P&L and exposures in 3D

[volatileN]

I have just been playing around with Rubenstein's options package. It is great for academic consideration of exposure etc but of limited practical value as all inputs must be done manually. It can not take a live feed.

I think that having a real time view of ones exposure in 3D would be very cool. Consequentially (and here comes the 'plug'...!) I will be incorporating such functionality in my forthcoming options programme when it is released late this year.

This will allow people to visualise their exposure not just at the spot price but for any price and to conduct sensitivity analysis over multiple price. volatility etc ranges.

What do you think? Is it worth adding in / would you use it?

Cheers,

VN


Vanilla call option struck atm (100) with 2 years to expiry, 20% implied vol, rf 10% and div 5%.

 

[volatileN]

Delta (y axis) price (x axis) time (z axis)

 

[volatileN]

Gamma (y axix) price (x axis) time (z axis)

 

[volatileN]

Theta (y axis), price (x axix) time (z axis)

 

[volatileN]

(Finally)... vega, price and time.

My thinking is that I would bundle this in with the same section of the software that displayed real time implied vol surfaces.

What do you think?

(Note: The graphics here were generated using Rubenstein's software, my own will update in real time using an API with 3rd party data vendors). Speaking of which, who do you use for your options feed?

Thanks,

VN

 

[volatileN]

I could put Rho up but I think that this page is getting a bit graphic intensive!