Portfolio Relative P&L Graph

IB Risk NavigatorSM Portfolio Relative P&L Graph

The Portfolio Relative P&L graph illustrates how the total value of your portfolio (or a subset of your portfolio) will change, based on a percent change in the price(s) of the underlying(s).

Figure A

Figure A shows the portfolio-relative P&L for your entire portfolio, based on the value All Underlyings selected from the Underlying list in the Report Selector.

Figure B

Figure B displays your portfolio-relevant P&L for a subset of your portfolio, including all of your positions in an underlying and its derivatives, based on the underlying selected in the Report Selector Underlying list.

The Confidence Interval, shown within the yellow vertical lines, illustrates the worst-case loss over a one-day period with a default 99.5% confidence level. Use the Confidence subcommand on the Settings menu to toggle between 95%, 99% and 99.5% confidence levels.

Use the Vol-up, Vol-down and T-down checkboxes below the graph to view the plot under different scenarios to help you visualize the volatility and time risk in your option positions. Vol-up raises the implied volatility by 15% in relative change*; Vol-down reduces the implied volatility by 15% in relative change*, and T-down reduces the time to expiry by one calendar day.

*Relative percent change is calculated by multiplying the current implied volatility by 15%, and adding/subtracting this value to/from the current implied volatility. For example, if the current implied volatility of an option is 10%, a 15% relative increase would result in an implied volatility of 11.5%, calculated as follows: 10 + (10 * 0.15) = 11.5% . If the current implied volatility of an option is 42.45%, a 15% relative decrease would result in an implied volatility of 36.082%, calculated as follows: 42.45 - (42.45 * 0.15) = 36.082%.