The Straddles Grid is a quick and easy way to see the real-time at-the-money (ATM) volatility across the term structure of a particular product. Simply enter the underlying future to see the straddle at every associated expiry.
The Straddles Grid gives a run of ATM straddles ordered by days to expiry with the strike closest to their underlying future price. If a RFQ is yet to be made, the straddle will appear greyed out in “Draft” status. With just one click it can be “Activated” and market makers will automatically respond.
If the underlining futures contract moves away in such a way that the strike is no longer closest to ATM, the row will show a refresh symbol and the future price will turn from orange to grey (see example below).
You can refresh line by line or all at once using the refresh button. The straddles will not be delta neutral, but there will be residual delta and less than the outright options.
Straddles Grids can be accessed by clicking “Menu” and “New View.”
Then select “Straddles Grid” from the menu.
For more information or help accessing Straddles Grids, please email platformsolutions@cmegroup.com.
All examples in this report are hypothetical interpretations of situations and are used for explanation purposes only. The views in this report reflect solely those of the author and not necessarily those of CME Group or its affiliated institutions. This report and the information herein should not be considered investment advice or the results of actual market experience.
