RISK
GLOBAL BOOK · GREEKS · STRESSCalmBOOK
GLOBAL X RISK
xV —
Δ
0.000
Γ
—
VEGA
0.000
Θ
—
L TAIL
0.000
R TAIL
0.000
E_B
25.000
E_I
25.000
N_t
0.000
F
0.000
OS delta is inventory + transfer skew. 25/25 engine marks are not a risk book.
W · T_max · F
WAREHOUSE
W
0.000
T_max
15.00
T_c
0.000
F
0.000
HEAD
15.000
INVARIANT
CL=LB
OK
CLAIMS
0.0000
LIAB
0.0000
GAP
0.000000
claim = liability. Warehouse W is inventory, not in the gap.
OPTIONS
LISTED GREEKS
| UL | Δ | Γ | VEGA | Θ | IV |
|---|---|---|---|---|---|
| NO FEED | |||||
BTC SHOCK ON 25/25
STRESS GRID
r 0.0000
| SHOCK | E_B | E_I | N_t | ΔPNL | L TAIL | R TAIL |
|---|---|---|---|---|---|---|
| -20% | 20.000 | 30.000 | -10.000 | 0.000 | 0.000 | 0.000 |
| -10% | 22.500 | 27.500 | -5.000 | 0.000 | 0.000 | 0.000 |
| -5% | 23.750 | 26.250 | -2.500 | 0.000 | 0.000 | 0.000 |
| +0% | 25.000 | 25.000 | 0.000 | 0.000 | 0.000 | 0.000 |
| +5% | 26.250 | 23.750 | 2.500 | 0.000 | 0.000 | 0.000 |
| +10% | 27.500 | 22.500 | 5.000 | 0.000 | 0.000 | 0.000 |
| +20% | 30.000 | 20.000 | 10.000 | 0.000 | 0.000 | 0.000 |
E_B = C_B·(1+r), E_I = C_I·(1−r). Shock is added to r. Tails keep xDet + warehouse when T_c signs.