Volatility Codes

Legend

Code	Description	Adjust	Method	Level
VLTY	Volatility of the underlying used in the pricing model.	Yes	Edit†	O
IVLTY	Implied volatility.	Yes	Edit†	O
ASKIVLTY	Implied volatility of option’s ask	Yes	Edit†	O
ASKDELTA	Delta at option’s Ask implied volatility	Yes	Edit†	O
BIDIVLTY	Implied volatility of option’s bid	Yes	Edit†	O
BIDDELTA	Delta at option’s Bid implied volatility	Yes	Edit†	O

The calculation used to display implied volatility values in quote windows depends on how you set the Implied Volatility Update field in the Option Parameters dialog. This field is a toggle. You can set it to either of the following settings:

Setting

Meaning

Option Only

Implied volatility is updated only when the option trades. The implied volatility is calculated using the underlying instrument’s price at the time that the option last traded (bid, ask, or trade).

Option or Underlying

Implied volatility is updated when either the option or its underlying instrument trades.

The following table describes quote code performance when the Option Only setting is selected.

Option Price	Underlying Price
bid	Underlying price at time of option bid.
ask	Underlying price at time of option ask.
mid	Mid point of underlying price at the time of the option’s last bid and the underlying price at the time of the option’s last ask.
previous	Underlying’s close on the previous day.
last	Underlying price at the time of the last option price (bid, ask, or trade).
all others	Underlying price at time of option trade.