The Pegged to Primary volatility order for options pegs or matches the starting price of the order to the same side volatility, for example a buy order (for both puts and calls) will peg to the volatility bid and a sell order (for both puts and calls) will peg to the volatility ask.
This order allows a positive 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-Primary 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 PEGPRIMVOL.
3. Define the offset amount. Positive or no offset only. The offset makes the order more aggressive. For a buy order the offset is added to the bid. For a sell order the offset is subtracted from the ask.
4. Specify other order parameters as needed, including Continuous Update, Reference Price etc.
5. Click Transmit to submit the order.