Child pages
  • Risk Arrays
Skip to end of metadata
Go to start of metadata

Risk Arrays

This report shows the Span Risk Arrays for each specific Combined Commodity contract in a portfolio.  The Risk Array represents a contract's hypothetical gain/loss under a specific set of market conditions from a set point in time to a specific point in time in the future.

Comb Comm:  Combined Commodity

The set of all eligible products used to generate a total requirement for each Exchange Complex within a portfolio.  A Combined Commodity generally consists of all products of the same underlying physical. For example, at the CME, the Eurodollar combined commodity encompasses Mid-Curve options, Eurodollars and Eurodollar options. 

Product:

ID:  Span assigns an internal product ID number to each product within a family 

Alias:  Name that defines the product

Contract

ID:  Span assigns an internal contract ID number to each contract

Alias: The alias gives the Contract month and year in yyyymm format.  For options contracts, the alias also includes "C" or "P" for call or put, and the strike price.  For example, 200107 on 200109C 1380 is the alias for an July 2001 1380 Call with an underlying September 2000 future.

Price:  The price (premium for an option) of a contract

Imp Vol: The Implied volatility calculated for each specific option, or the averaged implied volatility calculated for the option along with its corresponding call or put pair.

Arr ID:  Span assigns an ID number for each type of array

Delta:  The composite delta value of an option.  The composite Delta is derived as the weighted average of the deltas, where the weights are associated with each underlying price scan point.

Scenario 1-16:

These Scan Risk Scenarios provide sixteen different potential market scenarios and show the associated gain/loss per Contract.  The chart below displays the sixteen risk scenarios. 

1Futures Price Unchanged; Volatility up the Volatility Scan Range
2Futures Price Unchanged; Volatility down the Volatility Scan Range
3Futures Price up 1/3 the Price Scan range; Volatility up the Volatility Scan Range
4Futures up 1/3 the Price Scan range; Volatility down the Volatility Scan Range
5Futures down 1/3 the Price Scan range; Volatility up the Volatility Scan Range
6Futures down 1/3 the Price Scan range; Volatility down the Volatility Scan Range
7Futures up 2/3 the Price Scan range; Volatility up the Volatility Scan Range
8Futures up 2/3 the Price Scan range; Volatility down the Volatility Scan Range
9Futures down 2/3 the Price Scan range; Volatility up the Volatility Scan Range
10Futures down 2/3 range the Price Scan; Volatility down the Volatility Scan Range
11Futures up 3/3 range the Price Scan; Volatility up the Volatility Scan Range
12Futures up 3/3 range the Price Scan; Volatility down the Volatility Scan Range
13Futures down 3/3 range the Price Scan; Volatility up the Volatility Scan Range
14Futures down 3/3 range the Price Scan; volatility down the Volatility Scan Range
15Futures up extreme (3 times the Price Scan Range) - Cover 30% of loss
16Futures down extreme (3 times the Price Scan Range) - Cover 30% of loss
  • No labels