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After selecting a date, the option expirations' data will be displayed in the chain. The fields supported for historical futures options data are in the table below.
Field | Description |
|---|---|
Theoretical | The theoretical value or price of the option |
Theta | Theta is a measure of the time decay of an option, the dollar amount that an option will lose each day due to the passage of time |
Vega | Vega measures the sensitivity of the price of an option to changes in volatility |
Gamma | Gamma measures the rate of change in the delta for each one-point increase in the underlying asset |
Delta | Delta measures the sensitivity of an option's theoretical value to a change in the price of the underlying asset |
Implied Volatility | The volatility for the option calculated using the Black 76 Model (for spread options the Bachelier model is used) |
Rho | The rate at which the price of a derivative changes relative to a change in the risk-free rate of interest (US Treasuries Yield and the Canada Bank Rate) |