Option Volatility Curves and Portfolio Scenario Analysis

Summary

The document describes two portfolio analytics displays. The volatility chart plots call and put mid-implied volatilities against strike, alongside a pricing implied-volatility curve, and allows individual option chains to be shown or hidden. Curve data is refreshed through timer events, providing a visual view of the volatility surface across strikes and chains.

The scenario tool varies underlying prices, implied volatility, and time to expiry over selected ranges, then computes portfolio profit and loss or aggregate Delta, Gamma, Theta, or Vega. It combines underlying exposure with option repricing and displays the chosen measure as a three-dimensional surface. It checks that underlying mid-prices are available before running, but the document supplies no validation results or comparison with realized outcomes. The calculations depend on the option pricing and Greek methods provided elsewhere, and the described scenarios are sensitivity analysis rather than forecasts.

Key ideas

• The volatility display compares call and put mid-implied volatility across option strikes.
• A separate pricing implied-volatility curve is plotted alongside the market-derived curves.
• Scenario analysis varies underlying price, volatility, and time to expiry to estimate portfolio changes.
• The output can show profit and loss or aggregate Delta, Gamma, Theta, or Vega.
• Results depend on the underlying pricing and Greek calculation methods and are not forecasts.

Tags

From a private course collection; the original is not published.