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...

VAR

Value at Risk (VAR) is a measure of market exposure. It shows the greatest expected loss over a one-day period, with 99.5% confidence.

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

P&L

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

Price

The current market price of one unit of the contract.

Value

The (price) x (position).

Conversion Rate

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

Greeks columns...

Exposure

The exposure is calculated using the formula: position x delta x multiplier x underlying price.

NOTE: The exposure for each asset class is converted to a share-equivalent value for easy comparison between classes.

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" calculated as (delta * position) from the greek delta calculation.

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 greek gamma calculation.

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 greek 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 greek theta calculation.