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Page History: Portfolio Analysis Views

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Page Revision: 2016/07/06 07:49


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    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: Show underlying price on the contract month and month slide reports at each step.

    Comments:

    This cannot appear in the net slide nor contract slide.
  • Interval Change: Show the interval change of the slide increment at each step on most slide reports at each step.

    Comments:

    This cannot appear in the net slide.
  • Chg to Theo P&L: Prior Day Inventory Only: Show the change to theoretical profit and loss for the prior day inventory on the slide reports at each step.
  • Chg to Theo P&L: today's Trades Only: Show the change to theoretical profit and loss for today's trades on the slide reports at each step.
  • Chg to Theo P&L: Show the change to theoretical profit and loss on the slide reports at each step.
  • Chg to Theo P&L Chg: how the change to theoretical profit and loss change on all slide reports at each step.
  • PE Shock Matrix: Slide per step: Show position equity shock matrix slide on all slide reports at each step.
  • PE Shock Matrix: Slide & Vol per step: Show position equity shock matrix with slide and volatility shock on all slide reports at each step.
    Comments:
    The amount of the volatlity shock is configured in the portfolio analysis window's properties.
  • PE Change: Shock Matrix Slide per step: Show the change in position equity shock matrix slide on all slide reports at each step.
  • PE Change: Shock Matrix Slide & Vol per step: Show the change in position equity shock matrix with slide and volatility shock on all slide reports at each step.
    Comments:
    The amount of the volatlity shock is configured in the portfolio analysis window's properties.
  • PE Change: Shock Matrix Vol per step: Show the change in position equity shock matrix with volatility shock on all slide reports at each step.
    Comments:
    The amount of the volatlity shock is configured in the portfolio analysis window's properties.
  • PE Change at Expiration Slide: Show the change to position equity at expiration on all slide reports at each step.
  • PE at Expiration Slide: Show position equity at expiration slide on all slide reports at each step.
  • PE Change Shock Impact: Show position equity change for the shock impact on all slide reports.
  • EMM(Est. Maint Margin): Show the estimated maintenance margin on the net slide reports at each step.

    Comments:

    This can only be displayed on the net slide report.
  • EMM Variance Scan: Show the estimated maintenance margin variance scan on the net slide reports at each step. This assists if projecting the estimated maintenance margin given a small incremental move in the underlying. It creates a margin if the underlying goes up (upper variance scan) and if the underlying goes down (lower variance scan).

    Comments:

    This can only be displayed on the net slide report.
  • EIM(Est. Init. Margin): Show the estimated initial margin on the net slide reports at each step.

    Comments:

    This can only be displayed on the net slide report.
  • EIM(Variance Scan: Show the initial maintenance margin variance scan on the net slide reports at each step. This assists if projecting the estimated initial margin given a small incremental move in the underlying. It creates a margin if the underlying goes up (upper variance scan) and if the underlying goes down (lower variance scan).

    Comments:

    This can only be displayed on the net slide report.
  • Delta: Show delta on all slide reports at each step.

      Details:

    • Delta is hedge ratio and the equivalent underlying risk.
  • Expiry Delta: Show expiry delta on all slide reports at each step.

      Details:

    • Expiry Delta is amount of delta given zero days to expiry.
  • Vega $: Show vega in dollars on all slide reports at each step.

      Details:

    • Vega Dollars is amount of volatility risk given a one percentage change to volatility.
  • Gamma: Show gamma on the all slide reports at each step.
    Details:
    • Gamma is amount of change of delta given one tick change in the underlying.
    ", CustomGroup:="Slide Reports")> _ _
  • Theta $: Show theta on all slide reports.
    Details:
    • Theta Dollars is amount of change in dollars given one day out.
    • Positive = profit
    • Negative = loss.
    ", CustomGroup:="Slide Reports")> _ _
  • OEV: Show OEV on the month slide report.
    Details:
    • OEV is the number of long or short options equivalent to the number of at the money options on a vega basis.
    ", CustomGroup:="Slide Reports")> _ _
  • OEG: Show OEG on the month slide report.
    Details:
    • OEG is the number of long or short options equivalent to the number of at the money options on a gamma basis.
    ", CustomGroup:="Slide Reports")> _ _
  • OET: Show OET on the month slide report.
    Details:
    • OET is the number of long or short options equivalent to the number of at the money options on a theta basis.
    ", CustomGroup:="Slide Reports")> _ _
  • COEV: Show COEV on the net, contract, contract month slide reports.
    Details:
    • COEV is the number of long or short options equivalent to the number of at the money options on a vega basis.
    ", CustomGroup:="Slide Reports")> _ _
  • COEG: Show COEG on the net, contract, contract month slide reports.
    Details:
    • COEG is the number of long or short options equivalent to the number of at the money option on a gamma basis.
    ", CustomGroup:="Slide Reports")> _ _
  • COET: Show COET on the net, contract, contract month slide reports.
    Details:
    • COET is the number of long or short options equivalent to the number of at the money options on a theta basis.
    ", CustomGroup:="Slide Reports")> _ _
  • Delta Time: Show delta time on all slide reports.
    Details:
    • DeltaTime is the amount of change to delta given a one day out.
    ", CustomGroup:="Slide Reports")> _ _
  • Vega Time: Show vega time on all slide reports.
    Details:
    • VegaTime is the amount of change to vega given a one day out.
    ", CustomGroup:="Slide Reports")> _ _
  • DeltaVol: Show DeltaVol on all slide reports.
    Details:
    • DeltaVol is the amount of change to delta given a 1% change to volatility.
    ", CustomGroup:="Slide Reports")> _ _
  • VegaVol: Show vega volatiliy in dollars on all slide reports.
    Details:
    • VegaVol is the amount of change to vega given a 1% change to volatility in dollar terms.
    ", CustomGroup:="Slide Reports")> _ _
  • Delta Interest Rate: Show delta interest rate on all slide reports.
    Details:
    • The amount delta will change by given interest rate increase by 1%.
    ", CustomGroup:="Slide Reports")> _ _
  • Net Upside Downside Count: Show the net amount of upside and downside options inventory on the slide reports.
  • Net Count: Show the net option inventory count on the slide reports.
  • Above Below Underlying Count: Show the net amount of options inventory above and below on the slide reports.
  • Skew Risk Dollars: Show the skew risk in dollars on the slide reports.
  • Skew Risk Delta: Show the skew risk of delta on the slide reports.
  • Skew risk Vega: Show the skew risk of vega on the slide reports.

    Inventory and Vertical Greek Reports

  • Call & Put Inventory: Show call and put inventory on the account inventory.
    Details:
    • This does not appear in the vertical greek nets.
    ", CustomGroup:="Inventory and Vertical Greek Reports")> _ _
  • Strike Distance Percentage:: Show the amount the underlying would need to change by to reach the strike in percentage terms.
    Details:
    • This does not appear in the vertical greek nets.
    ", CustomGroup:="Inventory and Vertical Greek Reports")> _ _
  • Strike StDev DTE: Show the standard deviation based on days to expiry for the strike.
    Details:
    • This does not appear in the vertical greek nets.
    ", CustomGroup:="Inventory and Vertical Greek Reports")> _ _
  • Strike StDev Show the standard deviation for the strike. The standard deviation is anuualized.
    Details:
    • This does not appear in the vertical greek nets.
    ", CustomGroup:="Inventory and Vertical Greek Reports")> _ _
  • Volatility: Show strike volatility on the account inventory.
    Details:
    • This does not appear in the vertical greek nets.
  • Prices: Show prices on the account inventory.
    Details:
    • This does not appear in the vertical greek nets.
  • Chg to Theo P&L Prior Day Inventory Only: Show the change to theoretical profit and loss for the prior day inventory on the vertical greek net report. ", CustomGroup:="Inventory and Vertical Greek Reports")> _ _
  • Chg to Theo P&L Today's Trades Only: Show the change to theoretical profit and loss for today's trades on the vertical greek net report. ", CustomGroup:="Inventory and Vertical Greek Reports")> _ _
  • Chg to Theo P&L Show the change to theoretical profit and loss on the vertical greek net report.
  • Net Equity: Show the net equity on the account inventory and vertical greek net report.
  • Net Delta: Show net delta on the account inventory and vertical greek nets.
  • Net Expiry Delta: Show net expiry delta on the account inventory and vertical greek nets.
  • Net Vega $: Show net vega $ on the account inventory and vertical greek nets.
  • Net Gamma: Show net gamma on the account inventory and vertical greek nets.
  • Net Theta$: Show net theta dollars on the account inventory and vertical greek nets.
  • Net OEV: Show net OEV on the account inventory and vertical greek nets.
    Details:
    • OEV is the number of long or short options equivalent to the number of at the money options vega basis.
    ", CustomGroup:="Inventory and Vertical Greek Reports")> _ _
  • Net OEG: Show net OEG on the account inventory and vertical greek nets.
    Details:
    • OEG is the number of long or short options equivalent to the number of at the money options gamma basis.
    ", CustomGroup:="Inventory and Vertical Greek Reports")> _ _
  • Net OET: Show net OET on the account inventory and vertical greek nets.
    Details:
    • OET is the number of long or short options equivalent to the number of at the money options theta basis.
    ", CustomGroup:="Inventory and Vertical Greek Reports")> _ _
  • Net Delta Vol: Show net delta vol on the account inventory and vertical greek nets.
    Details:
    • DeltaVol is the amount of change to delta given a 1% change to volatility.
    ", CustomGroup:="Inventory and Vertical Greek Reports")> _ _
  • Net Vega Vol: Show net vega vol on the account inventory and vertical greek nets.
    Details:
    • VegaVol is the amount of change to vega given a 1% change to volatility.
    ", CustomGroup:="Inventory and Vertical Greek Reports")> _ _

    Account Reports

  • Account Name: Show the account name on the account net report.
  • Worst Case Shock Impact: Show the worst case shock impact in dollars on the account net report.
  • Risk Number Percentage Used: Show the percentage of the risk number used on the account net report.
  • Worst Case Shock Impact Location: Show the worst case shock impact's location on the account net report.
  • Risk Number: Show the risk number on the account net report.
  • Shock Impact Settings: Show the risk number on the account net report.
  • Chg to Theo P&L: Show the change to theoretical profit and loss on the account net report.
  • Delta: Show the net delta on the account net report .
  • Vega: Show the net vega on the account net report.
  • Gamma: Show the net gamma on the account net report.
  • Theta: Show the net theta on the account net report.

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