RSdeltabook is software that manages risk for portfolios containing equities, equity indexes, and options in real time. It allows users to simulate option positions under different price, volatility, and time scenarios to understand changes in profit and loss. The software prices options using various models and can generate trade ideas based on volatility studies. It aggregates portfolio positions and reports daily P&L and theoretical fair P&L. Users can analyze individual volatilities, simulate portfolios under different price and volatility correlations, and view detailed impacts of changes.
2. RSdeltabook OverviewRSdeltabook Overview
RSdeltabook manages the risk of multiple portfolios of equities, equity and indexRSdeltabook manages the risk of multiple portfolios of equities, equity and index
options in real time in conjunction with any hedges.options in real time in conjunction with any hedges.
Simulation tools: Option Positions can be simulated in price, volatility and timeSimulation tools: Option Positions can be simulated in price, volatility and time
allowing the user to understand the change in P&L over various scenarios and timeallowing the user to understand the change in P&L over various scenarios and time
horizons.horizons.
Models: A number of models are used to price options including closed formModels: A number of models are used to price options including closed form
solutions and binomial trees. We can add other models upon request to price otcsolutions and binomial trees. We can add other models upon request to price otc
options and custom structured products.options and custom structured products.
Trade generation ideas via volatility studies also the Option Testing window allowsTrade generation ideas via volatility studies also the Option Testing window allows
the user to analyze option spreads.the user to analyze option spreads.
4. Prem WinPrem Win
Portfolio represented as equivalent position for every hedge security. Positions are aggregatedPortfolio represented as equivalent position for every hedge security. Positions are aggregated
by net option dollarized delta, gamma, vega and theta. The daily P&L is reported per hedgeby net option dollarized delta, gamma, vega and theta. The daily P&L is reported per hedge
along with the theoretical Fair P&L (Fair P&L is the difference between the market volatilityalong with the theoretical Fair P&L (Fair P&L is the difference between the market volatility
and the price due to the users hedge volatility).and the price due to the users hedge volatility).
7. Screen Shot: Hedge Option DetailScreen Shot: Hedge Option Detail
Option Detailed Position for a single hedge. Detailed information for each option in theOption Detailed Position for a single hedge. Detailed information for each option in the
portfolio is shown. Individual hedge volatilities can be changed from this window or optionportfolio is shown. Individual hedge volatilities can be changed from this window or option
hedge volatilities can be assigned from implied volatilities. In this example, each TNAhedge volatilities can be assigned from implied volatilities. In this example, each TNA
option is hedged at the same volality (49%), but it is possible to assign a different hedgeoption is hedged at the same volality (49%), but it is possible to assign a different hedge
volatility to each option.volatility to each option.
8. Volatility StudiesVolatility Studies
Individual volatility can be analyzed over different time frames with or without overlaps.Individual volatility can be analyzed over different time frames with or without overlaps.
Return time frames can be also be variedReturn time frames can be also be varied
10. Shock Matrix Price AnalysisShock Matrix Price Analysis
Portfolios of options can be analyzed for correlated changes in price and volatility.Portfolios of options can be analyzed for correlated changes in price and volatility.
Typically individual option volatilities are correlated, and simulations over a range of price andTypically individual option volatilities are correlated, and simulations over a range of price and
volatilities can expose situations of minimum and maximum risk.volatilities can expose situations of minimum and maximum risk.
In this case, the entire portfolio is simulated over a range of hedge prices changes from -10% toIn this case, the entire portfolio is simulated over a range of hedge prices changes from -10% to
+10% in increments of 2%. When prices move lower, equity volatility moves higher while higher+10% in increments of 2%. When prices move lower, equity volatility moves higher while higher
prices are typically accompanied by decreased volatility.prices are typically accompanied by decreased volatility.
11. Simulation of underlying positions in price and volatilitySimulation of underlying positions in price and volatility
The top view shows the portfolio valued at the current price and user hedge volatilities. The bottom view
has the portfolio valued with prices adjusted by 10% and with volatility increased by 5% (ie hedge volatility
of 20% increases by 5% to 21%)
12. Simulation Detail for hedge SPX changing volatility and priceSimulation Detail for hedge SPX changing volatility and price
The top view shows the detailed SPX option position valued at the current price and the hedge volatilities.
The bottom view shows the option detail valued with prices adjusted by 10% and with volatility increased
by 5% (ie hedge volatility of 20% increases by 5% to 21%).
This comparison allows the user to quickly see in detail how the value and risk, of each option would change
as prices or volatility change.
Additionally the days to expiration can be adjusted, so that the position can be walked forward to see how
the position changes with the passage of time.