Fair Value (FV)

Trade Sheet and Strategy Builder Fair Value

 

The Fair Value (FV) property in Metro represents a mid-market price on an individual strike or strategy based on live market data. FV is calculated based on the user’s choice of a simple average, or VWAP. FV will update automatically based on live market data and was designed to be used in conjunction with Theoretical Value (TV).

FV is available in Metro Trade Sheets, Trade Sheet Spread Box, and Trade Sheet Shared and Hot Lists.

The FV calculation method can be chosen from Trade Sheet Configuration tab.

There are currently 2 FV calculation methods:

  1. Simple Average: (Bid + Ask) / 2
  2. VWAP:[(Ask Volume * Bid Price) + (Bid Volume * Ask Price)] / (Bid Volume + Ask Volume)
  • If there is no market data for an instrument, its FV will be blank
  • If there is only one side of market data for an instrument, that side will be used as the FV
  • For the FV to populate in the Spread Box, Shared, and Hot Lists, FV must be a cell in the Standard or Alternate (ALT) Trade Sheet

In this example, FV for individual strikes and for the Spread Box are highlight in the green cells (to the right of the TV cells) while bid/ask values are shown in light yellow.

In the strategy builder, the March 4310/4380 Vertical Put Spread has a TV of 22.512 while the FV is 25.88.

When Trade Sheets STOP button is engaged:

  1. FV will continue to update with live market information
  2. Stopped underlying price will be compared against the live underlying price and a delta adjustment will be made to the live FV
  • The delta approximation is not designed for large underlying move adjustments
  • Adding a volatility leg in the Spread Box will have no effect on FV