant.
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You can only display a maximum of 24 exchange date maturities. |
To choose the tenors and maturities to display in the Volatility Surface page:
| 1. | Toggle the Exchange <> Selected button as relevant. |
| 2. | In the Maturity dropdown list check the individual dates you want to include in the volatility surface. |