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Measure by Price Change and Volatility Change

This report uses the Risk FactorySM system to calculate the theoretical price and a set of risk measures for each position in your portfolio in each of the market outcome scenarios noted in the bulleted list below, and measures the market outcome for the relative portfolio Delta, Gamma, Vega, and Theta.

Note:  You must "Download global risk" from the Settings menu to populate this report.

All other reports in the Risk Navigator use real-time data in their calculations, but values in this report are calculated using the underlying and derivative prices on the close of the previous business day, at multiple positive, negative, and zero percent change scenarios in the underlying price, volatility and interest rate.

Scenarios for each value are:

• Underlying price scenarios: -30%, -20%, -10%, unchanged, +10%, +20%, +30%
• Volatility scenarios: -30%, -15%, unchanged, +15%, +30%
• Interest rate scenarios: -100 bp, -50 bp, unchanged, +50 bp, +100 bp

The scenarios advance the time parameter to the close of the next business day, and the values in the table reflect the scenarios applied to the measure you picked in the Report Selector. Although 175 market outcome scenarios (7x5x5) are calculated for each contract, you can only view a flat slice of these values at one time, due to the limitations imposed by our 2-dimensional display capabilities.

To view the Measure by Price Change and Volatility Change report

1. From the Risk Navigator Report Viewer, select Measure by Price Change and Volatility Change in the Report dropdown.
2. From the Settings menu, select Download global risk.
3. Use the Dimensions>Scenario Risk Matrix menu to change the row and column values to view different scenarios.

You can apply market scenarios to other IB Risk Navigator reports using the drill through feature.

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