P&L across SPX moves
Each name moves by its beta × the SPX move. IV unchanged.
Portfolio dashboard
Every number below is computed from the one ledger on the Positions tab. Hedges you book land in the same ledger, so their effect shows up everywhere at once.
Stress scenarios
Instant shock at today's date.
Greeks by underlying
Delta in share-equivalents (an option contract is 100, an ES future 50 × SPX, MES 5 × SPX).
Positions
Edit a quote and the whole book reprices. Quantities are signed: negative means short.
Ledger
Add stock or ETF
SPX is an index: hold it through options or ES/MES futures.
Add option leg
Enter a leg exactly as your broker filled it. Leave Entry blank to use the model price.
Market
Illustrative quotes. Beta is versus SPX; IV in vol points.
Used by the Monte Carlo and the optimizer: −1 means every option's IV rises 1 point for each 1% the market falls. 0 keeps IV fixed. This is your assumption, not a fitted skew. Entry prices don't include it, so treat the risk numbers as a stress view while it is set.
Strategy builder
Templates become individual legs priced with Black–Scholes. Each leg keeps its own expiry and IV. Edit any strike in the preview to match your fill, and enter your fill price for the whole combo to spread it across the legs.
Preview
Hedging
Each hedge is proposed first with its before and after numbers. Booking it adds a real position to the ledger, which you can remove later. CVaR here measures the tail under the same risk-neutral paths as the Risk view. It shows how much a hedge cuts the worst outcomes, not whether the hedge leg itself will make money.
Delta hedge
Shares to a delta target. SPX uses MES futures.
Gamma hedge
ATM options to a gamma target.
SPX beta hedge
Offset beta dollars with futures or SPY.
Booked hedges
Portfolio risk
Monte Carlo over the whole book. One market factor drives every name through its beta, plus each name's own noise, so the names move together the way their betas say.
Distribution of P&L at the horizon
Risk surface
The whole book is repriced at every cell. Columns are SPX moves; rows are IV shifts or days forward.
Cells show the signed value. Loss is rust and gain is green, and both carry a sign so the colour is never the only cue.
Hedge optimizer
Searches whole-contract quantities of an index future and an ATM option together. It minimises a weighted sum of beta dollars, gamma, vega, CVaR and trading cost, each measured against the unhedged book.
Result
Set the weights and press “Find hedge”. The search runs in your browser on 2,000 simulated paths.
Method and limits
Pricing
European Black–Scholes with a flat risk-free rate and no dividends. Each leg keeps its own days to expiry and IV, and a strategy is stored as its individual legs. A fill price entered for a whole combo is spread across its legs in proportion to their model prices, so the legs add up to your fill. A roll (changing a leg's strike or days) closes the old leg at its model mark, which realizes its P&L on the combo's subtotal and in the roll history, and opens the new leg at its model mark. Model marks stand in for fills; edit Entry to your real one. Removing a leg deletes it without realizing anything. Delta and gamma are in share-equivalents, vega is dollars per vol point and theta is dollars per calendar day.
Beta and futures
Beta dollars are Σ Δ·S·β. "Gamma, 1% SPX move" is the quadratic term Σ ½·Γ·(S·β·1%)², an approximation that drifts from full repricing for short-dated or large books. ES (50 × SPX) and MES (5 × SPX) are booked as futures at the SPX level, with no basis, roll, margin or cash flows modelled. A one-point SPX rise pays 50 per ES contract.
Monte Carlo
A one-factor model: the market factor has SPX's IV, and each name's log return is β·market + own noise, with the noise sized so total volatility matches the name's IV. If β × SPX IV is above a name's own IV, its market loading is capped at IV ÷ SPX IV so it keeps its IV. Paths are risk-neutral: every price drifts at the risk-free rate, the same assumption the option prices use, so with IV held fixed a fairly priced option has zero expected P&L. Mean P&L and POP therefore carry no equity risk premium. Options are repriced with the time left at the horizon, and the horizon is capped at the nearest option expiry. IV stays fixed unless you set "IV change per 1% SPX move" in the Market card. That setting shifts every option's IV with each path's market move (−1 means IV rises 1 point per 1% drop). It is a single assumption, not a fitted volatility surface. Entry prices don't include it, so once it is set, mean P&L, POP and CVaR lean toward long-vega books (a long ATM straddle shows about +$170 mean P&L over 5 days at −5). Read them as a stress view, not a fair-value expectation. POP is the share of paths with a gain, CVaR 95 is the average loss over the worst 5% of paths, and Sortino is mean P&L over downside deviation at the horizon (target 0, not annualised).
Optimizer
Coordinate search on whole contracts, starting from no hedge and halving the step size. Weights below zero count as zero. Every candidate is scored on the same simulated paths, so differences between candidates are not sampling noise. The objective terms are relative to the unhedged book, where 1.0 means "unchanged".
Not modelled
- Margin, buying power, assignment and early exercise.
- Live market data. The quotes are examples you can edit.
- A volatility skew or smile by strike. The Monte Carlo only has the single spot-vol assumption above.
- Bid–ask spreads, beyond the optimizer's flat cost per contract.
Educational tool. Not investment advice.