Risk Metrics for TTF Sep-25 40/50 Call Spread
📝 Description
The Risk Metrics Table offers a transparent breakdown of a structure’s market value, directional exposure, and delta risk by option leg. It is designed for risk managers and traders who need clear and immediate visibility into the economic impact of current positions.
This table summarises key risk and valuation metrics across the structure's constituent legs, including:
- Total market value of the structure
- Separation of long vs short option value
- Delta exposures at market value and contract levels
It helps users assess net exposure, validate hedge effectiveness, and understand directional bias.
🎛️ Interactive Controls
- Include delta cross to analytics - Add cross to the analytics with the selected structure.
📌 Table Components
Header Summary
Market Value - Gross value of the current position (all legs combined).
Net Option Value - Net result of all long and short options' mark-to-market values.
Long Option Value - Total market value of long legs.
Short Option Value - Total market value of short legs (shown as negative).
Leg-Level Breakdown Table
- Underlying Id - Ticker/symbol of the underlying asset (e.g., COM.TTF).
- Type - Option type: c = Call, p = Put.
- Expiry - Option expiration date.
- Strike - Strike price of the option.
- Lots - Quantity held (positive = long, negative = short).
- Market Value - Current mark-to-market value of the leg.
- Delta Market Value - Dollar value sensitivity to underlying moves.
- Delta Contract - Sensitivity in contract units — useful for hedge sizing.
Total Row
- Aggregates all metrics across the entire position.
- Gives a high-level view of total directional bias and market risk.
🧩 Interpretation Tips
- Delta Market Value vs Delta Contract:
- The first shows dollar exposure.
- The second helps determine how many contracts to buy/sell for hedging.
- Positive Net Delta: Strategy benefits from rising underlying.
- Negative Net Delta: Strategy profits from underlying falling.
- Large Short Option Value: May signal premium collection strategies (e.g., spreads).
- Unbalanced Delta: Suggests directional exposure — may need hedging.
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