For all instruments in the Portfolio page, and some instruments in the Single Option page (including gas formula swap, gas formula swap strip, a swap, a swap strip, and time-dependent instruments such as a vanilla strip, an Asian strip, and an OTC spread strip, as well as the Asian-based instruments), SDX Commodities & Energy also displays the following Greeks (as relevant to the current instrument) in buckets, i.e., as distributed over the relevant time buckets:
Delta future in terms of units
Delta future in terms of lots
Gamma in terms of units
Vega in base currency
This information is displayed in the Buckets window. Which buckets are included depends on which underlying monthly contracts are included in the instrument, or, for a gas formula swap and a gas formula swap strip (where the delta buckets information is calculated separately for each underlying commodity in the gas formula), on which underlying monthly contracts are included for that commodity in the gas formula.
This display of the Greeks in buckets is useful as it shows you the exposure of the instrument to a change in the individual monthly contracts. This in turn lets you hedge the instrument more effectively over a period of time, i.e., you only need to hedge the appropriate risk in each time bucket.
To see the Greeks in the relevant buckets:
| 1. | After defining the instrument, click Calculate. |
| 2. | In the: |
Portfolio page, on the ribbon bar > Trader tab click the Buckets button.
Single Option page, for most of the instruments for which this button is supported, on the ribbon bar > Trader tab click the Buckets button. However, for a gas formula swap and a gas formula swap strip, click the Buckets button next to the relevant commodity in the Results area.
The Buckets window opens displaying the relevant Greeks amount in each relevant bucket.