ZTE Quant Research

This page is structured in 4 sections:

• Custom Strategy
• Strategy Construction
• P&L Visualization & Scenario Analysis
• P&L Summary and Risk Monitor

Custom Strategy

Custom strategy allows user full flexibility in customizing strategy components, positions, and option parameters.

User may start from scratch or select from one of our standard strategy templates and customize to reflect actual market conditions and/or trade ideas, and save the strategy for future reference.

User needs to log in to the website in order to use this function. Visitors may construct, edit and analyze strategy on the fly, but is unable to save the edited strategy for future analysis.

Once logged in, user can perform the following:

• Load: type in a previously saved strategy name and click "Load" button, strategy will be loaded displayed accordingly
• Delete: type in a previously saved strategy name and click "Delete" button, the strategy will be deleted from user's repository
• Save: type in a strategy name to save current strategy for future reference

All saved custom strategies can be used in more advanced functions such as Strategy Comparison.

 

Strategy Construction
Option strategies are usually composed of multiple components (legs). Use this section to add/delete/modify individual strategy legs.

Click "Add new component" to add a new line for editing.

• Common Variables

Option parameters common to all strategy legs are grouped under "Common Variables". Values entered for these variables will be applied to each individual leg.

• Components and Greeks

Other option parameters, such as long vs. short position, call vs. put, strike, days to expiry, volatility, etc. are specific to each strategy component. Enter proper values for each parameter pertinent to specific leg.

To the right of each leg pricing parameters, valuation and several Greek Letters are calculated and displayed for quick reference.

 

P&L Visualization and Scenario Analysis
Strategy P&L against different stock prices for present day and at expiration are displayed in P&L diagram. Mouse over the diagram will show option profit and loss vs. stock price.

The P&L diagram is a dynamic chart that will change according to scenario settings.

Above the chart, there are 3 scenario variables that user may adjust to observe changes in P&L curve:

• Volatility - adjust this value to apply parallel shifts in volatility to all strategy components; accepts both positive and negative shifts
• Risk-free Interest Rate - adjust this value to simulate a change in risk-free rate
• Days Elapsed - adjust this value to simulate any days between strategy inception and first expiry day of all components

 

P&L Summary and Risk Monitor

Numeric P&L summaries along with Greek Letters under adjusted market scenarios are recorded in P&L Summary and Risks Monitor table.

In addition to scenario settings in above section, stock price is also provided here as a variable for ultimate flexibility and detailed analysis.

User will gain valuable experiences and insights by setting various market scenarios, tracking and monitoring changes in P&L and risk metrics.