Resolving liquidity matrix...
Loading listed desk
Size → expiry + T+0 PnL · European BS r=0 research formulas · live mids · greeks · scenarios · research only, not an OMS
Research formulas (European BS, r = 0): expiry payoff vs T+0 model · greeks = structureGreeks(legs, S, σ) · S_T = S · exp((−½σ²)T + σ√T Z) · PoP = share of paths with expiry PnL > 0 (research toy) · simulated P&L, not an OMS, not order execution
Size, T+0 PnL, live mids, scenarios — full catalog & positions on Strategy desk. KPI spot is the ref. Simulated P&L, not an OMS.
| Side | Right | Strike | Expiry | Qty | Premium | IV% | Src | |
|---|---|---|---|---|---|---|---|---|
| seed |
Model greeks at spot 2 · IV per-leg or default 50%. $Δ / 1% Γ / $ν scale by listed contractSize (missing → 1). Unknown inverse vs linear → 1% Γ —. Missing greeks → —. Not venue margin.
Targets are research marks — not live orders. Levels publish to the charts desk and overlay on Chart.
| Spot\IV | -10pt | -5pt | +0pt | +5pt | +10pt |
|---|---|---|---|---|---|
| -10% | — | — | — | — | — |
| -5% | — | — | — | — | — |
| -2% | — | — | — | — | — |
| +0% | — | — | — | — | — |
| +2% | — | — | — | — | — |
| +5% | — | — | — | — | — |
| +10% | — | — | — | — | — |
What this needs (model)
Live mids fill from the listed chain when present. T+0 and greeks are European Black-Scholes at r = 0 on per-leg IV. Monte Carlo PoP is a research toy, not a guarantee. Simulated P&L is not order execution.