Risk Report #1

complete

Generated from risk request #1, run at 2026-08-23 07:11:57 UTC. This page is rebuilt from the stored request and result every time it loads, so it always shows the numbers that run actually produced.

What was asked

Whole position
Scope
#1
Position
as-of-now
Scenario

Which model answered

Trader Granular trader_granular

Fast closed-form Greeks off the Black-Scholes formulas. The model behind a live blotter.

How it works. Prices each instrument analytically and reads the Greeks straight out of the closed-form Black-Scholes partial derivatives, then scales each one by quantity and contract multiplier. No repricing loop, so a full book revalues in milliseconds.

Good for. Live risk on a screen, hedging decisions, anything that needs an answer immediately.

Where it stops. Every Greek is a local derivative around today's spot, so it only describes small moves. It cannot tell you what a 20% gap does to this position. Use Full Revalue for that.

What it found

3756570
Present value
-143430
PnL
9918
Delta
0.6092
Gamma
-580.87
Theta
524.96
Vega
2285
IR Delta (Rho)
0.0656
IR Vega
0.6093
Convexity (measured)

Units, in order: Present value in $; PnL in $; Delta in $ per $1; Gamma in delta per $1; Theta in $ per day; Vega in $ per vol pt; IR Delta (Rho) in $ per 1% rate; IR Vega in $ per rate-vol pt; Convexity (measured) in delta per $1.

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