Portfolio Analytics - Dimension Summary
Each Greek value represents a different dimension of risk. The Dimension Summary page tabulates the total risk by underlying and expiry for each of these risk dimensions.
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Dimension Summary Tab |
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Risk Dimension |
Description |
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Delta |
Delta represents the change in an option price relative to a change in the price of the underlying. Each cell in the expiry column(s) represents the sum of all Delta risk positions for the given underlying and expiry. |
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Gamma |
Gamma represents the rate of change of Delta. Each cell in the expiry column(s) represents the sum of all Gamma risk positions for the given underlying and expiry. |
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Vega |
Vega represents the change in an option price relative to a change in volatility. Each cell in the expiry column(s) represents the sum of all Vega risk positions for the given underlying and expiry. |
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Theta |
Theta represents the time-value decay. Each cell in the expiry column(s) represents the sum of all Theta risk positions for the given underlying and expiry. |
A Portfolio Value plot can be seen at the bottom left of the window. It shows the change in portfolio market value over a range of underlying price changes.