Derivatives Market Risk Management
The Derivatives Market Risk Management module is designed to manage risks of own and client positions in instruments of the derivatives market. Positions are monitored online.
The module allows monitoring total position for portfolio and separate positions for futures and options in a chosen portfolio. Portfolios under control may be created and grouped by any features.
- Derivatives market position
The module allows viewing the following data on instrument portfolio status on the derivatives market:
- Portfolio evaluation (including options) — cash assets available on the account on date of position review (current assets + evaluation of options).
- Coverage — ratio shows percentage of current assets covering collateral.
- Planned collateral.
- Full coverage — percentage of collateral coverage (security) by total price of assets on the account including options (portfolio evaluation).
- Margin level (including and excluding variation margin).
The planned collateral for position is calculated by own SPAN mathematical model.
- Future positions
The module reports on current future positions in own and client positions with execution date falling within a preset date range. Each table line corresponds to position in separate instrument.
- Option positions
The module reports on current option positions filtered by clients and with expiration date falling within a preset date range. When parameters of option contracts are changed the table data is recalculated for the following parameters:
- current settlement price;
- profit/ loss (as an absolute value and as %).
Graphical analysis instruments
The profit/loss chart displays dependence of total price profit/loss of selected portfolio on price of underlying future contracts the portfolio contains. The chart may also display total delta curve for each date selected. Besides that, for each pair ‘non-frontal future — frontal future*’ it is possible to add, change, delete spreads of portfolio asset price manually.
The ‘greek’ portfolio chart shows dependence of total ‘greek’ values of all portfolio option positions on price changes of underlying future contracts chosen.