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Constrain the Query Results

Option Portfolio allows you to constrain the query results in the risk dimensions other than the objective dimension. So, if your goal is to achieve a specific Gamma position, you will be able to constrain the resulting Delta, Vega and Theta. The algorithm imposes the following default constraints:

C o n s t r a i n t s

O

 

Delta

Gamma

Vega

Theta

b

j

e

c

t

i

v

e

Delta

 

 

> 0

> 0

 

Gamma

 

= 0

 

 

 

Vega

 

= 0

 

 

 

Theta

 

= 0

 

 

 

For example, the default Delta constraint ensures that the Gamma and Vega of the Query Results solution are positive.

To override the system defaults, enter a value in one or multiple input fields and click Submit Query.

Next: Evaluate the Solution

Important Disclosures