The First Section

Field	Function
Symbol	Specifies the underlying instrument used in calculating the volatility skew.
Calls	Toggles calculation of calls on and off.
Puts	Toggles calculation of puts on and off.
Rollover	Causes the skew to rollover upon contract expiration.
Extend	Enables you to create a skew on nearer-month underlying instruments which can be applied to more distant option expirations.
Name	Specifies the name of the volatility skew. This name identifies the skew in your database.
Expiration Switch	(This field has no heading.) Enables you to include or suppress the instruments that the different option expiration chain used in creating the skew. This toggle is an asterisk. If the asterisk is visible, the instrument is included. If the asterisk is not visible, the instrument record is shaded gray and suppressed.
Month	Identifies expiration month.
Dots	Toggles the display of dots in the skew.
Line	Toggles the display of a line in the skew.
Xdays	Displays the number of days until the option expires.
Uprice	Displays the price of the underlying instrument.
Base	Enables you to enter a base for evaluating short term interest rate futures (i.e., Eurodollars and Treasury Bills).
Dividend Type	The dividend type field has no label. It is only displayed if the underlying instrument is an index or stock, and it appears next to the xDate (or Yield) field. Selecting the Dividend Type field displays the Dividend Type menu. Selecting an item from this menu enables you to define schedule on which distributions occur. Selection Function None No dividends. Quarterly Dividends occur quarterly. The last known dividend amount automatically serves as the dividend amount for all future distributions. Semiannual Dividends occur semi-annually. The last known dividend amount automatically serves as the dividend amount for all future distributions. Annual Dividends occur annually. The last known dividend amount automatically serves as the dividend amount for all future distributions. Discrete Only known dividends are included in the calculation. No assumptions are made about future dividends. Yield Annualized dividend yield.
Yield	If the underlying instrument is an index or stock, the Yield field is displayed to the right of the expiration table. This field enables you to enter the annualized dividend yield.
Div xDate	Enables you to define the dividend amounts distribution dates. This field is displayed only if the underlying instrument is an index or stock, and it is displayed to the right of the expiration table. Selecting this field displays the Dividend menu, which enables you to enter dividend amounts and a distribution dates: The first dividend amount and distribution date automatically passes to the Div and xDate fields, respectively.

A skew definition consists of information derived from these fields. How you define a skew depends on how you want to apply the skew. A skew can be straight forward (a skew on a future’s lead month contract applied to lead month options) or more dynamic (a skew on a future’s first out month contract that rolls over at expiration applied to out-month options, which trade too sparsely to produce a valid skew). By itself, a skew is an important perspective on volatility, but how you define a skewor, how you intend to apply itis even more important.

The fields in the definition section derive default values from the technique you used to enter an instrument in the volatility skew window. As mentioned above, there are four techniques for entering a symbol in a volatility skew menu. Regardless of which technique you use, the characters you type are displayed in the Symbol Field.