Product Depth

Product Depth is a TOS interface designed for analysis of futures products. In order to access this interface, press the Product Depth button below the Charts tab. This interface works with both futures and options, however, you need to specify which you would like to analyze as different values are displayed for these two types of instruments. This can be done using the Options/Futures switch.

Options Mode

In the Options mode, Product Depth displays a grid of charts, each being a representation of relationship between option prices and Greeks, volatility values, or other parameters.

In order to work with Product Depth in the Options Mode, you need to specify the following on the panel above the plots:

1. A valid symbol for an optionable instrument.

2. Options to calculate values for: Calls, Puts, Out of the money, Average, or All (both Puts and Calls).

3. Option series to calculate values for. Each series is assigned a color using which the values will be plotted. Colors are customizable via Color palette on the same panel.

4. Number of strikes.

Next you need to specify values to be plotted. This can be done using the panel below the charts. Use drop-down lists Upper and Lower in order to define parameters for upper and lower charts. The following values are available for calculation: open interest, extrinsic value, volume, implied volatility, Greeks (Delta, Gamma, Theta, Rho, and Vega), Mark, intrinsic value, theoretical price, expiration probabilities (probability of expiration in the money, out of the money, or probability of touching).

Futures Mode

In Futures mode, the interface displays the Product Depth Curve which is a graphical representation of the market price of each contract month for any given futures product. In mathematical sense, it plots price over the expiration month of the product. The Product Depth Curve is designed for recognizing and analyzing different curve conditions (e.g., backwardation, contango) in futures markets.

In order to work with Product Depth in the Futures Mode, you need to specify a valid root futures symbol. Next, press the Curves button to manage curve parameters:

  1. Futures symbol for which the curve is plotted. You can combine curves of different symbols on the same chart.
  2. Color with which the curve is plotted.
  3. Price for which the curve is plotted: mark or last. Note that for curves which use historical data, only the last price is available.
  4. The date to plot the curve. You can specify any date from as far back as ten years (depending on the product) to current day.
  5. You can customize a list of series to plot the curve for. By default, it is plotted for all available series.
  6. Power of curve smoothing. Curves are smoothed using the Bezier (Smooth Line 1) and polynomial (Smooth Line 2) algorithms.
  7. You can hide or remove curves from the chart using respective buttons. Today's curve cannot be removed.
  8. You can add up to 10 curves to the chart using the Add Curve button.

There are four extra options which can be enabled using icons next to the Curves button:

  1. Highlight up/down ticks. This function highlights each contract's dot on the live price curve with a green triangle for uptick and a red triangle for downtick upon each incoming quote for that contract.
  2. Delta subgraph. Enabling this option will add the subgraph displaying a histogram of difference between contracts' historical and current prices.
  3. Lock time axis. Enabling this option will have ordinal numbers of contracts shown instead of timestamps on time axis. Data points will be plotted equidistantly disregarding the actual time distance between them.
  4. Abs/percent axis. This option enables percentage mode for price scale. In this mode, first price point of each curve determines the zero level, and each next is calculated as percentage offset from it.
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