vskew Help

Stocks can be filtered by price and volume.

• Symbol - Optionally enter a stock symbol to limit the screen to spreads on the underlying stock.
• Price Range - set the sliders to the minimim and maximum prices. Only stocks with a price between the minimum and maximum prices will be included in the screen.
• Stock Volume - Only stocks with a daily volume between the minimum and maximum volume will be included in the screen.

Options can be filtered by Volume, Moneyness and Expiration

• Leg Volume - set the sliders to the minimim and maximum volume of the long contract. If only one volume slider is available for an option it will apply to all the options in the spread.
• Moneyness - refers to the number of strikes an option is in or out of the money. Options with a moneyness of zero are At The Money (ATM). Strike prices increase as the moneyness becomes more positive. Strike prices decrease as the moneyness becomes more negative. For call spreads, a positive number is Out of The Money (OTM). Negative numbers are In The Money (ITM). For put spreads, a positive number is In The Money (ITM) and negative numbers are Out of The Money (OTM). See Moneyness.
• Expiration - include only options that expire between the start of the earlier month and the end of the later month. Options expiring on any date in the selected months may be included in the screen, including weekly options, quarterly options, and options that expire on odd days (e.g. VIX options). Both expiration sliders may be set in the same month. All options expiring in the selected month will be considered in the screen.

• Saving a Screen  - Subscribers can save screen parameters and recall these parameters later. Screener type, slider values, symbol, sort order, and "One Row Per underlying' parameters are saved. The date of the screen is not saved. When a saved screen is opened, the parameters will be applied to the currently selected date.
• Sort By - the order in which the screener results are displayed. Up to 100 rows are included in each screen. The results may be sorted by clicking on column headers. Sorting by clicking on column headers only sorts the data that is already in the report.
  
  
  • Largest Skew - the difference in the volatility of the two legs wihtout respect to whether the call implied volatility or the put implied volatility is higher.
  • Bearish - order by greatest difference in the volatility where put implied volatility is higher than call volatility.
  • Bullish - order by greatest difference in the volatility where call implied volatility is higher than put volatility.