News Blue Trading Systems Blog, Events, and Highlights



New Sheets

A new, more powerful version of the sheets is out as beta in this version. The main features of the Beta Sheets are:

  • One sheet can contain multiple symbols, ex the es monthly and weeklies at CME can cohabitate in one sheet, ditto for the spx/w at CBOE.
  • There is a new right click menu that offers quick navigation and toggling visibility on select columns described below.
  • Expiration navigation - Right click anywhere within a sheet and a menu will pop up listing the expirations (with the current expiration being bolded). Click on the desired expiration to quickly scroll to it.
  • ATM centering - Right click anywhere within a sheet and a menu will pop up with ATM as an option. Clicking on this ATM option will center the ATM strike vertically in the window.
  • ATM strikes can also be navigated to by clicking on the mouse wheel (or on the center mouse button).
  • Yet another quick way to scroll to the ATM strike is by clicking on the button in the expiration header (if visible, see below) that says "ATM"
  • All open spreads can be minimized once by clicking "Minimize All Open Spreads"
  • Settings window can be brought up, as well as zooming in and out.
  • The right click menu additionally offers an easy way to enable/disable certain columns. This can be done by going to the "Sheet Settings" sub menu and clicking on the column name. The check mark indicates its current visibility.
  • All the right click menu features are also offered via toolbars at the top. These toolbars are disabled by default but can be enabled by going to the Settings Menu, navigating to "Sheet Layout" in the settings window and setting "Show Settings Header" and "Show Expiration Navigator" to true. This requires a restart of the shell (please note, restart of the entire shell, NOT just of the sheet).
  • SHIFT + mouse wheel will now scroll the sheets horizontally one expiration at a time
  • The settings window is better organized now and related settings are grouped into categories
  • Background and Text color for alternate expirations can be configured distinctly. This can be done by bringing up the Settings window, navigating to Display Parameters, selecting an item (for example Call Delta), and choosing different colors for Alternating Background/Text Color 1 and 2.
  • Settings for the current sheets can be imported to the new sheets. This can be done by bringing up the Setting window, clicking on the "Import Old Settings" in the bottom-left, choosing a symbol whose setting you want to import, and hitting OK. This will load the settings in the Setting window, hitting OK in the Setting window will load the setting to the new sheet.
  • One symbol can also be expanded across multiple sheets, ex the es front month(s) with more details (visible greeks, bbo etc) in one sheet and the back months in another.
  • Reports have a "Resize Columns to Fit" menu (right click context menu), that minimizes the column width to fit the data as tightly as possible.
  • Fixed the bug where the right click context menu was not visible if the report had no rows.
Spread Windows
  • Spread windows can now optionally show the gamma adjusted theo as the spread total theo, for tied spreads (the gamma adjusted theo is the number that shows in a silver font right above the Mult drop down box; it will continue to show there). This option is turned off by default and can be turned on by Sheets->Preferences->Spread UI->ShowAdjustedPriceForTiedSpreads.
Click Trading Ticket
  • Click trading ticket for outrights now shows the greeks for the option; delta, gamma, vega, theta
  • The ticket now also shows the edge computed in terms of where the fill will be hedged. This is the number in parentheses at the bottom right of the ticket.
Electronic Trading
  • The electronic trading system now has a built in safeguard where the engines will be turned off if an electronic fill can not be added to the TradeLog
  • Added dots on the shape / atm time series graphs
Analytics - Rebuild
  • Provided functionality to reduce PnL impact on rebuild by fitting the pre-rebuild vols on to the post-rebuild x-axis.
  • For completely PnL invariant rebuilds, use F-Float = 1.0 and SVR = 1.0 (See Below)
  • This only works in Standard Strike mode
Analytics (PLEASE READ)
  • Disambiguated several aspects of the vol model:

1) Standard Strike Mode

Standard Strike Mode is now signaled by a parameter on the extreme right of Poly Vol Form, Stdk Mode. Set this column to 1.0 and remove the -10.0 shift from Horiz Shift (remember the slaves) to restore your system to normal working state if you're already in standard strike mode. Ignore if you're in delta mode.

2) Factor Float

Added a parameter underneath Order Lim called F-Float:

  • A Value of 0.0 (the default) means that the P1, P2, etc factors are factors of the yellow ATM input column plus the shifts. This means that as vol response changes vol level, these level changes are additive in that a 1% up move in volatility adds 1% to each strike on the board (assuming an SVR factor of 1.0).

Example 0
ATM vol is 10%, the -2sd put vol is 13% (1.3 times ATM), the market moves down such that ATM vol rises by 1% to 11%, the -2sd put also rises 1% to 14%

  • A Value of 1.0 means that the P and C factors are factors of the responded, shifted, final atm vol, thus if the user set's the -2 sd put to be 1.3, the -2 put is always 1.3 times atm vol, as the market moves up or down. In this mode a vol shift (due to underlying move or manual intervention) of 1% would move the -2 put up 1.3%.

Example 1
ATM vol is 10%, the -2sd put vol is 13% (1.3 times ATM), the market moves down such that ATM vol rises by 1% to 11%, the -2sd put rises 1.3% to 14.3%

3) Standard vol

Standard vol, the vol by which standard strikes are calculated, can now bet set to a constant, or set to float with ATM vol by setting it to -1% in the Std Vol Column. Please note that all greeks that change ATM Vol (delta, gamma, vega, theta) will now have a dynamic standard vol if this parameter is set to -1.0%. In a low vol environment, close to expiration, this floating Standard Vol could cause trouble in these iterative greeks; please see the next entry about the addition of Black Scholes greeks in the risk report

  • Added Black Scholes Delta, Vega and Gamma and OEV in risk report, DeltaNoVR, VegaNoVR, GammaNoVR, OEVNoVR respectively. Please contact Ops to display in your Risk Viewer.


  • Zero price spreads are now tradable at CBOE
  • New mode in Model Params form called Smart Roll Offset allows intelligent linking of Roll Offset Parameter across cash and futures options. To enable this mode, set Smart Roll Offset to a value greater than 1.0, make sure to link the slave symbols.
Rho Report
  • To access a Eurodollar / Libor based rho exposure report, go to Admin->RiskViewer, Help->Open Config-> Rho_SP
Zero Price Spreads at CBOE
  • Bug disallowing zero price spreads at CBOE fixed.
Electronic Eye Shut Off
  • Electronic Eye now only counts its own trades toward the fills per time window shut off. Previously, all firm trades were counted.
High DPI
  • Fix to ensure window position is saved correctly on high DPI displays.
  • Fix to ensure drag/drop of tabs works as expected on high DPI displays.
  • Standard strikes can now be displayed in the sheets, by going to the Preferences->Main UI and setting ShowStandardStrike to true.
  • In the trade ticker UI, trades of sizes >= 200 are lit up a red color for 5 seconds. This will only happen to newly opened trade ticker windows.

  • Made hedger round to the nearest future in the outright and spread hedger by default.
  • Data is available for a missed hedge report
  • New Risk Greek, DeltaNoVR, is equal to vol by strike delta.
Click Trading
  • If the auto hedger can not hedge a click trade (that is set to be hedged by default), a warning window pops up now, allowing the trader to continue or not.
Electronic Safeties/Fuse box
  • Spread Eye can be switched on or off from the FuseBox now.
  • Spread with crosses can be filtered using the "Crosses" check box.
  • In an effort to quickly zero in on desired spreads, the spread window now supports 4 additional filters. Each of these identical filters takes in a range (minimum, maximumn - both or one) and the type of data (Number of Contracts, Delta, Edge, Gamma, Strikes, Theta, TradeSize, UnitEdge, Vega and Volume). Example : selecting Delta from the drop down and enterring 20 and 40 in the adjacent text boxes with narrow down the spreads within the 20-40 delta band. If the second text box is left blank, all spreads with delta >= 20 will show up.
  • Spreads can be added to the electronic eye from this window now, by swiping the Spreads (one or more), right clicking to bring up the menu and clicking on "Add To EE". "Remove from EE" does the opposite. Similiarly the buy/sell edges/sizes for the eye can be set for spreads, by swiping across spreads on the corresponding column, right clicking to bring up the menu and either clicking on the preset edge/sizes or clicking on "Set Bid/Ask Size/Edge" and enterring the value. (Please note that the electronic eye columns are hidden by default and can be made visible simply by right clicking to bring up the menu and then clicking on "Show EE Columns". For existing windows it will have to be moved to the desired locations. For new windows it appears on either side of the bid/ask columns).
  • Made performance improvements for this window.
  • Saving a workspace is now explicit. There is no longer an "active" workspace which is automatically saved as you open and close windows. Instead your last state on a machine is loaded by selecting "Layout on machine" from the login dialog (this is the default option).
  • Workspaces can now be marked "Shared." A Shared workspace is visible to all users.
  • If you log in from multiple computers you can access the last set of open windows on the other machine from the login dialog using the "Layout on other machine" menu option.
  • MMTN is now located in the Orders/Trades shell module.

Hedge Rounding
  • Added the ability to round to the nearest future in the outright and spread hedger; ask support to enable this if interested.
  • Added putwing and callwing pump quantities; units are radians for now. Also laid groundwork for put/call pump response
  • Wing pumps will have to be set up in the AW slave symbols. This is accomplished by visiting each AW slave symbol (spxw, spxq, ewx, sp, etc) and setting the pump columns yellow numbers to 0.0 and the blue factor at the bottom to 1.0
  • Made ThirtyDayDays (Vega Normalization Days) easier to set from master symbol. Users must address each slave symbol's Model Params form and set the blue factor to 1.0 and the yellow shift to 0.0. Then type 30 (or your normalization preference in the master (say spx's) ThirtyDayDays field. If you do not do this, your vegas will be NaN
  • New StdVol Modes: Setting StdVol = 0.0 will link stdvol to ATM Vol as in previous versions, setting stdvol < 0.0 will cause the polynomial to fit factors of ATM, not the actual vols. This will ensure that an option set to 1.2 times ATM will always be 1.2 times ATM as the market moves around. Remember that Std Vol is the vol used to convert raw strikes to standard strikes (or standard deviations)
  • New Model Parameter: Poly Order Lim allows advanced users to limit the order of the vol polynomial; if not set or zero, the default order is the sum of the total number of activated call and put points.
  • prepub_drivervsatmatlastrolloverproxy_spx is now available in the system as the last-rolled-over set of vol factors and ATMs. The current set is in risk_calcengine_spx_option_drivervsatm
  • Sheets now have zooming in/out functionality that is controlled by the +, - buttons at the top, respectively.
  • Ladder for futures now show Open, Low, High and Change for the day.
Spread Tickets
  • Spread Tickets titles can be displayed more succinctly by going to Preferences (from the sheets)->Spread UI->ShowDetailedTitle and setting it to false.
  • Unit greeks for the legs in the spread can be hidden by going to Preferences (from the sheets)->Spread UI->ShowUnitGreeks and setting it to false.
  • Driver/Future size in spread header cane be hidden by going to Preferences (from the sheets)->Spread UI->ShowHeaderDriverSize and setting it to false.
  • Legs can be added and removed while existing legs can be modified in a spread ticket, by right clicking on a spread leg, and bringing up the new Spread Edit Window.
  • Fixed a bug where if SpreadInitializationAction was set to SingleClickSystem, then removing a leg was causing the spread to be reverted to a 'known' spread.
Spread Market Data Sheets
  • Spreads can now be filtered for multiple strategies and multiple groups.
  • Spreads can now be filtered through the find text box at the top. User can enter partial or full expirations/strikes to narrow down the list.
  • By default, this window is launched with the "Active BBO" checked.
  • Spread window is more streamlined now. The default settings offer a sleaker view. BBO resulting in positive edges are displayed in bold fonts in the default settings.
  • Spread window also supports right click actions.
Orders Form
  • Order Form now support right click operations now for Cancelling/Modifying orders.
  • When reports are frozen, swiping across rows/columns produces a sum at the bottom.
  • Reports support right click operations now for Exporting Data, Printing etc.
  • Deleting a workspace or closing a window can now be undone using the 'Undo' menu under Workspaces.

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