🪜 Risk Analytics / Ladders

Ladder Heat-Map for TTF Sep-25 40/50 Call Spread 

📝 Description

The Ladders heat-map provides a powerful tool to simulate and visualise the impact of different market conditions on an options strategy. By flexing the underlying price, implied volatility, and time, users can evaluate how the strategy’s profit and loss (P&L) evolves across a range of scenarios.

This tool acts as a 3D scenario engine, enabling users to stress test the structure along key dimensions:

• Movements in the underlying price (in price or σ units)
• Changes in implied volatility (% point shifts)
• Passage of time (in days)
• Output: Displayed as P&L (or greeks) values via a color-coded heatmap

Key Use Cases:

• Pre-trade risk analysis: Understand edge cases where trade might underperform.
• What-if simulations: Model behavior during market shocks or volatility spikes.
• Time decay impact: Assess how theta erodes/enhances value over time.
• Scenario prep: Prepare responses for different market paths after entry.

🎛️ Interactive Controls

• Include delta cross to analytics - Add cross to the analytics with the selected structure.
• X-Axis / Y-Axis / Slider  - Select stress dimension for the Heat-map and slider under it.
  • Underlying
  • Implied Vol
  • Aged By
• Output - Choose what is visualised in the heat-map (e.g., P&L).
  • P&L
  • Delta %
  • Delta (lots)
  • Gamma
  • Vega
  • Theta
• Change Inputs - Define simulation ranges.

📌 Chart Components

🔹 Heat-map Panel (Top)

• Grid Values: Shows P&L (greeks) across a matrix of underlying × volatility combinations, after accounting for time decay.
• Color Gradient:
  • Blue = loss
  • Green = profit
  • Deeper shades = more extreme outcomes

🔹 Slider (Bottom)

• 3rd dimension for simulations, e.g. aged by. 

📚 Data Sources

• Structure Pricing: Real-time options models applied to each scenario grid point.
• Greeks & Sensitivities: Embedded within pricing engine.
• Scenario Grid: Dynamically constructed using current underlying price and vol as anchors.

🧩 Interpretation Tips

• Center Cell = Base Case: Represents current market level (0 price & vol shift, no aging).
• Top Right Quadrant: Usually benefits bullish, long-vol structures (↑ price & ↑ IV).
• Bottom Left Quadrant: Typically negative for long gamma or vega — low price and low vol.
• Aging Impacts: As time passes, profitable zones may shrink (theta decay), while risk shifts toward breakeven.