The Term Structure page displays the term structure for the current commodity for the current trade date.
You can access the Term Structure as follows:
On the ribbon bar from the Trader, Structurer and Market Data tabs.
From the System Menu (which is accessed from the ribbon bar by clicking the Open button in any tab) > Term Structure button.
By clicking the Term Structure tab on the left hand side of the pricing page.
From the Exchange Prices window by clicking the Term Structure button.
From the Volatility Surface window by clicking the Term Structure button.
It is important to note the following:
The data displayed in the Term Structure for a given tenor is for the exchange date in that month. If you enter an option for a date that is not the exchange date, the rates used are not those displayed in the term structure, but are calculated from the rates in the Term Structure page.
Once you access the Term Structure page, the displayed market rates are not updated until you click the Refresh button.
If you make changes to the data in the Term Structure as long as you do not click the Accept button the changes do not affect the market rates used in the page from which the Term Structure page was opened. That is, real-time rates are still used in the page from which the Term Structure page was opened.
If you have made changes to the volatility surface via the Volatility Data window, as soon as you click the Accept button in that window the data is automatically saved into the system and the volatility surface is automatically recalculated. However, to see the relevant changes in the open Term Structure window you must then click the Recalculate button in the Term Structure window. The system alerts you to this fact using the status bar in this window.
The following topics are covered in this section:
List of Buttons in the Term Structure Page.
What can be Done in the Term Structure Page?
What Is the Data in the Term Structure Page Used For?
If you accessed the Term Structure page from the:
Single Option/Portfolio page, the data in it is used to price options in the current commodity.
Volatility Surface page, the data in it is used to calculate the volatility surface for the current commodity.
What Is Displayed?
It displays real-time data for each contract.
For:
A commodity for which there are exchange prices available (for example, Brent Crude Oil and Crude Oil WTI), you can see that data (as well as the expiry date of each contract) in the Exchange Prices window.
Once you have accessed this window you can then display the SD prices for the same commodity and compare them.
The following assets the system displays the asset's decomposed contracts—for the dry bulk freight assets and for the UK Baseload, Germany BaseLoad and Czech BaseLoad electricity assets. These are the monthly contracts derived by SD from the actual exchange contracts.
The actual exchange contracts themselves are displayed in the Exchange Contracts window, which is accessed by clicking the Exchange Contracts button.
A commodity whose swap price is dependent on the price of another (proxy) commodity, this proxy is noted at the top of the Term Structure page.
A commodity for which you have changed the base currency:
If it is a compo instrument, the read-only exchange rate (or strike) to be used is noted at the top of the Term Structure page.
If it is a quanto instrument, the term structure of the currency pair is displayed in a separate window, with a spot that you can edit.
The following real-time data is displayed as relevant:
Spot
This is only displayed for precious metals.
3MT
This defines the commodity's 3MT forward (i.e., the forward price in three months time).
It is only displayed for a base metal commodity.
ATMF volatility
This is the implied volatility for an ATM vanilla option displayed as a percentage.
ATM Straddle price
This is displayed in the base currency.
Asian Vol
This is the implied volatility for an ATMF Asian option for each contract month. The value displayed for each contract is the mid implied volatility of the default Asian, i.e., an Asian with its expiry set to the end of the month, with daily fixings and an ATM strike.
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By default, this data is not displayed in the page. To see this data you must click the Show Asian Vols button. |
Future Contract
This lists the future underlying each option.
Future Price
This lists the future price of the future contract.
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Proxy swap
For a commodity whose swap price is dependent on the price of another, proxy commodity, this column displays the price of the proxy commodity’s swaps. For example, for the SING 180 CST Fuel Oil Cargoes, this column displays the price of the Brent Crude Oil swaps. The name of the proxy itself is noted at the top of the page.
Differential
The differential value is the price differential for a specific swap between the OTC asset & its proxy asset at any given time. You can also display this data graphically in a chart.
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This value is only displayed for a commodity whose swap price is dependent on the price of another, proxy commodity. |
Forward
This column is only displayed if in the pricing page you change the commodity's base currency from the default base currency. It displays the forward rates for the default base currency/selected base currency pair. If this column is displayed then the spot rate for the default base currency/selected base currency pair is also displayed in the window.
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These forward rates are used to calculate the future prices for the commodity when the base currency is not the default currency. |
Swap Price (or Outright Swap Price)
This column displays the price of the commodity's swaps.
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For an OTC energy commodity, its individual swap prices are updated during the day. These updates are based on both the commodity's crack spread and on the commodity's realtime proxy swap price. |
Forward Price
This shows the forward price. It is only displayed for precious metal commodities.
Spread to underlying (i.e., spot or 3MT)
This represents the difference between the forward price and the underlying. It is only displayed for base metals and precious metals.
Forward rate (%)
Deposit rate for base currency (%)
For exchange-traded commodities only (and only when you view the term structure in the Exchange Prices mode) the following data is also displayed:
Exchange price for the call and put for each strike.
Volatility for the call and put for each strike
This is either of the following (depending on the setting in the Customize menu):
Calculated volatility
This is the implied volatility for each strike calculated by inputting the exchange prices for the call and put into the Black-Scholes model.
Exchange volatility
These are the volatilities provided by the exchanges. If no data is provided for a value, the field is left empty.
SuperDerivatives’ price for the call and put for each strike.
SuperDerivatives’ volatility for each strike.