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Scenario Analytics

Actionable scenarios for the symbols you need, when you need them.

A fundamental risk management technique is to measure the P&L impact of changes to market conditions. Cboe Hanweck Options Analytics' Scenario Analytics content offers you the ability to see how changes in price, volatility and the passage of time will affect individual securities across the complete universe of listed options and futures. The P&L scenarios for each security are delivered in the familiar form of a data feed. The data feed can be easily combined with in-house risk and position management systems thereby protecting sensitive proprietary portfolio information.

Customizable Scenario Definitions

For each scenario, you can specify different market conditions for individual securities in an easy-to-understand manner.

  • Define price and volatility shocks at various levels of granularity – contract, security, risk factor.
  • Step forward in time, with user-defined exercise rules.
  • Use flexible shock definitions – absolute, percentage, statistical (e.g., standard deviation).
  • Sophisticated volatility skew treatment including “sticky strike” and “sticky delta”.
  • Modify definitions on the fly for immediate effect.

P&L Vectors

Cboe Hanweck Options Analytics' Scenario Analytics is a customizable set of individual scenarios combined into a vector of profit-and-loss calculations delivered as a data feed. Cboe Hanweck does the heavy computational processing and presents the analytics in a familiar and easy-to-integrate format – just like any other data feed.

  • Scenario definitions within a P&L vector can be independently specified for the most flexibility.
  • Customize the number of scenarios, the types of scenarios, as well as the magnitude of the scenarios.
  • Cboe Hanweck's cutting-edge technology can deliver thousands of customized scenarios for each security in real-time.

Real-Time Margin Forecasting

Most exchange portfolio margin calculations are based on scenario analysis techniques – methodologies such as OCC TIMS® and SPAN® are examples. Cboe Hanweck publishes special-case P&L vectors that conform to many exchange margin methodologies.

  • Predict requirements intraday to anticipate potential margin calls later.
  • Anticipate broker-specific “house” margin requirements.

Case Studies

Buy-Side Solutions

Buy-Side Solutions

Learn More about Cboe Hanweck's cutting edge Buy-Side Solutions for Hedge Funds and Asset Managers.

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Portfolio & Margin Analytics

Portfolio & Margin Analytics

Download an Overview of the Cboe Hanweck Margin Engine.

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Options Analytics

Options Analytics

Cboe Hanweck Options Analytics is your “as-a-service” solution for real time, data-enabled, global, risk analytics covering options on equities, ETFs, indices, and futures.

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Contact An Expert

Let us know how we can help and we'll connect you with an expert from the right team.

TIMS®, STANS®, and OCC® are registered trademarks of The Options Clearing Corporation® (OCC). OCC assumes no liability in connection with the use of STANS or TIMS by any person or entity. The current version of TIMS or STANS may not be reflected in the Cboe Hanweck services described herein.

The information in this webpage is provided for general education and information purposes only. No statement(s) within this webpage should be construed as a recommendation to buy or sell a security or futures contract, as applicable or to provide investment advice. Supporting documentation for any claims, comparisons, statistics or other technical data in this webpage is available by contacting Cboe Global Markets at www.cboe.com/contact.

Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of “Characteristics and Risks of Standardized Options.” Copies are available from your broker or from The Options Clearing Corporation at 125 South Franklin Street, Suite 1200, Chicago, IL 60606 or at www.theocc.com.

Brokerage firms may require customers to post higher margins than the minimum margins specified in this webpage.