The Pegged to Midpoint volatility order for options pegs or matches the starting price of the order to the midpoint of the bid/ask volatility, specifically the bid volatility + ask volatility/2.
This order allows a positive offset, negative offset or no offset to the volatility.
Note: To see bid/ask volatility instead of prices, open the VolatilityTrader from the Trading Tools menu.
To create a Pegged to Midpoint Volatility Order
1. From the ticker line for an option, click the bid volatility to create a sell order, or the ask volatility for a buy order.
2. From the Type field select PEGMIDVOL.
3. Define the offset amount. Positive, negative or no offset all allowed. A positive offset makes the order less aggressive. For a buy order the offset is subtracted from the midpoint. For a sell order the offset is added to the midpoint. A negative offset makes the order more aggressive. For a buy order the offset is added to the midpoint. For a sell order the offset is subtracted from the midpoint.
4. Specify other order parameters as needed, including Continuous Update, Reference Price etc.
5. Click Transmit to submit the order.