IB Portfolio Analytics: Greek Values

S

segv

Hello,

I have never used IB's portfolio analytics tool, but I was taking a look at it today. It seems like this thing is dollar-weighting the greeks? Is there a way to turn that off and on?

-segv
 
Hey Segv -- the "portfolio equivalent" feature scales all positions to equal $100 per share. The portfolio risk is the change in greeks based upon a one dollar change [1%] in the portfolio. So the answer is yes.

The greeks are per contract for futures options, not $-weighted.

I don't believe the algorithm can be altered by the user. Also, I cannot get VaR to work in tabular format, but it seems as though the chart is a function of VaR. I get a "query failed" error when attempting to run VaR on an equity-option portfolio. It never worked with a portfolio comprising equity and FOs.
 
Quote from riskarb:

Hey Segv -- the "portfolio equivalent" feature scales all positions to equal $100 per share. The portfolio risk is the change in greeks based upon a one dollar change [1%] in the portfolio. So the answer is yes.

The greeks are per contract for futures options, not $-weighted.

I don't believe the algorithm can be altered by the user. Also, I cannot get VaR to work in tabular format, but it seems as though the chart is a function of VaR. I get a "query failed" error when attempting to run VaR on an equity-option portfolio. It never worked with a portfolio comprising equity and FOs.
More...

Thanks arb. You are ever helpful. :)
 
You must log in or register to reply here.
Back
Top