Options Risk Matrix

Options Risk Matrix

Options Risk Matrix Display

The Options Risk Matrix widget consists of the following:

  1. Account — Allows you to check your open position in a selected account (e.g., CME2).
  2. Product and Expiry — Allows you to select a product, underlying, or expiry in which you have an open position in the selected account. If two expiries have the same underlying instrument, you can choose to see the whole product (e.g., E-mini S&P 500), the options and futures that expire into the underlying instrument (e.g., ES Sep17), or an individual options expiry (e.g., Sep17).
  3. Scenario Entry — Allows you to enter a global volatility adjustment for options risk and/or a price adjustment for the underlying futures contract. You can set the volatility and underlying adjustments as a percentage or an absolute value. When the scenario of all adjustments is applied, aggregate P/L and Greeks are calculated and displayed in the matrix for the selected account and product or expiry.
  4. Refresh button — Updates your position in the options and underlying futures contracts, and recalculates your position and options risk based on any underlying or global volatility adjustments added to Scenario Entry.
  5. Risk Metrics — Selector that includes risk metrics and options Greeks. In addition to Mark to Theo, which displays theoretical P/L calculated with the theoretical options value, the following options Greeks are available: Delta, Gamma, Theta, Vega, Vega30, Vega60, Vega90, Rho, Vomma, Vanna. OEV is also available if you have an expiry selected (e.g., Sep17). If you have a product or an underlying selected, it is not available.
  6. Matrix cell — Displays P/L for your open positions, as well as selected options risk metrics whose values are calculated based on the default scenario (-5,0,5) or custom scenario. Each cell displays values where the underlying future's price and global volatility adjustments intersect in the matrix.

Scenario Entry

The scenario entry dialog box consists of the following:

  1. Volatility — Allows you to determine adjustment scenarios for changes to Volatility. Your chosen intervals will be applied to your position and displayed in the left column. For example, a value of "10" in Volatility and unit of measure of "Absolute" represents a 10% increase in global volatility (the absolute value is actually a percentage when estimating changes in volatility). Negative values can also be entered to show decreases in global volatility. The adjustments can be entered in any order (e.g., -5, 0, 5, -10, 10).
  2. Unit of measure (Volatility) — Sets an absolute value or percentage adjustment to global volatility.
  3. Underlying — Allows you to determine adjustment scenarios for changes to the Underlying Instrument. Your chosen intervals will be applied to your position and displayed in the top row. For example, a scenario that includes an Underlying value of "5" and unit of measure of "Percentage" represents a 5% increase in the price of the underlying future. Negative values can also be entered to show decreases in price. The adjustments can be entered in any order (e.g., -5, 0, 5, -10, 10).
  4. Unit of measure (Underlying) — Sets an absolute value or percentage adjustment in the price of the underlying futures contract.
  5. Control buttons — The Reset button restores the previously saved adjustment values. Click Cancel or Save to delete or save your adjustment settings.