Page History: Portfolio Analysis
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Page Revision: 2016/08/09 10:46
Properties Opens the properties for the portfolio analysis window. Note that some properties will be hidden depending upon which tab or slide is currently selected.
- Save as Default Saves the current portfolio analysis window’s layout as the default for all new portfolio analysis windows. Please also save your workspace after saving this window to be sure your default is saved for future sessions.
- Save Copy Save a copy of the current portfolio analysis window’s layout without changing the default layout.
- Mode Type Set the mode for the portfolio analysis window. Default mode analyzes the complete account inventory against current futures prices unless prices are set to static in the option sheets. Settlement mode only analyzes prior day inventory and uses the most recent final settlement prices received from the exchange. Prelim Settlement mode analyzes the complete account inventory against the most recent preliminary settlement prices received from the exchange. All calculations in the current portfolio analysis window will be based on the inventory and underlying prices chosen here. A yellow notification box will appear at the top of the portfolio analysis window indicating a mode other than Default has been chosen.
- Inventory Type Set the inventory type for the portfolio analysis window. “All” uses the selected account’s entire position for analysis. “Current Day” only uses positions entered on current session trades. “Previous Day” only uses positions carried over from previous sessions. A yellow notification box will appear at the top of the portfolio analysis window indicating that an inventory type other than All has been chosen.
- Step Interval Type Override the step interval type for the portfolio analysis window. “Underlying Basis” will use the step interval settings from the series area of model management. This setting is shared by all option contracts of the same underlying contract, but may be different from one contract to another. For example, the step interval may be set to 20 ticks for gold, 25 ticks for crude oil, and 1% for soybeans. “Percentage” will use a set underlying percentage move for all contracts, overriding the step interval selected for each contract in model management. If percentage is chosen, a yellow notification box will appear at the top of the portfolio analysis window indicating that percentage interval is enabled.
- Step Percentage If Step Interval Type is set to Percentage, enter the desired underlying percentage step in this field.
- Apply Weighted Greeks If checked, any weighted Greeks selected in model management will be applied to the appropriate contracts in portfolio analysis. A yellow notification box will appear at the top of the portfolio analysis window indicating that weighted Greeks have been applied.
- Disable Live Updates If checked, changes to underlying futures prices will not cause the portfolio analysis window to update, allowing static analysis of the position. Note that when switching reports, a new live snapshot will occur once and then live updates will not continue. To set specific static prices, set the underlying prices manually from the option sheet. A yellow notification box will appear at the top of the portfolio analysis window indicating that live updates are disabled.
- Shock Matrix Type Override the shock matrix type for the portfolio analysis window. “Underlying Basis” will use the shock matrix settings from the series area of model management. This setting is shared by all option contracts of the same underlying contract, but may be different from one contract to another. For example, the shock matrix volatility may be set to 20% for gold and 25% for crude oil. “Manual” will use a set volatility move for all contracts, overriding the shock matrix volatility selected for each contract in model management.
- Volatility If Shock Matrix Type is set to Manual, enter the desired volatility shock to be used in position equity matrix calculations for all contracts.
- Is Percentage of Volatility If Shock Matrix Type is set to Manual, checking this box makes the volatility shock a percentage change to existing volatilities. For example, a 10% shock to a volatility of 25% yields volatilities of 20% and 30%. If unchecked, the volatility shock is added and subtracted directly from existing volatilities. For example, a 10% shock to a volatility of 25% yields volatilities of 15% and 35%.
- Shock Impact Type Override the shock impact type for the portfolio analysis window. “Account” will use the shock impact settings from the admin screen, which can only be changed by a firm administrator. “Underlying Basis” will use the shock impact settings from the series area of model management. This setting is shared by all option contracts of the same underlying contract.
- Apply Checking this box will apply a “What If?” scenario to the portfolio analysis. The settings for the scenario are determined immediately below. A yellow notification box will appear at the top of the portfolio analysis window indicating that a “what if?” scenario is applied as well as what adjustments have been made.
- Vol Adjustment The amount of volatility adjustment to be done to all option contracts when the “What If?” scenario is applied. Set this to 0 if no volatility adjustments are desired. Set to a negative number to reduce all volatility levels.
- Vol Adj Is Percentage When checked, the vol adjustment in the “What If?” scenario will be applied as a percentage of existing volatility levels. For example, a vol adjustment of 10% will move 20% vol to 30% vol when unchecked, but will only move 20% vol to 22% vol if checked.
- Adjust DTE by The adjustment to be made to days to expiration across all option contracts when the “What If?” scenario is applied. Set this to 0 if no DTE adjustments are desired. Set to a negative number to reduce the number of days to expiration.
- Slide Increment Factor The adjustment to be made to the step intervails when the “What If?” scenario is applied. For example, if the typical step interval is 10 ticks, a slide interval factor of 3 will adjust the step interval to 30 ticks. Set this to 1 if no slide increment adjustments are desired.
- Hide Net Choose whether to hide the net portion of the Combined slide report.
- Hide Contract Choose whether to hide the contract portion of the Combined slide report.
- Hide Contract Month Choose whether to hide the contract month portion of the Combined slide report.
- Hide Month Choose whether to hide the month portion of the Combined slide report.
- Crosshair Type Choose the type of crosshairs when hovering over the analyzer grid. The crosshairs make the font bold in highlighted areas. Types of crosshairs are none, cell, row, column, and row and column.
- Select Type Choose the type of selection when the mouse is pressed down on the analyzer grid. Choices are none, row, and multiple rows.