Report Metrics

Metrics

Description

Size columns...

Position size

Select Position size to display your (signed) position in the contract. A short position is depicted by a "-" minus sign.

Choose "None" to remove the Position field from your report.

Value columns...

Unrealized P&L

(%)

(Market value of positions) - (average cost)

(Market value of positions) - (average cost) shown as a percentage.

(Market value of positions since close of period*) - (average cost for these positions).

*Cut-off times for determining realized P&L for transactions are as follows:

•    20:30 ET for securities

•    Two periods for futures: 17:30 ET and 7:10 ET

Total P&L

The "unrealized" Average Cost P&L is shown in total, per underlying, and for each position.

(current price - prior day's closing price) x (total number of outstanding shares) + (New Position calculation for all new positions)

Price

The current market price of one unit of the contract.

Current market value of the position.

Position x Multiplier x Price

The ratio of the current value to the total net liquidity of the portfolio.

For CFDS and futures: The ratio of the Daily P&L to the total net liquidity of the portfolio.

Time Value

The (price) x (position).

Conversion Rate

Displays the rate used to convert non-base positions into the base currency.

VAR

Value at Risk (VAR) represents the minimum expected loss under normal market conditions over a specific time horizon, and based on the percent probability as defined by the confidence level. This is a theoretical value and does not represent the potential worst-case loss scenario.

Note:    In cases where the VAR cannot be calculated, the notation "N/A" is displayed on a violet background.

Position Risk columns...

Delta

This position delta captures both the direction and the magnitude of the portfolio's sensitivity to an underlying by representing the degree and direction of change in the option price, based on a change in the price of the underlying.

We use a capital "D" to differentiate the IB Risk Navigator position Delta from the contract delta. Position Delta is calculated as (delta * position).

Delta Dollars is calculated using the formula:

delta x underlying price.

Futures Delta

This column is derived from raw position delta. For each futures position or futures option position with this future as direct underlying, futures delta = (delta / exp(r*T)) / futureMultiplier, where futureMultiplier is the contract multiplier of future, exp(r*T) is the scaling factor that we currently apply to raw delta; dividing by it yields the original raw delta.

Gamma

Gamma helps you assess directional risk by defining the speed at which the option's directional changes will occur, i.e. the rate of change of delta.

We use a capital "G" to differentiate the IB Risk Navigator "position Gamma" calculated as (gamma * position) from the contract gamma calculation.

Gamma Dollars is calculated using the formula:

0.5 x Gamma x (Underlying Price x 1%)²

Vega

Vega represents the portfolio's sensitivity to changes in implied volatility of the underlyings, and shows the change in the price of an option relative to a change in the implied volatility of the underlying. Generally long option positions benefit from rising (and suffer from declining) implied volatilities, while short option positions experience the opposite - they benefit from declining (and suffer from rising) implied volatilities.

We use a capital "V" to differentiate the IB Risk Navigator "position Vega" calculated as (vega * position) from the contract vega calculation.

Theta

Theta represents the portfolio's sensitivity to the passage of time by indicating the rate at which the market value of your portfolio will change with time. This metric calculation is based on the assumption that all other variables remain unchanged, including the underlying price, implied volatility and interest rate.

We use a capital "T" to differentiate the IB Risk Navigator "position Theta" calculated as (theta * position) from the contract theta calculation.

The "unrealized" Average Cost P&L is shown in total, per underlying, and for each position.

The current market price of one unit of the contract.

Hedge

Adds a new column with checkbox, which allows you to select multiple subportfolios by underlying (a subportfolio includes all of your positions in an underlying and its derivatives) and create a basket of hedge orders to offset the deltas of each subportfolio.

For What-If only: If you want to add a what-if position to your real portfolio, check the "Trade" checkbox to tag the position for order creation. When you click the "Trade" button at the top of the What-if, an order will be created in TWS. The order quantity will reflect the difference between your current position and the what-if quantity so that the result will mimic the what-if position as closely as possible. You need to manually transmit the order(s).