Scenario Analysis
Stress an option book: reprice every position in full across a grid of spot moves and volatility shifts at a horizon you choose, and see which scenarios hurt most.
Learning focus: an option book's value is not linear in the spot price, so the Greeks describe small moves well but only full revaluation shows what a large move, a volatility shock and the passage of time do together.
Each range must be a whole number of steps, up to 10 each way.
Long positions add value and written (or short) positions subtract it. Each option has its own strike, expiry and volatility; leave Vol % blank to use the market volatility. The default is a written at-the-money straddle made delta-neutral with 14 shares.
Each cell is the profit or loss from repricing every position in full at that spot and volatility after the horizon; hover a cell for its value.
| Vol shift \ spot | −20% | −15% | −10% | −5% | 0% | +5% | +10% | +15% | +20% |
|---|---|---|---|---|---|---|---|---|---|
| +10 pts | −1,447 | −997 | −648 | −427 | −347 | −403 | −576 | −838 | −1,166 |
| +5 pts | −1,400 | −906 | −508 | −250 | −158 | −228 | −432 | −733 | −1,095 |
| 0 pts | −1,375 | −840 | −384 | −77 | 31 | −61 | −310 | −656 | −1,053 |
| −5 pts | −1,367 | −805 | −288 | 89 | 220 | 89 | −222 | −616 | −1,038 |
| −10 pts | −1,366 | −797 | −235 | 237 | 407 | 205 | −181 | −606 | −1,036 |
| Scenario | Spot move | Vol shift (pts) | P&L |
|---|---|---|---|
| Crash | −20% | +10 | −1,447.08 |
| Rally | +10% | −5 | −221.76 |
| Vol crush | 0% | −10 | 406.74 |
Three common stresses at the same horizon, valued in full whatever the grid range.
With volatility unchanged, the dashed delta–gamma parabola tracks the full revaluation for small moves and drifts away for large ones; the third line adds the time decay over the horizon.