Risk Report #5
completeGenerated from risk request #5, run at 2026-09-08 02:03:57 UTC. This page is rebuilt from the stored request and result every time it loads, so it always shows the numbers that run actually produced.
What was asked
Market snapshot shared by every instrument in this run:
AMD $477.57, NVDA $230.36.
Which model answered
Full Revalue full_revalue
Reprices the position across a ladder of spot shocks. Measures risk instead of differentiating it.
How it works. Reprices each instrument at each rung of a spot ladder from -20% to +20% and reports the P&L actually observed at each one. Convexity comes from a central difference on a +/-1% repricing, not a formula.
Good for. Stress and scenario work, tail risk, and sanity-checking the analytic Greeks.
Where it stops. One pricing call per rung, so it's far slower than Trader Granular and not something you'd want on a continuously refreshing blotter. The ladder is spot-only, too: it holds implied vol fixed at the level this run used, so it won't capture a vol surface reacting to the spot move.
Book totals
Summed across every open instrument in the book. Each row below is priced off the same market snapshot, so these are consistent with one another even though the instruments belong to different, unrelated positions. The return is recomputed from the totals rather than averaged across rows, because an average of percentages isn't a meaningful return.
Per-instrument breakdown
| Instrument | Position | Qty | Spot used | PV | PnL | Delta | Gamma | Theta | Vega |
|---|---|---|---|---|---|---|---|---|---|
AMD261120C00100000
|
#1 | 100 | $477.57 | $3791236.11 | $-108763.89 | 9950.79 | 0.4230 | -447.54 | 304.48 |
NVDA260824C00225000
|
#2 | 1 | $230.36 | $536.00 | $529.00 | 100.00 | 0.0000 | 0.00 | 0.00 |
| Total | $3791772.11 | $-108234.89 | 10050.79 | 0.4230 | -447.54 | 304.48 | |||
First instrument detail
Units, in order: Present value in $; PnL in $; Worst rung in $; Best rung in $; Delta (measured) in $ per $1; Delta (analytic) in $ per $1; Convexity (measured) in delta per $1; Gamma (analytic) in delta per $1.
Revaluation ladder
The position repriced at each rung, holding implied vol fixed. This is measured P&L, not a Greek approximation, which is why it stays meaningful at the large moves where a local derivative stops being trustworthy.
| Spot shock | Spot | Position value | P&L vs base |
|---|---|---|---|
| -20% | $382.06 | $2843528.03 | -947708.08 |
| -10% | $429.81 | $3316584.67 | -474651.44 |
| -5% | $453.69 | $3553756.82 | -237479.29 |
| -1% | $472.79 | $3743719.03 | -47517.08 |
| +0% | $477.57 | $3791236.11 | +0.00 |
| +1% | $482.35 | $3838762.84 | +47526.73 |
| +5% | $501.45 | $4028957.84 | +237721.73 |
| +10% | $525.33 | $4266872.21 | +475636.10 |
| +20% | $573.08 | $4743132.89 | +951896.78 |
Notes from the model
- Repriced at 9 rungs from -20% to 20%, holding implied vol fixed.