Options Strategist
Specification
Financial Engineering
Contract Specification
Underlying name
Paul: Examples:
* USD
* Cocoa
* XYZ Plc GBP
Underlying unit
Paul: Examples:
* dollar
* Kg
* share GBP
Currency of payment USD
Underlying year basis Act / 365 days
Funding year basis Act / 360 days
Tick size 1/ 10,000 of the quoted price
Yield Curve
Yield Curve Modelling (c) 1997 Risk Manager Ltd. All rights reserved.
Observed Fitted Spot Disc. Forward 1 1 1 1 0 0 0 0 0 0 0 0 0 0 0 0
Years Vertices Curve Yield Factor Yield 1 1 1 1 0 0 0 0 0 0 0 0 0 0 0 0
0 3.0000% ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0 0 0 0 1 1 1 1 0 0 0 0 0 0 0 0
0.5 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0 0 0 0 8 4 2 1 0 0 0 0 0 0 0 0
1 3.2000% ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0 0 0 0 0 0 0 0 8 4 2 1 0 0 0 0
1.5 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0 0 0 0 0 0 0 0 125 25 5 1 0 0 0 0
2 3.6000% ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0 0 0 0 0 0 0 0 0 0 0 0 125 25 5 1
2.5 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! C = 0 0 0 0 0 0 0 0 0 0 0 0 1000 100 10 1
3 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 3 2 1 0 -3 -2 -1 0 0 0 0 0 0 0 0 0
3.5 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0 0 0 0 12 4 1 0 -12 -4 -1 0 0 0 0 0
4 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0 0 0 0 0 0 0 0 75 10 1 0 -75 -10 -1 0
4.5 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 6 2 0 0 -6 -2 0 0 0 0 0 0 0 0 0 0
5 5.0000% ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0 0 0 0 12 2 0 0 -12 -2 0 0 0 0 0 0
5.5 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0 0 0 0 0 0 0 0 30 2 0 0 -30 -2 0 0
6 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 6 2 0 0 0 0 0 0 0 0 0 0 0 0 0 0
6.5 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0 0 0 0 0 0 0 0 0 0 0 0 60 2 0 0
7 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM!
7.5 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! C -1
8 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM!
8.5 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! a_0 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0.03000
9 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! b_0 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0.03200
9.5 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! c_0 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0.03200
10 6.0000% ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! d_0 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0.03600
a_1 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0.03600
b_1 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0.05000
c_1 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0.05000
d_1 ERROR:#NUM! = ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! X 0.06000
a_2 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0.00000
b_2 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0.00000
c_2 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0.00000
d_2 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0.00000
a_3 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0.00000
b_3 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0.00000
c_3 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0.00000
d_3 ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! ERROR:#NUM! 0.00000
Vertices 0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5 5.5 6 6.5 7 7.5 8 8.5 9 9.5 10 0.03 3.2000000000000001E-2 3.5999999999999997E-2 0.05 0.06 Fitted Curve 0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5 5.5 6 6.5 7 7.5 8 8.5 9 9.5 10 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Forward 0 0.5 1 1.5 2 2.5 3 3.5 4 4.5 5 5.5 6 6.5 7 7.5 8 8.5 9 9.5 10 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Years
Yield
Trades
Financial Engineering
Initial market data
A satisfied Microsoft Office user: Market conditions when the positions were opened.
Spot price (USD per GBP) 1.7500
USD rate 5.2000% 5.2000% 5.2000% 5.2000% 5.2000% 5.2000%
GBP yield 4.7500% 4.7500% 4.7500% 4.7500% 4.7500% 4.7500%
Volatility
A satisfied Microsoft Office user: Enter a different implied vola for each leg. If all volas are the same, then just enter the vola for the first leg. 8.00% 8.00% 8.00% 8.00% 8.00% 8.00%
Forward price 1.7587 1.7587 0.0000 0.0000 0.0000 0.0000
Current market data
A satisfied Microsoft Office user: Market conditions now, when the positions are revalued.
Days elapsed
A satisfied Microsoft Office user: Since the position was opened. 0
Spot price (USD per GBP) 1.7500
USD rate 5.2000% 5.2000% 5.2000% 5.2000% 5.2000% 5.2000%
GBP yield 4.7500% 4.7500% 4.7500% 4.7500% 4.7500% 4.7500%
Volatility
A satisfied Microsoft Office user: Enter a different implied vola for each leg. If all volas are the same, then just enter the vola for the first leg. 8.00% 8.00% 8.00% 8.00% 8.00% 8.00%
Forward price 1.7587 1.7587 0.0000 0.0000 0.0000 0.0000
Positions 1 2 3 4 5 6
Contract amount (GBPs)
A satisfied Microsoft Office user: Input:
Positive number = Long
Negative number = Short 10,000,000 (10,000,000) 0 0 0 0
Contract type
Style (if option)
Initial days to expiry
A satisfied Microsoft Office user: From contract date to expiry or delivery. 365 365 365 365 365 90
Strike 1.7592 1.7592 1.7645 1.7645 0.0000 0.0000
Barrier 1
Paul: The barrier for a single-barrier option. 0.0000 1.7000 1.7800 1.7800 0.0000 0.0000
Barrier 2 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000
Cash payout/rebate 0.0000 0.0000 0.0000 0.0000 0.0200 0.0000
Pricing
Initial 0.0531 0.0531 0.0000 0.0000 0.0000 0.0000
Current 0.0531 0.0531 0.0000 0.0000 0.0000 0.0000
Profit/loss and Risks Net
Initial premium (USD) (531,000) 531,000 0 0 0 0 0
Current premium (USD) 531,000 (531,000) 0 0 0 0 0
Profit/loss (USD) 0 0 0 0 0 0 0
Current Delta
A satisfied Microsoft Office user: Change in option price for a small change in the underlying price 49.1% 47.1% 0.0% 0.0% 0.0% 0.0% 9,623,948 96.2%
Gamma
A satisfied Microsoft Office user: Change in delta for a 1% change in current spot price
(e.g from 80.00 to 80.80) 4.7% (4.9%) 0.0% 0.0% 0.0% 0.0% (12,569) (0.1%)
Vega (ticks)
A satisfied Microsoft Office user: Change in option price for a 1% point change in volatility (e.g. from 8% to 9%).
A satisfied Microsoft Office user: Market conditions when the positions were opened. 66.6 (68.2) 0.0 0.0 0.0 0.0 (1,600) (1.6)
Theta (ticks)
A satisfied Microsoft Office user: Change in option price for a 1-day change in time to expiry (0.8) 0.6 0.0 0.0 0.0 0.0 (200) (0.2)
Rho on USD
Paul: Change in option price for a 100 basis point change in the ccy rate. 80.6 86.3 0.0 0.0 0.0 0.0 166,900 166.9
Psi on GBP
Paul: Change in option price for a 100 basis point in rate on underlying.
A satisfied Microsoft Office user: Enter a different implied vola for each leg. If all volas are the same, then just enter the vola for the first leg.
A satisfied Microsoft Office user: Market conditions now, when the positions are revalued.
A satisfied Microsoft Office user: Since the position was opened.
A satisfied Microsoft Office user: Enter a different implied vola for each leg. If all volas are the same, then just enter the vola for the first leg.
A satisfied Microsoft Office user: Input:
Positive number = Long
Negative number = Short
A satisfied Microsoft Office user: From contract date to expiry or delivery.
Paul: The barrier for a single-barrier option. (86.0) (81.0) 0.0 0.0 0.0 0.0 (167,000) (167.0)
Initial market data
Effective USD rate (cc) 5.1379% 5.1379% 5.1379% 5.1379% 5.1379% 5.2382%
Effective GBP rate (cc) 4.6406% 4.6406% 4.6406% 4.6406% 4.6406% 4.7224%
Year fraction 1.0000 1.0000 1.0000 1.0000 1.0000 0.2466
Buy/sell 1 -1 0 0 0 0
Price -0.0531 0.0531 0.0000 0.0000 0.0000 0.0000
Current market data
Effective USD rate 5.1379% 5.1379% 5.1379% 5.1379% 5.1379% 5.2382%
Effective GBP rate 4.6406% 4.6406% 4.6406% 4.6406% 4.6406% 4.7224%
daystogo 365 365 365 365 365 90
Year fraction 1.0000 1.0000 1.0000 1.0000 1.0000 0.2466
Price 0.0531 -0.0531 0.0000 0.0000 0.0000 0.0000
Abs(contract_size) 10,000,000 10,000,000 0 0 0 0
Min 10,000,000 10,000,000 10,000,000,000,000 10,000,000,000,000 10,000,000,000,000 10,000,000,000,000 10,000,000
Delta 4,911,972 4,711,976 0 0 0 0
Gamma 473,950 -486,519 0 0 0 0
Vega 66,600 -68,200 0 0 0 0
Theta -800 600 0 0 0 0
Rho on USD 80,600 86,300 0 0 0 0
Psi on GBP -86,000 -81,000 0 0 0 0
Controls
call/put CALL PUT CALL PUT CALL CALL
1 2 1 2 1 1
Call Call Call Call Call Call
Put Put Put Put Put Put
U’rlying U’rlying U’rlying U’rlying U’rlying U’rlying
1 -1 1 -1 1 1
Option style EUR AMER AMER AMER EUR EUR
ceu pdi cui pui ceu ceu
opt_type 2 5 5 5 2 2
1 American American American American American American
2 European European European European European European
3 Binary Binary Binary Binary Binary Binary
4 KO 1 barrier KO 1 barrier KO 1 barrier KO 1 barrier KO 1 barrier KO 1 barrier
5 KI 1 barrier KI 1 barrier KI 1 barrier KI 1 barrier KI 1 barrier KI 1 barrier
6 KO 2 barrier KO 2 barrier KO 2 barrier KO 2 barrier KO 2 barrier KO 2 barrier
7 KI 2 barrier KI 2 barrier KI 2 barrier KI 2 barrier KI 2 barrier KI 2 barrier
Greeks
Linear FALSE FALSE FALSE FALSE TRUE TRUE
OTM TRUE FALSE TRUE FALSE FALSE FALSE
Delta of expired vanilla 0.00 -1.00 0.00 -1.00 1.00 1.00
Delta of expired exotic 0.00 0.00 0.00 0.00 1.00 1.00
Barrier KOd? FALSE FALSE FALSE FALSE FALSE FALSE
Underlying price
-1 % 1.7326
– 1/2% 1.7413
Current spot 1.7500
+1/2% 1.7588
+1% 1.7675
Option price 0.0449 0.0617 0.0428 0.0271 1.6459 1.7104
0.0489 0.0573 0.0467 0.0297 1.6541 1.7189
0.0531 0.0531 0.0507 0.0324 1.6624 1.7275
0.0575 0.0491 0.0550 0.0353 1.6707 1.7362
0.0621 0.0453 0.0595 0.0384 1.6790 1.7449
Delta 49.1% 47.1% 0.0% 0.0% 0.0% 0.0%
Gamma 4.7% -4.9% 0.0% 0.0% 0.0% 0.0%
Volatility
– 1/2% 7.5% 7.5% 7.5% 7.5% 7.5% 7.5%
Current vola 8.0% 8.0% 8.0% 8.0% 8.0% 8.0%
+1/2% 8.5% 8.5% 8.5% 8.5% 8.5% 8.5%
Option price 0.0497 0.0497 0.0474 0.0294 1.6624 1.7275
0.0531 0.0531 0.0507 0.0324 1.6624 1.7275
0.0564 0.0565 0.0540 0.0355 1.6624 1.7275
Vega 66.6 -68.2 0.0 0.0 0.0 0.0
Time to expiry
– 1 day 0.9973 0.9973 0.9973 0.9973 0.9973 0.2438
Current year fraction 1.0000 1.0000 1.0000 1.0000 1.0000 0.2466
Option price 0.0530 0.0530 0.0506 0.0324 1.6626 1.7278
0.0531 0.0531 0.0507 0.0324 1.6624 1.7275
Theta -0.8 0.6 0.0 0.0 0.0 0.0
Funding rate on USD
-1/2% 4.6379% 4.6379% 4.6379% 4.6379% 4.6379% 4.7382%
Current rate 5.1379% 5.1379% 5.1379% 5.1379% 5.1379% 5.2382%
+1/2% 5.6379% 5.6379% 5.6379% 5.6379% 5.6379% 5.7382%
Option price 0.0491 0.0575 0.0469 0.0347 1.6707 1.7297
0.0531 0.0531 0.0507 0.0324 1.6624 1.7275
0.0572 0.0489 0.0547 0.0302 1.6541 1.7254
Rho on USD 80.6 86.3 0.0 0.0 0.0 0.0
Yield on GBP
-1/2% 4.1406% 4.1406% 4.1406% 4.1406% 4.1406% 4.1406%
Current rate 4.6406% 4.6406% 4.6406% 4.6406% 4.6406% 4.6406%
+1/2% 5.1406% 5.1406% 5.1406% 5.1406% 5.1406% 5.1406%
Option price 0.0575 0.0491 0.0550 0.0304 1.6624 1.7275
0.0531 0.0531 0.0507 0.0324 1.6624 1.7275
0.0489 0.0572 0.0466 0.0345 1.6624 1.7275
Psi on GBP -86.0 -81.0 0.0 0.0 0.0 0.0
Charts
Avg. Strike: 1.7592
Avg. daystogo 365
Average volatility 8.00%
variation from strike: vola * sqr(daystogo) * 10 0.2815 Zoom Shift
step size 0.00950 0.0095 3.00 0.00
Profit/loss at expiry:-
Spot Contract 1 Contract 2 Contract 3 Contract 4 Contract 5 Contract 6 Net position Scale
1.4837 -531,000 -2,223,978 0 0 0 0 -2,754,978 -29
1.4932 -531,000 -2,128,979 0 0 0 0 -2,659,979 -28
1.5027 -531,000 -2,033,979 0 0 0 0 -2,564,979 -27
1.5122 -531,000 -1,938,980 0 0 0 0 -2,469,980 -26
1.5217 -531,000 -1,843,980 0 0 0 0 -2,374,980 -25
1.5312 -531,000 -1,748,981 0 0 0 0 -2,279,981 -24
1.5407 -531,000 -1,653,981 0 0 0 0 -2,184,981 -23
1.5502 -531,000 -1,558,982 0 0 0 0 -2,089,982 -22
1.5597 -531,000 -1,463,982 0 0 0 0 -1,994,982 -21
1.5692 -531,000 -1,368,982 0 0 0 0 -1,899,982 -20
1.5787 -531,000 -1,273,983 0 0 0 0 -1,804,983 -19
1.5882 -531,000 -1,178,983 0 0 0 0 -1,709,983 -18
1.5977 -531,000 -1,083,984 0 0 0 0 -1,614,984 -17
1.6072 -531,000 -988,984 0 0 0 0 -1,519,984 -16
1.6167 -531,000 -893,985 0 0 0 0 -1,424,985 -15
1.6262 -531,000 -798,985 0 0 0 0 -1,329,985 -14
1.6357 -531,000 -703,986 0 0 0 0 -1,234,986 -13
1.6452 -531,000 -608,986 0 0 0 0 -1,139,986 -12
1.6547 -531,000 -513,986 0 0 0 0 -1,044,986 -11
1.6642 -531,000 -418,987 0 0 0 0 -949,987 -10
1.6737 -531,000 -323,987 0 0 0 0 -854,987 -9
1.6832 -531,000 -228,988 0 0 0 0 -759,988 -8
1.6927 -531,000 -133,988 0 0 0 0 -664,988 -7
1.7022 -531,000 471,789 0 0 0 0 -59,211 -6
1.7117 -531,000 531,000 0 0 0 0 0 -5
1.7212 -531,000 531,000 0 0 0 0 0 -4
1.7307 -531,000 531,000 0 0 0 0 0 -3
1.7402 -531,000 531,000 0 0 0 0 0 -2
1.7497 -531,000 531,000 0 0 0 0 0 -1
1.7592 -531,000 531,000 0 0 0 0 0 0
1.7687 -436,000 531,000 0 0 0 0 95,000 1
1.7782 -341,000 531,000 0 0 0 0 190,000 2
1.7877 -246,000 531,000 0 0 0 0 285,000 3
1.7972 -151,000 531,000 0 0 0 0 380,000 4
1.8067 -56,000 531,000 0 0 0 0 475,000 5
1.8162 39,000 531,000 0 0 0 0 570,000 6
1.8257 134,000 531,000 0 0 0 0 665,000 7
1.8352 229,000 531,000 0 0 0 0 760,000 8
1.8447 324,000 531,000 0 0 0 0 855,000 9
1.8542 419,000 531,000 0 0 0 0 950,000 10
1.8637 514,000 531,000 0 0 0 0 1,045,000 11
1.8732 609,000 531,000 0 0 0 0 1,140,000 12
1.8827 704,000 531,000 0 0 0 0 1,235,000 13
1.8922 799,000 531,000 0 0 0 0 1,330,000 14
1.9017 894,000 531,000 0 0 0 0 1,425,000 15
1.9112 989,000 531,000 0 0 0 0 1,520,000 16
1.9207 1,084,000 531,000 0 0 0 0 1,615,000 17
1.9302 1,179,000 531,000 0 0 0 0 1,710,000 18
1.9397 1,274,000 531,000 0 0 0 0 1,805,000 19
1.9492 1,369,000 531,000 0 0 0 0 1,900,000 20
1.9587 1,464,000 531,000 0 0 0 0 1,995,000 21
1.9682 1,559,000 531,000 0 0 0 0 2,090,000 22
1.9777 1,654,000 531,000 0 0 0 0 2,185,000 23
1.9872 1,749,000 531,000 0 0 0 0 2,280,000 24
1.9967 1,844,000 531,000 0 0 0 0 2,375,000 25
2.0062 1,939,000 531,000 0 0 0 0 2,470,000 26
2.0157 2,034,000 531,000 0 0 0 0 2,565,000 27
2.0252 2,129,000 531,000 0 0 0 0 2,660,000 28
2.0347 2,224,000 531,000 0 0 0 0 2,755,000 29
2.0442 2,319,000 531,000 0 0 0 0 2,850,000 30
Current Profit/loss:-
Spot Contract 1 Contract 2 Contract 3 Contract 4 Contract 5 Contract 6 Net position
1.4837 -522,283 -2,024,475 0 0 0 0 -2,547,000
1.4932 -520,152 -1,935,914 0 0 0 0 -2,456,000
1.5027 -517,588 -1,847,786 0 0 0 0 -2,365,500
1.5122 -514,524 -1,760,158 0 0 0 0 -2,274,500
1.5217 -510,886 -1,673,104 0 0 0 0 -2,184,000
1.5312 -506,593 -1,586,705 0 0 0 0 -2,093,500
1.5407 -501,561 -1,501,045 0 0 0 0 -2,002,500
1.5502 -495,696 -1,416,218 0 0 0 0 -1,912,000
1.5597 -488,902 -1,332,319 0 0 0 0 -1,821,000
1.5692 -481,078 -1,249,452 0 0 0 0 -1,730,500
1.5787 -472,117 -1,167,720 0 0 0 0 -1,640,000
1.5882 -461,912 -1,087,233 0 0 0 0 -1,549,000
1.5977 -450,352 -1,008,101 0 0 0 0 -1,458,500
1.6072 -437,326 -930,435 0 0 0 0 -1,368,000
1.6167 -422,723 -854,346 0 0 0 0 -1,277,000
1.6262 -406,434 -779,943 0 0 0 0 -1,186,500
1.6357 -388,352 -707,333 0 0 0 0 -1,095,500
1.6452 -368,375 -636,617 0 0 0 0 -1,005,000
1.6547 -346,406 -567,895 0 0 0 0 -914,500
1.6642 -322,353 -501,255 0 0 0 0 -823,500
1.6737 -296,135 -436,782 0 0 0 0 -733,000
1.6832 -267,675 -374,549 0 0 0 0 -642,000
1.6927 -236,909 -314,623 0 0 0 0 -551,500
1.7022 -203,783 -256,835 0 0 0 0 -460,500
1.7117 -168,251 -200,740 0 0 0 0 -369,000
1.7212 -130,282 -147,107 0 0 0 0 -277,500
1.7307 -89,854 -95,969 0 0 0 0 -186,000
1.7402 -46,957 -47,348 0 0 0 0 -94,500
1.7497 -1,593 -1,249 0 0 0 0 -3,000
1.7592 46,224 42,331 0 0 0 0 88,500
1.7687 96,469 83,411 0 0 0 0 180,000
1.7782 149,108 122,020 0 0 0 0 271,000
1.7877 204,096 158,201 0 0 0 0 362,500
1.7972 261,378 192,005 0 0 0 0 453,500
1.8067 320,893 223,496 0 0 0 0 544,500
1.8162 382,571 252,742 0 0 0 0 635,500
1.8257 446,335 279,825 0 0 0 0 726,000
1.8352 512,103 304,828 0 0 0 0 817,000
1.8447 579,791 327,842 0 0 0 0 907,500
1.8542 649,306 348,963 0 0 0 0 998,500
1.8637 720,558 368,289 0 0 0 0 1,089,000
1.8732 793,453 385,920 0 0 0 0 1,179,500
1.8827 867,895 401,957 0 0 0 0 1,270,000
1.8922 943,790 416,501 0 0 0 0 1,360,500
1.9017 1,021,044 429,654 0 0 0 0 1,450,500
1.9112 1,099,565 441,513 0 0 0 0 1,541,000
1.9207 1,179,263 452,176 0 0 0 0 1,631,500
1.9302 1,260,049 461,735 0 0 0 0 1,722,000
1.9397 1,341,841 470,280 0 0 0 0 1,812,000
1.9492 1,424,555 477,898 0 0 0 0 1,902,500
1.9587 1,508,116 484,669 0 0 0 0 1,993,000
1.9682 1,592,449 490,673 0 0 0 0 2,083,000
1.9777 1,677,486 495,980 0 0 0 0 2,173,500
1.9872 1,763,161 500,659 0 0 0 0 2,264,000
1.9967 1,849,413 504,774 0 0 0 0 2,354,000
2.0062 1,936,186 508,382 0 0 0 0 2,444,500
2.0157 2,023,427 511,538 0 0 0 0 2,535,000
2.0252 2,111,087 514,291 0 0 0 0 2,625,500
2.0347 2,199,122 516,687 0 0 0 0 2,716,000
2.0442 2,287,492 518,766 0 0 0 0 2,806,500
End of charts
Expiry Payoff
0
Financial Engineering
Expiry Payoff Profile
Contract 1 1.4837385368823082 1.493238536882308 1.5027385368823081 1.5122385368823079 1.521738536882308 1.531238536882308 1.5407385368823081 1.5502385368823079 1.559738536882308 1.5692385368823081 1.5787385368823079 1.588238536882308 1.597738536882308 1.6072385368823081 1.616738536882308 1.626238536882308 1.6357385368823081 1.6452385368823079 1.654738536882308 1.6642385368823081 1.6737385368823081 1.683238536882308 1.692738536882308 1.7022385368823081 1.7117385368823079 1.721238536882308 1.7307385368823081 1.7402385368823081 1.749738536882308 1.759238536882308 1.7687385368823081 1.7782385368823079 1.787738536882308 1.7972385368823081 1.8067385368823081 1.816238536882308 1.825738536882308 1.8352385368823081 1.8447385368823079 1.854238536882308 1.8637385368823081 1.8732385368823081 1.882738536882308 1.892238536882308 1.9017385368823081 1.9112385368823079 1.920738536882308 1.9302385368823081 1.9397385368823081 1.949238536882308 1.958738536882308 1.9682385368823081 1.9777385368823079 1.987238536882308 1.9967385368823081 2.0062385368823081 2.0157385368823082 2.0252385368823083 2.0347385368823079 2.0442385368823079 -531000 -531000 -531000 -531000 -531000 -531000 -531000 -531000 -531000 -531000 -531000 -531000 -531000 -531000 -531000 -531000 -531000 -531000 -531000 -531000 -531000 -531000 -531000 -531000 -531000 -531000 -531000 -531000 -531000 -531000 -435999.99999999936 -341000.00000000093 -246000.00000000029 -150999.99999999965 -55999.99999999901 38999.999999999418 134000 229000.0000000007 323999.99999999907 418999.99999999977 514000.00000000035 609000.00000000093 703999.99999999953 799000 894000.0000000007 988999.99999999907 1083999.9999999998 1179000.0000000005 1274000.0000000012 1368999.9999999995 1464000 1559000.0000000007 1653999.9999999991 1749000 1844000.0000000005 1939000.0000000009 2034000.0000000019 2129000.0000000023 2223999.9999999986 2318999.9999999991 Contract 2 1.4837385368823082 1.493238536882308 1.5027385368823081 1.5122385368823079 1.521738536882308 1.531238536882308 1.5407385368823081 1.5502385368823079 1.559738536882308 1.5692385368823081 1.5787385368823079 1.588238536882308 1.597738536882308 1.6072385368823081 1.616738536882308 1.626238536882308 1.6357385368823081 1.6452385368823079 1.654738536882308 1.6642385368823081 1.6737385368823081 1.683238536882308 1.692738536882308 1.7022385368823081 1.7117385368823079 1.721238536882308 1.7307385368823081 1.7402385368823081 1.749738536882308 1.7592385368 82308 1.7687385368823081 1.7782385368823079 1.787738536882308 1.7972385368823081 1.8067385368823081 1.816238536882308 1.825738536882308 1.8352385368823081 1.8447385368823079 1.854238536882308 1.8637385368823081 1.8732385368823081 1.882738536882308 1.892238536882308 1.9017385368823081 1.9112385368823079 1.920738536882308 1.9302385368823081 1.9397385368823081 1.949238536882308 1.958738536882308 1.9682385368823081 1.9777385368823079 1.987238536882308 1.9967385368823081 2.0062385368823081 2.0157385368823082 2.0252385368823083 2.0347385368823079 2.0442385368823079 -2223978.4663725062 -2128978.9072320256 -2033979.348091545 -1938979.7889510645 -1843980.2298105839 -1748980.670670101 -1653981.1115296204 -1558981.5523891395 -1463981.993248659 -1368982.434108176 -1273982.8749676978 -1178983.3158272149 -1083983.7566867319 -988984.19754625135 -893984.63840577076 -798985.07926529017 -703985.52012480726 -608985.96098432876 -513986.40184384596 -418986.84270336526 -323987.28356288245 -228987.72442240408 -133988.16528192116 471789.31888053822 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 531000 Contract 3 1.4837385368823082 1.493238536882308 1.5027385368823081 1.5122385368823079 1.521738536882308 1.531238536882308 1.5407385368823081 1.5502385368823079 1.559738536882308 1.5692385368823081 1.5787385368823079 1.588238536882308 1.597738536882308 1.6072385368823081 1.616738536882308 1.626238536882308 1.6357385368823081 1.6452385368823079 1.654738536882308 1.6642385368823081 1.6737385368823081 1.6832385368823 08 1.692738536882308 1.7022385368823081 1.7117385368823079 1.721238536882308 1.7307385368823081 1.7402385368823081 1.749738536882308 1.759238536882308 1.7687385368823081 1.7782385368823079 1.787738536882308 1.7972385368823081 1.8067385368823081 1.816238536882308 1.825738536882308 1.8352385368823081 1.8447385368823079 1.854238536882308 1.8637385368823081 1.8732385368823081 1.882738536882308 1.892238536882308 1.9017385368823081 1.9112385368823079 1.920738536882308 1.9302385368823081 1.9397385368823081 1.949238536882308 1.958738536882308 1.9682385368823081 1.9777385368823079 1.987238536882308 1.9967385368823081 2.0062385368823081 2.0157385368823082 2.0252385368823083 2.0347385368823079 2.0442385368823079 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Contract 4 1.4837385368823082 1.493238536882308 1.5027385368823081 1.5122385368823079 1.521738536882308 1.531238536882308 1.5407385368823081 1.5502385368823079 1.559738536882308 1.5692385368823081 1.5787385368823079 1.588238536882308 1.597738536882308 1.6072385368823081 1.616738536882308 1.626238536882308 1.6357385368823081 1.6452385368823079 1.654738536882308 1.6642385368823081 1.6737385368823081 1.683238536882308 1.692738536882308 1.7022385368823081 1.7117385368823079 1.721238536882308 1.7307385368823081 1.7402385368823081 1.749738536882308 1.759238536882308 1.7687385368823081 1.7782385368823079 1.787738536882308 1.7972385368823081 1.8067385368823081 1.816238536882308 1.825738536882308 1.8352385368823081 1.8447385368823079 1.854238536882308 1.8637385368823081 1.8732385368823081 1.882738536882308 1.892238536882308 1.9017385368823081 1.9112385368823079 1.920738536882308 1.9302385368823081 1.9397385368823081 1.949238536882308 1.958738536882308 1.9682385368823081 1.9777385368823079 1.987238536882308 1.9967385368823081 2.0062385368823081 2.0157385368823082 2.0252385368823083 2.0347385368823079 2.0442385368823079 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Contract 5 1.4837385368823082 1.493238536882308 1.5027385368823081 1.5122385368823079 1.521738536882308 1.531238536882308 1.5407385368823081 1.5502385368823079 1.559738536882308 1.5692385368823081 1.5787385368823079 1.588238536882308 1.597738536882308 1.6072385368823081 1.616738536882308 1.626238536882308 1.6357385368823081 1.6452385368823079 1.654738536882308 1.6642385368823081 1.6737385368823081 1.683238536882308 1.692738536882308 1.7022385368823081 1.7117385368823079 1.721238536882308 1.7307385368823081 1.7402385368823081 1.749738536882308 1.759238536882308 1.7687385368823081 1.7782385368823079 1.787738536882308 1.7972385368823081 1.8067385368823081 1.816238536882308 1.825738536882308 1.8352385368823081 1.8447385368823079 1.854238536882308 1.8637385368823081 1.8732385368823081 1.882738536882308 1.892238536882308 1.9017385368823081 1.9112385368823079 1.920738536882308 1.9302385368823081 1.9397385368823081 1.949238536882308 1.958738536882308 1.9682385368823081 1.9777385368823079 1.987238536882308 1.9967385368823081 2.0062385368823081 2.0157385368823082 2.0252385368823083 2.0347385368823079 2.0442385368823079 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Contract 6 1.4837385368823082 1.493238536882308 1.5027385368823081 1.5122385368823079 1.521738536882308 1.531238536882308 1.5407385368823081 1.5502385368823079 1.559738536882308 1.5692385368823081 1.5787385368823079 1.588238536882308 1.597738536882308 1.6072385368823081 1.616738536882308 1.626238536882308 1.6357385368823081 1.6452385368823079 1.654738536882308 1.6642385368823081 1.6737385368823081 1.683238536882308 1.692738536882308 1.7022385368823081 1.7117385368823079 1.721238536882308 1.7307385368823081 1.7402385368823081 1.749738536882308 1.759238536882308 1.7687385368823081 1.7782385368823079 1.787738536882308 1.7972385368823081 1.8067385368823081 1.816238536882308 1.825738536882308 1.8352385368823081 1.8447385368823079 1.854238536882308 1.8637385368823081 1.8732385368823081 1.882738536882308 1.892238536882308 1.9017385368823081 1.9112385368823079 1.920738536882308 1.9302385368823081 1.9397385368823081 1.949238536882308 1.958738536882308 1.9682385368823081 1.9777385368823079 1.987238536882308 1.9967385368823081 2.0062385368823081 2.0157385368823082 2.0252385368823083 2.0347385368823079 2.0442385368823079 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 Net position 1.4837385368823082 1.493238536882308 1.5027385368823081 1.5122385368823079 1.521738536882308 1.531238536882308 1.5407385368823081 1.5502385368823079 1.559738536882308 1.5692385368823081 1.5787385368823079 1.588238536882308 1.597738536882308 1.6072385368823081 1.616738536882308 1.626238536882308 1.6357385368823081 1.6452385368823079 1.654738536882308 1.6642385368823081 1.6737385368823081 1.683238536882308 1.692738536882308 1.7022385368823081 1.7117385368823079 1.721238536882308 1.7307385368823081 1.7402385368823081 1.749738536882308 1.759238536882308 1.7687385368823081 1.7782385368823079 1.787738536882308 1.7972385368823081 1.8067385368823081 1.816238536882308 1.825738536882308 1.8352385368823081 1.8447385368823079 1.854238536882308 1.8637385368823081 1.8732385368823081 1.882738536882308 1.892238536882308 1.9017385368823081 1.9112385368823079 1.920738536882308 1.9302385368823081 1.9397385368823081 1.949238536882308 1.958738536882308 1.9682385368823081 1.9777385368823079 1.987238536882308 1.9967385368823081 2.0062385368823081 2.0157385368823082 2.0252385368823083 2.0347385368823079 2.0442385368823079 -2754978 -2659979 -2564979 -2469980 -2374980 -2279981 -2184981 -2089982 -1994982 -1899982 -1804983 -1709983 -1614984 -1519984 -1424985 -1329985 -1234986 -1139986 -1044986 -949987 -854987 -759988 -664988 -59211 0 0 0 0 0 0 95000 190000 285000 380000 475000 570000 665000 760000 855000 950000 1045000 1140000 1235000 1330000 1425000 1520000 1615000 1710000 1805000 1900000 1995000 2090000 2185000 2280000 2375000 2470000 2565000 2660000 2755000 2850000 U/L Price
Profit / Loss
+
<-
->
Reset
Current P&L
0
Financial Engineering
Current Profit/Loss
Net position 1.4837385368823082 1.493238536882308 1.5027385368823081 1.5122385368823079 1.521738536882308 1.531238536882308 1.5407385368823081 1.5502385368823079 1.559738536882308 1.5692385368823081 1.5787385368823079 1.588238536882308 1.597738536882308 1.6072385368823081 1.616738536882308 1.626238536882308 1.6357385368823081 1.6452385368823079 1.654738536882308 1.6642385368823081 1.6737385368823081 1.683238536882308 1.692738536882308 1.7022385368823081 1.7117385368823079 1.721238536882308 1.7307385368823081 1.7402385368823081 1.749738536882308 1.759238536882308 1.7687385368823081 1.7782385368823079 1.787738536882308 1.7972385368823081 1.8067385368823081 1.816238536882308 1.825738536882308 1.8352385368823081 1.8447385368823079 1.854238536882308 1.8637385368823081 1.8732385368823081 1.882738536882308 1.892238536882308 1.9017385368823081 1.9112385368823079 1.920738536882308 1.9302385368823081 1.9397385368823081 1.949238536882308 1.958738536882308 1.9682385368823081 1.9777385368823079 1.987238536882308 1.9967385368823081 2.0062385368823081 2.0157385368823082 2.0252385368823083 2.0347385368823079 2.0442385368823079 -2547000 -2456000 -2365500 -2274500 -2184000 -2093500 -2002500 -1912000 -1821000 -1730500 -1640000 -1549000 -1458500 -1368000 -1277000 -1186500 -1095500 -1005000 -914500 -823500 -733000 -642000 -551500 -460500 -369000 -277500 -186000 -94500 -3000 88500 180000 271000 362500 453500 544500 635500 726000 817000 907500 998500 1089000 1179500 1270000 1360500 1450500 1541000 1631500 1722000 1812000 1902500 1993000 2083000 2173500 2264000 2354000 2444500 2535000 2625500 2716000 2806500 1.4837385368823082 1.493238536882308 1.5027385368823081 1.5122385368823079 1.521738536882308 1.531238536882308 1.5407385368823081 1.5502385368823079 1.559738536882308 1.5692385368823081 1.5787385368823079 1.588238536882308 1.597738536882308 1.6072385368823081 1.616738536882308 1.626238536882308 1.6357385368823081 1.6452385368823079 1.654738536882308 1.6642385368823081 1.6737385368823081 1.683238536882308 1.692738536882308 1.7022385368823081 1.7117385368823079 1.721238536882308 1.7307385368823081 1.7402385368823081 1.749738536882308 1.759238536882308 1.7687385368823081 1.7782385368823079 1.787738536882308 1.7972385368823081 1.8067385368823081 1.816238536882308 1.8257385368823 08 1.8352385368823081 1.8447385368823079 1.854238536882308 1.8637385368823081 1.8732385368823081 1.882738536882308 1.892238536882308 1.9017385368823081 1.9112385368823079 1.920738536882308 1.9302385368823081 1.9397385368823081 1.949238536882308 1.958738536882308 1.9682385368823081 1.9777385368823079 1.987238536882308 1.9967385368823081 2.0062385368823081 2.0157385368823082 2.0252385368823083 2.0347385368823079 2.0442385368823079 -2754978 -2659979 -2564979 -2469980 -2374980 -2279981 -2184981 -2089982 -1994982 -1899982 -1804983 -1709983 -1614984 -1519984 -1424985 -1329985 -1234986 -1139986 -1044986 -949987 -854987 -759988 -664988 -59211 0 0 0 0 0 0 95000 190000 285000 380000 475000 570000 665000 760000 855000 950000 1045000 1140000 1235000 1330000 1425000 1520000 1615000 1710000 1805000 1900000 1995000 2090000 2185000 2280000 2375000 2470000 2565000 2660000 2755000 2850000 U/L Price
Profit / Loss
+
<-
->
Reset