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Creating and managing your Portfolio Analysis views is located in the global properties. There are 5 preset views and one default provided which all can be edited. To add the views simply click in the value area to bring up the list of views. left click on each one you want to add then click OK to add it.



Clicking on Number (#1) you will bring up the below window. This is helpful because it allows you to copy and edit a pre-set view to quickly create multiple views.


When you click on the default or copied view (#2) it will bring up a menu that will allow you to add or remove the below options to your view. Once your view is created to your liking click here to see how to toggle and select your view on your Portfolio Analysis window.

Default

• View Name: This is name of the view.

  Details:

  • The view's name can be changed by typing over the name.
  • Each view should be named to identify its purpose.
  • The view can be configured by a variety of the pararmeters.
• Clear All: Clear the everything in this view.
• Select All: Select everything for this view

Slide Reports

• Underlying Price Displays the appropriate underlying price for each option expiration. Note that this is only available in the contract month and month slides, and in the contract month section of the combined report.
• Interval Change Displays how many underlying ticks or what percentage of an underlying move from the at-the-money price each step is.
• Chg to Theo P&L: Prior Day Inventory Only The change to theoretical P&L at each step as a result of prior trading session inventory only. Note that this P&L does not include trades that occurred in the current trading session.
• Chg to Theo P&L: Today’s Trades Only The change to theoretical P&L at each step as a result of current trading session trades only. Note that this P&L does not include trades that occurred in any prior trading sessions.
• Chg to Theo P&L The change to the theoretical P&L at each step as a result of all inventory and day trades. The at-the-money value for this row begins at 0 based on the volatility, days to expiration, and futures prices at the end of the prior trading session.
• Chg to Theo P&L Chg The difference from one step to the next in theoretical P&L, representing how much the current theoretical P&L will change with each step. The at-the-money value for this row will always be blank as there is no step away from the at-the-money value to take a difference from.
• PE Shock Matrix: Slide per step Displays the position equity at each step based on changes to the underlying.
• PE Shock Matrix: Slide and Vol per step Displays the position equity at each step based on changes to the underlying and changes to volatility. This will generate two lines in each slide, one that represents volatility up and one that represents volatility down at each step. The amount of volatility shock can be adjusted per series in the model management window, or it can be overridden for all series in the portfolio analysis properties. In both places there is a check box to make the volatility adjustment a percentage change to the current volatility as opposed to an addition/subtraction of a set percentage. For example, a current volatility level of 20% with a shock of 10% can result in shocked volatility levels of 10%/30% or 18%/22%, based on whether the “is percentage” setting is unchecked or checked, respectively.
• PE Change: Shock Matrix of Slide per step The difference between the new position equity at each step and the current position equity, ignoring changes to volatility.
• PE Change: Shock Matrix of Slide and Vol per step The difference between the new position equity at each step and the current position equity, including the volatility shock. This will generate two lines in each slide, one that represents volatility up and one that represents volatility down at each step. The amount of volatility shock can be adjusted per series in the model management window, or it can be overridden for all series in the portfolio analysis properties. In both places there is a check box to make the volatility adjustment a percentage change to the current volatility as opposed to an addition/subtraction of a set percentage. For example, a current volatility level of 20% with a shock of 10% can result in shocked volatility levels of 10%/30% or 18%/22%, based on whether the “is percentage” setting is unchecked or checked, respectively.
• PE Change: Shock Matrix of Vol per step The difference between the new position equity at each step and the current position equity, ignoring equity changes due to underlying changes. In effect, this is the difference between the shock matrix of slide and vol per step and the corresponding shock matrix of slide per step. This will generate two lines in each slide, one that represents volatility up and one that represents volatility down at each step. The amount of volatility shock can be adjusted per series in the model management window, or it can be overridden for all series in the portfolio analysis properties. In both places there is a check box to make the volatility adjustment a percentage change to the current volatility as opposed to an addition/subtraction of a set percentage. For example, a current volatility level of 20% with a shock of 10% can result in shocked volatility levels of 10%/30% or 18%/22%, based on whether the “is percentage” setting is unchecked or checked, respectively.
• PE Change at Expiration: Slide The difference between current position equity of a given step and position equity with all days to expiration set to 0.
• PE at Expiration: Slide The position equity at that step with all days to expiration set to 0.
• PE Change: Shock Impact Creates a matrix of change to position equity values for each of the 4 following scenarios: underlying up and volatility up, underlying up and volatility down, underlying down and volatility up, and underlying down and volatility down. Each step calculates separate values based on position equity at that step’s underlying prices and based on underlying movement from that step’s underlying prices. By default, values for the shock impact are set by the firm administrator. However, the user can set his own values by clicking the properties button in the portfolio analysis window and switching “shock impact type” from account to underlying basis. The amount of underlying movement and volatility movement can then be set in the series tab of model management, under “shock impact.” The values are entered as percentage changes to existing underlying and volatility levels, and are set to 10% and 20%, respectively, by default.
• EMM (Est. Maint. Margin) The estimated maintenance margin required for the current position at each step as a result of portfolio based margining calculations. This is only available on the net slide.
• EMM Variance Scan The estimated maintenance margin variance scan. This assists if projecting the estimated maintenance margin given a small incremental move in the underlying. It creates an estimated maintenance margin if the underlying goes up (upper variance scan) and if the underlying goes down (lower variance scan).
• EIM (Est. Init. Margin) The estimated initial margin required for the current position at each step as a result of portfolio based margining calculations. This is only available on the net slide.
• EIM Variance Scan The estimated initial margin variance scan. This assists if projecting the estimated initial margin given a small incremental move in the underlying. It creates an estimated initial margin if the underlying goes up (upper variance scan) and if the underlying goes down (lower variance scan).
• Delta Displays the delta at each step on each slide report. Delta represents the hedge ratio and equivalent underlying risk. If weighted Greeks are enabled from the portfolio analysis properties then weighted delta will be displayed in place of delta.
• Expiry Delta Displays the delta at each step on each slide report with all days to expiration adjusted to 0. Expiry delta represents the delta that the position incurs if all option months expired at current underlying prices. If weighted Greeks are enabled from the portfolio analysis properties then weighted expiry delta will be displayed in place of expiry delta.
• Vega $ Displays the vega in dollars at each step on each slide report. Vega represents the volatility risk given a 1% increase in volatility. If weighted Greeks are enabled from the portfolio analysis properties then weighted vega $ will be displayed in place of vega $.
• Gamma Displays the gamma at each step on each slide report. Gamma represents the change in delta given a 1 tick increase in the underlying. If weighted Greeks are enabled from the portfolio analysis properties then weighted gamma will be displayed in place of gamma.
• Theta $ Displays the theta in dollars at each step on each slide report. Theta represents the change to P&L as a result of subtracting 1 day from the current days to expiration. A positive number represents a profit with 1 day out, while a negative number represents a loss. If weighted Greeks are enabled from the portfolio analysis properties then weighted theta $ will be displayed in place of theta $.
• OEV Displays the option equivalent vega at each step on the month slide report. OEV represents the number of long or short at-the-money options the position is equivalent to in terms of vega. For example, a position with $2000 in long vega risk might be long 100 upside calls that have $20 in vega each. If the at-the-money options have $50 in vega each then the OEV will be 40. In this example it takes a position of long 40 at-the-money options to generate the same vega risk as the long 100 upside calls. If weighted Greeks are enabled from the portfolio analysis properties then weighted OEV will be displayed in place of OEV.
• OEG Displays the option equivalent gamma at each step on the month slide report. OEG represents the number of long or short at-the-money options the position is equivalent to in terms of gamma. For example, a position with 1.0000 in long gamma risk might be long 500 downside puts that have 0.0020 in gamma each. If the at-the-money options have 0.0050 in gamma each then the OEG will be 200. In this example it takes a position of long 200 at-the-money options to generate the same gamma risk as the long 500 downside puts. If weighted Greeks are enabled from the portfolio analysis properties then weighted OEG will be displayed in place of OEG.
• OET Displays the option equivalent theta at each step on the month slide report. OET represents the number of long or short at-the-money options the position is equivalent to in terms of theta. For example, a position with $500 in short theta risk might be short 20 downside puts that have $25 in theta each. If the at-the-money options have $50 in theta each then the OET will be -10. In this example it takes a position of short 10 at-the-money options to generate the same theta risk as the short 20 downside puts. If weighted Greeks are enabled from the portfolio analysis properties then weighted OET will be displayed in place of OET.
• COEV Displays the composite option equivalent vega at each step on the net, contract, and contract month slide reports. COEV represents the sum of all constituent OEV values. See OEV for more information. For example, a position with Jan OEV of 10, a Feb OEV of 15, and a Mar OEV of -25 will have a net COEV of 0. If Jan options expire into Jan futures and Feb and Mar options expire into Mar futures, then Mar will have a contract month COEV of -10. If weighted Greeks are enabled from the portfolio analysis properties then weighted OEV will be displayed in place of OEV.
• COEG Displays the composite option equivalent gamma at each step on the net, contract, and contract month slide reports. COEG represents the sum of all constituent OEG values. See OEG for more information. For example, a position with Jan OEG of 10, a Feb OEG of 15, and a Mar OEG of -25 will have a net COEG of 0. If Jan options expire into Jan futures and Feb and Mar options expire into Mar futures, then Mar will have a contract month COEG of -10. If weighted Greeks are enabled from the portfolio analysis properties then weighted OEG will be displayed in place of OEG.
• COET Displays the composite option equivalent theta at each step on the net, contract, and contract month slide reports. COET represents the sum of all constituent OET values. See OET for more information. For example, a position with Jan OET of -10, a Feb OET of -15, and a Mar OET of 25 will have a net COET of 0. If Jan options expire into Jan futures and Feb and Mar options expire into Mar futures, then Mar will have a contract month COET of 10. If weighted Greeks are enabled from the portfolio analysis properties then weighted OET will be displayed in place of OET.
• Delta Time Displays delta time at each step on each slide report. Delta time represents the change to delta as a result of subtracting 1 day from the current days to expiration. If weighted Greeks are enabled from the portfolio analysis properties then weighted delta time will be displayed in place of delta time.
• Vega Time Displays vega time at each step on each slide report. Vega time represents the change to vega as a result of subtracting 1 day from the current days to expiration. If weighted Greeks are enabled from the portfolio analysis properties then weighted vega time will be displayed in place of vega time.
• DeltaVol Displays DeltaVol at each step on each slide report. DeltaVol represents the change to delta given a 1% increase in volatility. If weighted Greeks are enabled from the portfolio analysis properties then weighted DeltaVol will be displayed in place of DeltaVol.
• VegaVol Displays VegaVol at each step on each slide report. VegaVol is shown in dollar terms and represents the change to vega given a 1% increase in volatility. If weighted Greeks are enabled from the portfolio analysis properties then weighted VegaVol will be displayed in place of VegaVol.
• Delta Interest Rate Displays delta interest rate at each step on each slide report. Delta interest rate represents the change to delta as a result of a 1% increase in the interest rate. If weighted Greeks are enabled from the portfolio analysis properties then weighted delta interest rate will be displayed in place of delta interest rate.
• Net Upside Downside Count Displays the net upside and downside option inventory count at each step on each slide report. This will sum all option positions above the reference price for the upside count, and it will sum all option positions below the reference price for the downside count. For example, if the reference price for a series is 100 and a position is long 10 of the 90 puts, short 10 of the 110 calls, and long 5 of the 120 calls, the net downside count will be 10 and the net upside count will be -5. Note that this count is not dependent upon the underlying futures price, but instead on the reference price (sometimes referred to as the crux price).
• Net Count Displays the net option inventory count on each slide report. This will sum all option positions in the portfolio, offsetting longs against shorts.
• Above Below Underlying Count Displays the net option inventory count above and below the underlying price at each step and on each slide report. This will sum all option positions above the current underlying price for the above underlying count, and it will sum all option positions below the current underlying price for the below underlying count. For example, if the current underlying price for a series is 100 and a position is long 10 of the 90 puts, short 10 of the 110 calls, and long 5 of the 120 calls, the below underlying net option count will be 10 and the above underlying net option count will be -5. Note that this count is dependent upon the underlying futures price and ignores the reference price (sometimes referred to as the crux price).
• Skew Risk Dollars The change to P&L as a result of increasing the upside or downside skew (call slope or put slope) volatility by a set amount per strike. The amount is configurable in the advanced tab of model management and compounds for each strike away from at-the-money. For example, the volatility of the first strike above at-the-money would be raised by 0.0001, while the 20th strike above at-the-money would be raised 0.0020. After this scenario is applied, the new theoretical P&L is calculated and the difference between that and the current theoretical P&L is shown in these rows. This generates two rows, one for upside skew risk dollars (call slope, per example) and one for downside skew risk dollars (put slope).
• Skew Risk Delta The change to delta as a result of increasing the upside or downside skew (call slope or put slope) volatility by a set amount per strike. The amount is configurable in the advanced tab of model management and compounds for each strike away from at-the-money. For example, the volatility of the first strike above at-the-money would be raised by 0.0001, while the 20th strike above at-the-money would be raised 0.0020. After this scenario is applied, the new delta is calculated and the difference between that and the current delta is shown in these rows. This generates two rows, one for upside skew risk delta (call slope, per example) and one for downside skew risk delta (put slope).
• Skew Risk Vega The change to vega as a result of increasing the upside or downside skew (call slope or put slope) volatility by a set amount per strike. The amount is configurable in the advanced tab of model management and compounds for each strike away from at-the-money. For example, the volatility of the first strike above at-the-money would be raised by 0.0001, while the 20th strike above at-the-money would be raised 0.0020. After this scenario is applied, the new vega is calculated and the difference between that and the current vega is shown in these rows. This generates two rows, one for upside skew risk vega (call slope, per example) and one for downside skew risk vega (put slope).

Inventory and Vertical Greek Reports

• Call and Put Inventory Shows the call and put inventory for the selected account in the Account Inventory tab. Note that this is not present in the Vertical Greek Nets.
• Strike Distance Percentage Shows the percentage change to the underlying to reach the selected strike. Note that this is not present in the Vertical Greek Nets.
• Strike StDev DTE Shows the distance between the strike and the underlying price in standard deviations. The standard deviation is determined on a days to expiration basis. Note that this is not present in the Vertical Greek Nets.
• Strike StDev Shows the distance between the strike and the underlying price in standard deviations. The standard deviation is determined on an annualized basis. Note that this is not present in the Vertical Greek Nets.
• Volatility Shows the volatility in each strike. Note that this is not present in the Vertical Greek Nets.
• Prices Shows the theoretical prices of calls and puts in each strike. Note that this is not present in the Vertical Greek Nets.
• Chg to Theo P&L: Prior Day Inventory Only Shows the change to theoretical P&L using only previous inventory. Note that this does not include any profit and loss as a result of current session trades. Note that this is not present in the Account Inventory.
• Change to Theo P&L: Today’s Trades Only Shows the change to theoretical P&L using only today’s trades. Note that this does not include any profit and loss as a result of previous session trades. Note that this is not present in the Account Inventory.
• Change to Theo P&L Shows the change to theoretical P&L using all inventory and trades. Note that this is not present in the Account Inventory.
• Net Equity Shows the net equity broken down by strike in the Account Inventory, or by net, contract, or contract month in the Vertical Greek Nets.
• Net Delta Shows the net delta broken down by strike in the Account Inventory, or by net, contract, or contract month in the Vertical Greek Nets. Delta represents the hedge ratio and equivalent underlying risk. If weighted Greeks are enabled from the portfolio analysis properties then weighted delta will be displayed in place of delta.
• Net Expiry Delta Shows the net expiry delta broken down by strike in the Account Inventory, or by net, contract, or contract month in the Vertical Greek Nets. Expiry delta represents the delta that the position incurs if all option months expired at current underlying prices. If weighted Greeks are enabled from the portfolio analysis properties then weighted expiry delta will be displayed in place of expiry delta.
• Net Vega $ Shows the net vega dollars broken down by strike in the Account Inventory, or by net, contract, or contract month in the Vertical Greek Nets. Vega represents the volatility risk given a 1% increase in volatility. If weighted Greeks are enabled from the portfolio analysis properties then weighted vega $ will be displayed in place of vega $.
• Net Gamma Shows the net gamma broken down by strike in the Account Inventory, or by net, contract, or contract month in the Vertical Greek Nets. Gamma represents the change in delta given a 1 tick increase in the underlying. If weighted Greeks are enabled from the portfolio analysis properties then weighted gamma will be displayed in place of gamma.
• Net Theta $ Shows the net theta dollars broken down by strike in the Account Inventory, or by net, contract, or contract month in the Vertical Greek Nets. Theta represents the change to P&L as a result of subtracting 1 day from the current days to expiration. A positive number represents a profit with 1 day out, while a negative number represents a loss. If weighted Greeks are enabled from the portfolio analysis properties then weighted theta $ will be displayed in place of theta $.
• Net OEV Shoes the net OEV broken down by strike in the Account Inventory, or by net, contract, or contract month in the Vertical Greek Nets. OEV represents the number of long or short at-the-money options the position is equivalent to in terms of vega. For example, a position with $2000 in long vega risk might be long 100 upside calls that have $20 in vega each. If the at-the-money options have $50 in vega each then the OEV will be 40. In this example it takes a position of long 40 at-the-money options to generate the same vega risk as the long 100 upside calls. If weighted Greeks are enabled from the portfolio analysis properties then weighted OEV will be displayed in place of OEV.
• Net OEG Shows the net OEG broken down by strike in the Account Inventory, or by net, contract, or contract month in the Vertical Greek Nets. OEG represents the number of long or short at-the-money options the position is equivalent to in terms of gamma. For example, a position with 1.0000 in long gamma risk might be long 500 downside puts that have 0.0020 in gamma each. If the at-the-money options have 0.0050 in gamma each then the OEG will be 200. In this example it takes a position of long 200 at-the-money options to generate the same gamma risk as the long 500 downside puts. If weighted Greeks are enabled from the portfolio analysis properties then weighted OEG will be displayed in place of OEG.
• Net OET Shows the net OET broken down by strike in the Account Inventory, or by net, contract, or contract month in the Vertical Greek Nets. OET represents the number of long or short at-the-money options the position is equivalent to in terms of theta. For example, a position with $500 in short theta risk might be short 20 downside puts that have $25 in theta each. If the at-the-money options have $50 in theta each then the OET will be -10. In this example it takes a position of short 10 at-the-money options to generate the same theta risk as the short 20 downside puts. If weighted Greeks are enabled from the portfolio analysis properties then weighted OET will be displayed in place of OET.
• Net Delta Vol Shows the net delta vol broken down by strike in the Account Inventory, or by net, contract, or contract month in the Vertical Greek Nets. Delta Vol represents the change to delta given a 1% increase in volatility. If weighted Greeks are enabled from the portfolio analysis properties then weighted delta vol will be displayed in place of delta vol.
• Net Vega Vol Shows the net vega vol broken down by strike in the Account Inventory, or by net, contract, or contract month in the Vertical Greek Nets. Vega vol is shown in dollar terms and represents the change to vega given a 1% increase in volatility. If weighted Greeks are enabled from the portfolio analysis properties then weighted vega vol will be displayed in place of vega vol.

Account Reports

• Violations (required) Displays the number of violations for each account. Violations occur when an account exceeds its limit in one or more of the values set by the firm administrator.
• Warnings (required) Displays the number of warnings for each account. Warnings occur when an account exceeds a certain percentage of its limit in one or more of the values set by the firm administrator. These percentage thresholds are set by the firm administrator.
• Account Number (required) Displays the account number associated with each row.
• Account Name (optional) Show the account name associated with each account number on the account net report.
• Worst Shock Impact (optional) Show the worst case shock impact in dollars on the account net report. This is the largest loss (or smallest profit) of the four shock impact scenarios that combine volatility up/down and underlying up/down.
• Risk Number % (optional) Show the percentage of the risk number used on the account net report. This will divide the worst shock impact by the risk number and will be highlighted in red if in violation.
• Worst Shock Impact Loc. (optional) Show the worst case shock impact’s location on the account net report. For example, a position that short downside puts will have its worst case if the underlying goes down and volatility goes up.
• Risk Number (optional) Show the risk number on the account net report. The risk number is set by the firm admin and represents the maximum allowable worst shock impact for an account. Note that this setting will not prevent an account from exceeding its risk number.
• Theo P&L Chg vs Risk Number (optional) Show the change to theoretical profit and loss on the account net report. This line divides the current theoretical P&L by the risk number to show how close the current P&L is to reaching the risk number.
• Theo P&L Chg (optional) Show the change to theoretical profit and loss on the account net report. This line shows the current theoretical P&L change in dollars.
• Theo P&L Chg % (optional) Show the change to theoretical profit and loss on the account net report. This line shows the current theoretical P&L as compared to the daily theoretical loss limit set by the firm admin. Note that this setting will not prevent an account from exceeding its daily theoretical loss limit.
• Delta (optional) Show the net delta on the account net report.
• Delta % (optional) Show the net delta on the account net report. This line displays the current net delta as a percentage of the delta threshold for the account.
• Vega (optional) Show the net vega on the account net report.
• Vega % (optional) Show the net vega on the account net report. This line displays the current net vega as a percentage of the vega threshold for the account.
• Gamma (optional) Show the net gamma on the account net report.
• Gamma % (optional) Show the net gamma on the account net report. This line displays the current net gamma as a percentage of the gamma threshold for the account.
• Theta (optional) Show the net theta on the account net report.
• Theta % (optional) Show the net theta on the account net report. This line displays the current net theta as a percentage of the theta threshold for the account.

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