Risk Report #3
completeGenerated from risk request #3, run at 2026-08-23 07:20:33 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
Market snapshot shared by every instrument in this run:
AMD $473.25, NVDA $214.72.
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.
Book totals
Summed across every open instrument in the book. Each row below is priced off the same market snapshot, so these are consistent with one another even though the instruments belong to different, unrelated positions. The return is recomputed from the totals rather than averaged across rows, because an average of percentages isn't a meaningful return.
Per-instrument breakdown
| Instrument | Position | Qty | Spot used | PV | PnL | Delta | Gamma | Theta | Vega |
|---|---|---|---|---|---|---|---|---|---|
AMD261120C00100000
|
#1 | 100 | $473.25 | $3756570.01 | $-143429.99 | 9917.74 | 0.6092 | -580.87 | 524.96 |
NVDA260824C00225000
|
#2 | 1 | $214.72 | $0.56 | $-6.44 | 0.47 | 0.3553 | -2.63 | 0.15 |
| Total | $3756570.57 | $-143436.43 | 9918.20 | 0.9645 | -583.50 | 525.11 | |||
First instrument detail
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.