SuperDerivatives Introduces a Risk Matrix
The risk matrix will allow users to analyse the impact of spot movements on various different parameters in their options portfolio. This includes the profit & loss of positions and the effect of spot price movements on both the theoretical and market Greeks, such as delta, gamma, vega and other higher order Greeks. At the same time, the risk matrix enables analysis of different market scenarios, as well as stress testing for risk managers. Overall, the new tool improves the understanding and hedging of the risk of a users’ option portfolio. Its use can be applied to single or multiple portfolios.