For each option, SDX Commodities & Energy calculates a list of Greeks.
Except where specifically indicated, all Greeks are calculated using the Black & Scholes model.
Each Greek is generally displayed as a total. However, for some options, for example, vanilla strips, swaptions and Asian options, some of the Greeks are also displayed broken down by tenor, in their relevant buckets.
By default most of the calculated Greeks are displayed as a percentage of and a total amount of the base currency. However, you can easily change this to per unit.
The Greeks displayed are as follows:
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Which Greeks are displayed in the Single Option page in the Results area, in the generated risk charts and in the generated risk matrix is controlled by the Customize window > Greeks dropdown list (as described in Customizing Your Personal Settings). |