For a given position (whether the current option in the Single Option page or the portfolio in the Portfolio page) you can see its various risk elements displayed graphically via a series of graphs, that is, using the Risk Charts feature.
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This feature is supported for all instruments with a single underlying commodity. However, it is not currently supported for instruments with multiple underlying assets, such as a basket, best of or crack instruments. |
Each of these graphs show how a different risk responds to changes in the underlying asset price. The risks displayed are as follows—TV, Vega, Delta spot, dVega/dVol and Gamma and Delta forward. You can control which charts are created via the Customize menu, in the Default Settings tab.
In addition, once you have accessed the risk charts you can then access the Last Day Payout chart for the current option (or portfolio).
By default, for each graph created:
From the Single Option page, the results on the vertical axis are shown in percentage of base currency only. This makes it more convenient for users to assess their risk. From the Portfolio page, if the portfolio contains more than one option, the results can be seen in both amounts of base currency and as a percentage.
The horizontal axis represents the various underlyings.
The risk is shown from the current date leading up to expiry.
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In the Portfolio page, the risk charts display the risk of the portfolio up to the first expiry date only. That is, if the portfolio contains an option for one month and an option for two months, the charts only display the risk for the next month. However, note that the risk displayed for the next month includes the complete risk of the option for one month and the risk of the option for two months for the first month only. |
The risk is shown in a 2-dimensional graph.
The range of the spot rate is 20% above and below the current spot rate.
The term structure used in the Single Option/Portfolio page is used.
The premium of the option (or options) is taken into account.
These default settings can be changed by clicking the relevant button on the toolbar and editing what you need.
To activate the risk charts:
| 1. | After entering a strategy, on the ribbon bar in the Structurer tab click the Risk Chart button. The Risk Charts page opens with a set of graphs for the current option/portfolio. |
| 2. | If relevant, change the default settings used to create the graphs as relevant. |
| 3. | To see the last day payout chart, click the Payout chart button. |