ANALYTICS · ONE LINKED STATEPORTFOLIO, GREEKS
PORTFOLIO, GREEKS
& HEDGING.
Build a European-option book, reprice it under joint shocks, separate exact P&L from its local Greek approximation and preview hedge tickets before applying them.
SYNTHETIC / EDUCATIONAL · BLACK–SCHOLESGUIDED EXPERIMENT
Change one assumption with intent
Load a coherent example, observe the linked calculation, then return to unrestricted manual exploration.
New here? Start with one example and change only the suggested input.
First try
01 · BOOK
Portfolio positions
| Instrument | Direction | Quantity | Multiplier | Option type | Strike | Maturity | Entry | Actions |
|---|---|---|---|---|---|---|---|---|
| — | — | — |
Aggregate risk
Desk units- Deltaper 1 spot unit
- 165.1759
- Gammadelta change per 1 spot unit
- 2.0724
- Vegaper 1 volatility point
- 45.5932
- Thetaper calendar day
- -1.973
- Rhoper 100bp
- 114.5943
02 · HEDGE
Hedge preview
Risk after proposed hedge
Desk units- Deltaper 1 spot unit
- 0 Change -165.18
- Gammadelta change per 1 spot unit
- 2.0724 Change +0.00
- Vegaper 1 volatility point
- 45.5932 Change +0.00
- Thetaper calendar day
- -1.973 Change +0.00
- Rhoper 100bp
- 114.5943 Change +0.00
Proposed tickets
−165.176 underlying03 · SCENARIO
Actual repricing vs Taylor approximation
04 · NONLINEARITY
Spot × volatility P&L
Every cell is a full portfolio revaluation relative to the current base state.
VOL × SPOTS 85S 92.5S 100S 107.5S 115
14%
18%
22%
26%
30%
Accessible numeric P&L matrix
| Volatility | 85 | 92.5 | 100 | 107.5 | 115 |
|---|---|---|---|---|---|
| 14% | -2,338.76 | -1,409.49 | -378.48 | 845.24 | 2,276.80 |
| 18% | -2,324.11 | -1,306.23 | -185.19 | 1,079.95 | 2,495.01 |
| 22% | -2,270.29 | -1,182.95 | 0.00 | 1,297.91 | 2,711.67 |
| 26% | -2,190.30 | -1,048.33 | 180.29 | 1,504.52 | 2,922.76 |
| 30% | -2,092.74 | -906.83 | 357.31 | 1,703.27 | 3,128.22 |
05 · THETA
Time decay
Full repricing along calendar time with spot, volatility and rates held constant.
Portfolio model value and P&L under pure calendar decay.
- Model value
- P&L
Use Left/Right or Up/Down arrows to inspect values; Home and End jump to the bounds.
View chart data
| Elapsed days | Model value | P&L |
|---|---|---|
| 0d | 5,058.16 | 0.00 |
| 7d | 5,044.30 | -13.86 |
| 14d | 5,030.35 | -27.81 |
| 30d | 4,998.07 | -60.09 |
| 60d | 4,936.03 | -122.13 |
| 90d | 4,871.74 | -186.42 |