IB Risk NavigatorSM Risk by Position Report
The Risk by Position report displays risk measures calculated for each position, by underlying.
To view the Risk by Position report
On the Analytics menu, select IB Risk NavigatorSM.
In the Report Viewer, select Risk by Position in the Report dropdown.
Use the Underlying and Measure lists to define your report criteria.
If you elect to view metrics for only a single underlying, the report will not display the Underlying column as shown above.
The table belows describes the available metrics and measures for the Risk by Position report.
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Metrics |
Description |
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Your (signed) position in the contract. A short position is indicated by the "-" (minus) sign. |
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The current market price of one unit of the contract.
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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 comparisons between classes. |
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Delta captures both the direction and the magnitude of the portfolio's sensitivity to an underlier by representing the degree and direction of change in the option price, based on a change in the price of the underlier. We use a capital "D" to differentiate the IB Risk Navigator "position Delta" calculated as (delta * position) from the greek delta calculation. |
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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. |
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Vega represents the portfolio's sensitivity to changes in implied volatility of the underliers, and reflects the change in the price of an option relative to a change in the implied volatility of the underlier. 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. |
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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. |
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