TWS Version 952 - Release Notes

Interactive Analytics: Implied Volatility Viewer Enhancements

The Implied Volatility Viewer, introduced in release 951, has been enhanced to include:

  • The ability to edit the Interest Rate and Dividend Schedule, and to compose a basket of contracts. Make these selections from the Edit menu when the tool is in "Local PC" mode. To toggle modes use the right-click menu from within the chart. In "Local PC" mode, the model Implied Volatility is calculated based on the loaded option chains in TWS. In "Remote Server" mode, the model Implied Volatility is calculated based on the entire volatility surface for the selected underlying including all options in the related option chain that have a valid quote.
  • Export Tool - When the tool is in "Remote Server" mode, the export command creates two .csv files: one of the observed data and one of the fitted model curve parameters

To open the Implied Volatility Viewer, from the New Window drop down select Options Analysis and then Interactive Analytics, then select Implied Volatility Viewer.

Risk Navigator Enhancements

Enhancements to IB Risk Navigator reports include:

  • The ability to add new Long and Short P&L columns via the Metrics menu. Select Metrics, then Value Columns then Long/Short. Choose to add:
    • Long and Short Value,
    • Long and Short Value % NLV
    • Long and Short Unrealized P&L (both as a value and as a percentage)
    • Long and Short Realized P&L
    • Long and Short Total P&L
    • Long and Short P&L for the day

  • A new "Long/Short" position sorter that will group positions in your reports into Long and Short sections. From the Dimensions menu, select "Long/Short." The report will add a new "Positions" column and have Long and Short dividers.

  • Assign a country to a contract - Use the right-click menu from any contract in the "Risk by Country" report and select Change Country to assign any country to the selected contract. This assignment is used for grouping purposes in the Equity's Risk by Country report.

Support for S&P and Fitch Bond Ratings

The Contract Description now includes additional bond ratings in addition to Moody ratings. Bond rating subscribers will see all available ratings laid out in a row separated by a slash (/) in the Contract Description field and if the field is added, in the Bond Rating field. Hold your mouse over the description to see a list of rating provider: rating, for example MOODY: AA3, FITCH: A+. The Fitch and S&P ratings are also now included along with Moody as filters in the US Corporate and US Municipal Bonds scanners.

To see all bond ratings, you must subscribe to "Bond Ratings" in the fixed income area of the North America Market Data page. Log into Account Management and select Manage Account>Trade Configuration>Market Data. This single subscription includes all available bond ratings.

New Chart Indicator

A new comprehensive chart study, Correlation Coefficient, has been added to our charts. The Correlation Coefficient (PPMCC) measures the linear correlation or dependence between two variables, in this case between two securities, in an attempt to show how closely the securities are related to each other. The value is positive when both securities move in the same direction (either up or down) and negative when they move in opposite directions.

To use the Correlation Coefficient, from within a chart click Edit>Studies and in the Comprehensive Studies section select the indicator.