Real-time risk reporting
Numerous built in screens and reports include custom aggregations and sorting methods. Portfolios can be sorted by Strategy, Expiry, Account, Sector, or any custom aggregation you desire.
Profit and Loss is broken down into the contribution from each of the greeks.
Historical portfolio details
All risk and inventory data is preserved in the system for historical analysis. Historical data drives strategy performance, capital allocation and other business intelligence. This includes the implied volatility and greeks for every option trade, stamped at the time of each trade. Historical reporting capabilities are built right into the front end of the platform.
Includes detailed analysis of position sensitivities surrounding earnings announcements, including our proprietary Earnings Volatility Exposure metric that allows for evaluating the risk in a portfolio going into an earnings event.
Real-time edge monitoring
Each position in the portfolio is evaluated based on the volatility at which a position was originated and compared to the current market, and the user’s specified exit vol. This offers multiple powerful ways of tracking the edge in the portfolio and suggesting exit points; it also facilitates capital re-allocation.
Intraday haircut calculations
The OCC method is emulated, as well as a proprietary SD haircut calculation intended to highlight haircut risk with the effect of implied volatility. This data is available intraday as well as historically.
Deep support for scenario analysis
Portfolio can be stress tested using user configurable underlyer, volatility and time shocks. Profit and Loss and portfolio greeks are calculated for each scenario. Underlying price can be slid in percentage and standard deviations (SD), including optional Beta adjustments which correctly account for negative Beta names such as VIX and reverse ETFs.
VIX and non-standard ETFs (i.e. inverted and leveraged ETFs)
Modeled accurately so that the entire portfolio can be stressed at once to properly quantify risk.
Volatility surface adjustments
Can be made using either sticky Delta, sticky strike or a combination.
Time weighted volatility shifts
Also available with user-customizable time weightings. Slides are available at the full portfolio or strategy level, all the way down to the individual position. There are special versions of slides calculated by the system, which automatically identify the maximum P&L and risk exposure for a position, independent of the magnitude of the underlyer and volatility changes.
Save as many custom scenarios as desired to emulate a wide variety of stress conditions such wide price and volatility moves, cash takeouts, post-expiration risk, etc.
Portfolio allocation tools
Shows the breakdowns of long positions versus short positions in a summarized grouped layout, as well as via ratios.
Portfolios can be sorted by various greeks such as delta/gamma ratio, dollar delta exposure. Deltas can be exported to several basket execution engines for bulk delta and gamma hedging.
Shows the dollar P&L exposure in the portfolio to an increase/decrease in the implied skew in the market.
Portfolio screening and custom column capability
Via the customizable front end reporting system, automate the screening of top exposures such as “vegas greater than 5k,” instrument specific exposures such as “short options offered less than 10 cents,” “positions where the line position exceeds 1k,” etc. This functionality, available throughout the system, also allows for the definition of custom risk columns for use in screening, ranking and allocation decision making.
- More than 75 different greeks and PL measures, including P&L attribution, to select from in fully customizable screens.
- Support of multiple volatility surfaces in order to calculate edge.
- Customizable risk scenarios for multi-dimension what-if analysis on PL and greeks.
- User definable on-screen reports, combining position, risk and market data, for custom column definitions, filtering, ranking etc.
- Ability to archive and view historical risk snapshots, as well as view detailed history for a specific position.
- Historical P&L and greeks can be viewed graphically and correlated to various historic implied vols and other market data via the VolEdge application.
- User definable scanning/monitoring screens such as volatilities at the extreme end of their historic range, time spreads, custom volatility ratios, ranking within sectors, etc.
- User definable volatility levels to scan against real-time trades and market prices.
- Intraday volatility scanning that also can be correlated against historical data.
- Standard reports such as pin risk and early exercise.
- Proprietary tools for evaluating and modeling earnings events.
- Integrated volatility charting tools.