QuantConnect Lean Algorithmic Trading Engine
Volatility Field
TWS Version 857 introduced volatility trading of options, and a new order type, "VOL." What happens with VOL orders is that the limit price that is sent to the exchange is computed by TWS as a function of a daily or annualized option volatility provided by the user. VOL orders can be placed for any US option that trades on the BOX exchange. VOL orders are eligible for dynamic management, a powerful new functionality wherein TWS can manage options orders in response to specifications set by the user.
Syntax
public const string Volatility
Requirements

Target Platforms: Microsoft .NET 4.5 or Mono 3.10 or above.

See Also