MARKET STRUCTURE DICTIONARY

value trader  An INFORMED TRADER who use all available information when estimating the fundamental value of assets and making investment and trading decisions. 

vanilla account  A slang term for an institutional investor who is basing his trading activities primarily on fundamentals.  Usually refers to a large mutual fund.  For example, I've got a vanilla guy on the line looking for a market in ZVZZT.  I don't think he's looking to hurt us.  As opposed to a FAST GUY.

vanilla option  A slang term for a "regular" option with no special terms or conditions attached.  Generally exchange traded.

vendor  A purveyor of products or services used to facilitate trading activity. 

verbal  An abbreviation of verbal report.  For example, XYZ, take a verbal, you bought 10,000 at $50.25.  Official report to follow.

verbal report  An execution or partial execution of an electronic order given verbally.  Implies that the official electronic notification will be forthcoming in a timely manner.  For example, For some reason I can't execute the order in the system, but take a verbal report … you bought 2500 additional XYZ at $50.25, leaves 5000.

VIX  The ticker symbol for the Chicago Board Options Exchange Volatility Index.   A popular measure of perceived overall market risk.

vol  An abbreviation of volatility, as in There was really a spike in vol after the FOMC announcement.

volatile  To possess a high degree of volatility, as in It seems like some of these stocks have gotten much more volatile since the number of market makers has declined.

volatility  1)  In general, the tendency of an asset towards unexpected price moves, as in Volatility picked up noticeably the past few sessions as market conditions really started to deteriorate.  More specifically, a statistical measure of the dispersion of returns of an asset.  All things being equal, the greater the volatility, the riskier the asset.  2)  A key variable in options pricing models that anticipates the extent to which returns in the underlying asset will fluctuate between now and expiration.  Volatility is essentially an asset class unto itself, with its own markets, investors, and traders.

volatility trader  A trader who trades derivative financial instruments for which volatility is a key pricing component.  Instruments traded therefore include vanilla options, volatility ETFs (e.g. VIX related products), and volatility related swaps (volatility swaps, variance swaps, and gamma swaps).  Importantly, large options dealers tend to be short volatility to their customers, which often necessitates moves in the underlying asset to hedge volatility risk.  

volume  The total number of shares traded during a particular period of time.

volume deleted  A message that appears on the consolidated tape when the tape is late due to unusually heavy trading volume.  Indicates that only the stock symbol and price will be shown for smaller trades. 

volume sensitive order  An order that targets a percentage of the overall trading volume, as in XYZ, buy 50,000 shares, be about a third of the volume.  See also PERCENTAGE ORDER.

volume weighted average price (VWAP)  One of the most important trading benchmarks.  Calculated by adding up the dollar amount for every transaction in a particular stock for a given period of time, and then dividing by the total shares traded during that time. 

VWAP  An abbreviation of volume weighted average price.

VWAP order  An order that targets the volume weighted average price (VWAP) as its benchmark.  May be a guaranteed VWAP order or a VWAP target (not guaranteed) order.  For example, XYZ, buy 100,000 from now to the bell, just VWAP it.