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Screen 6:  Portfolio Sensitivities

This module provides important trading and hedging information about any position you want to construct using options and the underlying asset.  In particular, it provides relevant information about the sensitivity of a position, containing the underlying asset and options, with respect to all the predicted drivers of option prices.

For example, the following types of questions can be answered:

If the underlying asset price remains constant as time passes does my position decay (i.e. lose value)?

How sensitive is my position to changes in the underlying asset price?

Suppose I want to reduce my position's exposure to price shifts by using a dynamic delta hedging strategy.  Over what range of prices do I face the most liquidity risk (i.e. where does my position have maximal gamma risk)?

The conceptual details behind this module are provided with the calculator's lesson support (scroll down to the lessons on Sensitivity Lessons).   The difference between the Sensitivity topic in the Calculator and this current topic is that the former applies to a single option contract, whereas the current applies to a position consisting of both options and the underlying.  The underlying concepts, however, are identical.

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