Quantity, strike, C or P, then @price. Shares:
+1000 STK@100. Press Enter to apply.+1000 STK@100. Press Enter to apply.Each leg's volatility comes from the smoothed chain when that box is ticked and the chain has its strike; otherwise from the leg's own trade price; otherwise the flat IV.
The same position laid on its side, RiskIllustrator style: the expiry hockey stick, today's curve, and the what-if date. Hover for the P&L at any price.
Version 0.3. Before expiry, each leg is priced with Black-Scholes at its own volatility, held at its strike as the price moves (sticky strike). Greeks are bump-and-reprice: delta and gamma per 1 point, theta per calendar day, vega per vol point. Dissection is on the Dissect tab.
What each basket gains (blue) or loses (pink) if the market moves from where it is now (gold line) to each price. The filled shape is at expiry; the gold outline is today and the grey outlines are dates in between. One price axis, drawn to scale. Raw is the whole position; the other columns are its pieces and add back to it.
Quantities by strike in every basket, as on the 1997 Dissection Analysis Report. Locks are shown as conversions (+) and reversals (−) at each strike.
Every piece dissected so far. Infuse puts a piece back into the Remnant.
Use the out-of-the-money side only: calls above the market, puts below it, as in the 2013 sheets. Columns can be separated by spaces, tabs or commas, and extra columns are ignored. Strikes must be evenly spaced. A strike with no quote can be left as just the strike.
Raw butterflies come straight from the market's mids and jump around, even below zero. Smoothed butterflies obey the rules and price everything else.
Off = Mark − AdjTV for each strike. The grey whisker is half the bid/ask spread: a bar inside its whisker means the smoothed value sits inside that market.
Charles's columns. Smoothed columns are shaded. Grey rows have a bid of 0.05 or less and are treated as worthless. Negatives show in red parentheses.
Method: the smoothed butterflies are solved exactly. Each fits the marks with tight markets counting more (weight 1 ÷ spread²), changes gradually from strike to strike, and is never negative or larger than its neighbour nearer the peak. V-Sm and AdjTV are then built up from the far wing, as in the 2013 sheets. Source data: The Trading Empress, RiskDoctor, 23 May 2013, pp. 17–18. © Charles M. Cottle.