Pricing and Risk

Pricing Models

  • Customizable option pricing sheets
  • Easy creation and pricing of strategies
  • Eight Industry standard models such as: Black-Scholes, Barone Adesi-Whaley and many others
  • Ability to see individual options greeks and risks in the trading sheet

Interpolation Models

  • Advanced Volatility skew control panel
    • Ability to alter any point on a skew
    • Ability to overlay and fit to live-market and settlement implied volatilities
  • Support for fixed or floating skews
    • Support for five interpolation methods such as linear and cubic spline

Risk Management

  • Inventory Greeks
    • Reporting by month and strike, displaying strike volatility, delta, gamma, vega, theta, and time premium for positions
  • Stress-test reports for position risk or greeks, versus changes in underlying price
  • Ability to alter date or underlying price for any report with a single click
  • Limits Management
    • Assign limits to users and accounts on a per contract basis
    • Turn users on/off and remove live orders