Slides

Generate risk slides with user-defined price and volatility scenarios.

The Risk Slide page can be used to filter out opening position only or day trades only. By default, both the Open Position and Day Trades boxes will be checked.

As an example, to view the risk slide based on the opening position only, check the Open Position box and uncheck the Day Trades box:

Select Zero Base to set the Base level values to zero. Scenario levels will be reflective of a change from zero:

The Wheel Menu allows you to navigate to additional levels of functionality within the Slide View. Right click within the Slide View page to access the Wheel Menu.

The slide template editor allows you to create and manage custom stress test scenarios by simulating different underlying price and volatility levels.

Create a new slide template

1. Right click in the slides page and select the + icon from the wheel menu to open the Slide Template Editor window

   a. Pop-up blockers could block the window and may have to be disabled

   

2. Click the * Add * button in the Template Name column

   

3. Type in the name of the new template and hit Enter on your keyboard

   

4. Click +ALL in the Category and Product columns to expand each section

5. Use the DEFAULT to create a scenario that will be applied to all products

6. To set slide values for specific product types click the * ADD * button in the Product column and type in a product symbol

   a. For a group of products (e.g 10 Year Treasuries) enter the base symbol (e.g TY)

   b. For a specific future or equity type in the full symbol (e.g TYH9)

   

7. The Category field will automatically populate after the Product symbol is input

   

8. In the Future column select True or False based on the type of product

9. In the Group column select True if the symbol is to be used for all futures with the same base symbol (e.g TY for all 10 Year Treasuries)

10. Within the Type column, Price designates an underlying move and Vol designates a volatility move

11. In the Slide By column choose to apply the Price scenario based on a Price move or Percent move

    a. The Vol scenario will only be available as a Percent move

12. Enter scenarios in any of the 16 (-8 to +8) levels available

    

13. Once the new slide template has been created, refresh the Slides page window to update the dropdown list of templates

    

Delete Product or Slide Template

1. To delete an entire slide or individual product within a slide, click on the delete button in the corresponding row

   

2. Click OK or Cancel in the pop-up window

   

The Expiration Scenarios section (in the For Options that Expire ON or BEFORE box) include common scenarios for viewing risk on, before or after expiration.

Normal

• Uses today's date and current market as Base

• Applies user-defined shocks against the existing position at the time the slide is run

Close

• User-defined expiration date

• Uses current market as Base

• Simulates a scenario to close all options expiring on or before the date set

• Close at current mid-market and hedge based on current delta (into underlying at mid-market)

Pre-Ex (Pre-Expiration)

• User-defined expiration date

• Options expiring on or before that date are set to 1 vol

  • Options are not assumed to be exercised/assigned but are assigned at 100 or 0 delta based on futures price at each scenario level

• View options delta and futures delta at each level

• All options expiring after date set are handled using the Normal method (see above)

Post-Ex (Post-Expiration)

• User-defined expiration date

• This scenario assumes the current futures market price is the settle price

• Options are assumed to be exercised/assigned based on the current price

  • Cash settled options will have a 0 delta

  • Options that settle into futures will have a 100 or 0 delta

  • Options delta is netted against futures

• Price scenarios are run against netted deltas of exercised/assigned options and futures at current price

• All options expiring after set date are handled using the Normal method

Set Date

• Set a specific date in the future

• Days are taken out of all options held

• Options expiring on or before the set date are handled using the Post-Ex approach

The Quick View save functionality works in conjunction with the filtering available in the Portfolio, Category, Symbol, Expiry and Type columns (left side of the slide page). Custom filters can be saved and applied for use with slide scenarios.

To create a Quick View group, use the filter function to select the Portfolio, Category, Symbol, Expiry or Type to be included:

Click the New button:

Enter a name and click Add:

Click Save:

The new custom filter will be available from the Quick View menu:

To apply the Quick View filter:

1. Select the Quick View group

2. Select the slide template

3. Click Update to run the slide