> ## Documentation Index
> Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
> Use this file to discover all available pages before exploring further.

# Expected Shortfall

> Reference for the Expected Shortfall measures in the Sensitivities Cube.

## Taylor ES

| Measure                    | Description                                                                             | Relevant context values                   |
| -------------------------- | --------------------------------------------------------------------------------------- | ----------------------------------------- |
| Taylor ES                  | Expected Shortfall with contextual confidence level                                     | [ESConfidenceLevel](../../context-values) |
| Taylor ES 97.5             | Expected Shortfall with fixed confidence level of 97.5%                                 |                                           |
| Taylor ES 99               | Expected Shortfall with fixed confidence level of 99%                                   |                                           |
| Correlation Taylor ES      | Expected Shortfall with contextual confidence level for the Correlation sensitivity     | [ESConfidenceLevel](../../context-values) |
| Correlation Taylor ES 97.5 | Expected Shortfall with fixed confidence level of 97.5% for the Correlation sensitivity |                                           |
| Correlation Taylor ES 99   | Expected Shortfall with fixed confidence level of 99% for the Correlation sensitivity   |                                           |
| CrossGamma Taylor ES       | Expected Shortfall with contextual confidence level for the CrossGamma sensitivity      | [ESConfidenceLevel](../../context-values) |
| CrossGamma Taylor ES 97.5  | Expected Shortfall with fixed confidence level of 97.5% for the CrossGamma sensitivity  |                                           |
| CrossGamma Taylor ES 99    | Expected Shortfall with fixed confidence level of 99% for the CrossGamma sensitivity    |                                           |
| Delta Taylor ES            | Expected Shortfall with contextual confidence level for the Delta sensitivity           | [ESConfidenceLevel](../../context-values) |
| Delta Taylor ES 97.5       | Expected Shortfall with fixed confidence level of 97.5% for the Delta sensitivity       |                                           |
| Delta Taylor ES 99         | Expected Shortfall with fixed confidence level of 99% for the Delta sensitivity         |                                           |
| Gamma Taylor ES            | Expected Shortfall with contextual confidence level for the Gamma sensitivity           | [ESConfidenceLevel](../../context-values) |
| Gamma Taylor ES 97.5       | Expected Shortfall with fixed confidence level of 97.5% for the Gamma sensitivity       |                                           |
| Gamma Taylor ES 99         | Expected Shortfall with fixed confidence level of 99% for the Gamma sensitivity         |                                           |
| Vanna Taylor ES            | Expected Shortfall with contextual confidence level for the Vanna sensitivity           | [ESConfidenceLevel](../../context-values) |
| Vanna Taylor ES 97.5       | Expected Shortfall with fixed confidence level of 97.5% for the Vanna sensitivity       |                                           |
| Vanna Taylor ES 99         | Expected Shortfall with fixed confidence level of 99% for the Vanna sensitivity         |                                           |
| Vega Taylor ES             | Expected Shortfall with contextual confidence level for the Vega sensitivity            | [ESConfidenceLevel](../../context-values) |
| Vega Taylor ES 97.5        | Expected Shortfall with fixed confidence level of 97.5% for the Vega sensitivity        |                                           |
| Vega Taylor ES 99          | Expected Shortfall with fixed confidence level of 99% for the Vega sensitivity          |                                           |
| Volga Taylor ES            | Expected Shortfall with contextual confidence level for the Volga sensitivity           | [ESConfidenceLevel](../../context-values) |
| Volga Taylor ES 97.5       | Expected Shortfall with fixed confidence level of 97.5% for the Volga sensitivity       |                                           |
| Volga Taylor ES 99         | Expected Shortfall with fixed confidence level of 99% for the Volga sensitivity         |                                           |

## DtD

| Measure                        | Description                                                                                                | Relevant context values                   |
| ------------------------------ | ---------------------------------------------------------------------------------------------------------- | ----------------------------------------- |
| Taylor ES DtD                  | DtD difference for Expected Shortfall with contextual confidence level                                     | [ESConfidenceLevel](../../context-values) |
| Taylor ES 97.5 DtD             | DtD difference for Expected Shortfall with fixed confidence level of 97.5%                                 |                                           |
| Taylor ES 99 DtD               | DtD difference for Expected Shortfall with fixed confidence level of 99%                                   |                                           |
| Correlation Taylor ES DtD      | DtD difference for Expected Shortfall with contextual confidence level for the Correlation sensitivity     | [ESConfidenceLevel](../../context-values) |
| Correlation Taylor ES 97.5 DtD | DtD difference for Expected Shortfall with fixed confidence level of 97.5% for the Correlation sensitivity |                                           |
| Correlation Taylor ES 99 DtD   | DtD difference for Expected Shortfall with fixed confidence level of 99% for the Correlation sensitivity   |                                           |
| CrossGamma Taylor ES DtD       | DtD difference for Expected Shortfall with contextual confidence level for the CrossGamma sensitivity      | [ESConfidenceLevel](../../context-values) |
| CrossGamma Taylor ES 97.5 DtD  | DtD difference for Expected Shortfall with fixed confidence level of 97.5% for the CrossGamma sensitivity  |                                           |
| CrossGamma Taylor ES 99 DtD    | DtD difference for Expected Shortfall with fixed confidence level of 99% for the CrossGamma sensitivity    |                                           |
| Delta Taylor ES DtD            | DtD difference for Expected Shortfall with contextual confidence level for the Delta sensitivity           | [ESConfidenceLevel](../../context-values) |
| Delta Taylor ES 97.5 DtD       | DtD difference for Expected Shortfall with fixed confidence level of 97.5% for the Delta sensitivity       |                                           |
| Delta Taylor ES 99 DtD         | DtD difference for Expected Shortfall with fixed confidence level of 99% for the Delta sensitivity         |                                           |
| Gamma Taylor ES DtD            | DtD difference for Expected Shortfall with contextual confidence level for the Gamma sensitivity           | [ESConfidenceLevel](../../context-values) |
| Gamma Taylor ES 97.5 DtD       | DtD difference for Expected Shortfall with fixed confidence level of 97.5% for the Gamma sensitivity       |                                           |
| Gamma Taylor ES 99 DtD         | DtD difference for Expected Shortfall with fixed confidence level of 99% for the Gamma sensitivity         |                                           |
| Vanna Taylor ES DtD            | DtD difference for Expected Shortfall with contextual confidence level for the Vanna sensitivity           | [ESConfidenceLevel](../../context-values) |
| Vanna Taylor ES 97.5 DtD       | DtD difference for Expected Shortfall with fixed confidence level of 97.5% for the Vanna sensitivity       |                                           |
| Vanna Taylor ES 99 DtD         | DtD difference for Expected Shortfall with fixed confidence level of 99% for the Vanna sensitivity         |                                           |
| Vega Taylor ES DtD             | DtD difference for Expected Shortfall with contextual confidence level for the Vega sensitivity            | [ESConfidenceLevel](../../context-values) |
| Vega Taylor ES 97.5 DtD        | DtD difference for Expected Shortfall with fixed confidence level of 97.5% for the Vega sensitivity        |                                           |
| Vega Taylor ES 99 DtD          | DtD difference for Expected Shortfall with fixed confidence level of 99% for the Vega sensitivity          |                                           |
| Volga Taylor ES DtD            | DtD difference for Expected Shortfall with contextual confidence level for the Volga sensitivity           | [ESConfidenceLevel](../../context-values) |
| Volga Taylor ES 97.5 DtD       | DtD difference for Expected Shortfall with fixed confidence level of 97.5% for the Volga sensitivity       |                                           |
| Volga Taylor ES 99 DtD         | DtD difference for Expected Shortfall with fixed confidence level of 99% for the Volga sensitivity         |                                           |

## DtD % difference

| Measure                                     | Description                                                                                                     | Relevant context values                   |
| ------------------------------------------- | --------------------------------------------------------------------------------------------------------------- | ----------------------------------------- |
| Taylor ES DtD % Difference                  | DtD difference in % for Expected Shortfall with contextual confidence level                                     | [ESConfidenceLevel](../../context-values) |
| Taylor ES 97.5 DtD % Difference             | DtD difference in % for Expected Shortfall with fixed confidence level of 97.5%                                 |                                           |
| Taylor ES 99 DtD % Difference               | DtD difference in % for Expected Shortfall with fixed confidence level of 99%                                   |                                           |
| Correlation Taylor ES DtD % Difference      | DtD difference in % for Expected Shortfall with contextual confidence level for the Correlation sensitivity     | [ESConfidenceLevel](../../context-values) |
| Correlation Taylor ES 97.5 DtD % Difference | DtD difference in % for Expected Shortfall with fixed confidence level of 97.5% for the Correlation sensitivity |                                           |
| Correlation Taylor ES 99 DtD % Difference   | DtD difference in % for Expected Shortfall with fixed confidence level of 99% for the Correlation sensitivity   |                                           |
| CrossGamma Taylor ES DtD % Difference       | DtD difference in % for Expected Shortfall with contextual confidence level for the CrossGamma sensitivity      | [ESConfidenceLevel](../../context-values) |
| CrossGamma Taylor ES 97.5 DtD % Difference  | DtD difference in % for Expected Shortfall with fixed confidence level of 97.5% for the CrossGamma sensitivity  |                                           |
| CrossGamma Taylor ES 99 DtD % Difference    | DtD difference in % for Expected Shortfall with fixed confidence level of 99% for the CrossGamma sensitivity    |                                           |
| Delta Taylor ES DtD % Difference            | DtD difference in % for Expected Shortfall with contextual confidence level for the Delta sensitivity           | [ESConfidenceLevel](../../context-values) |
| Delta Taylor ES 97.5 DtD % Difference       | DtD difference in % for Expected Shortfall with fixed confidence level of 97.5% for the Delta sensitivity       |                                           |
| Delta Taylor ES 99 DtD % Difference         | DtD difference in % for Expected Shortfall with fixed confidence level of 99% for the Delta sensitivity         |                                           |
| Gamma Taylor ES DtD % Difference            | DtD difference in % for Expected Shortfall with contextual confidence level for the Gamma sensitivity           | [ESConfidenceLevel](../../context-values) |
| Gamma Taylor ES 97.5 DtD % Difference       | DtD difference in % for Expected Shortfall with fixed confidence level of 97.5% for the Gamma sensitivity       |                                           |
| Gamma Taylor ES 99 DtD % Difference         | DtD difference in % for Expected Shortfall with fixed confidence level of 99% for the Gamma sensitivity         |                                           |
| Vanna Taylor ES DtD % Difference            | DtD difference in % for Expected Shortfall with contextual confidence level for the Vanna sensitivity           | [ESConfidenceLevel](../../context-values) |
| Vanna Taylor ES 97.5 DtD % Difference       | DtD difference in % for Expected Shortfall with fixed confidence level of 97.5% for the Vanna sensitivity       |                                           |
| Vanna Taylor ES 99 DtD % Difference         | DtD difference in % for Expected Shortfall with fixed confidence level of 99% for the Vanna sensitivity         |                                           |
| Vega Taylor ES DtD % Difference             | DtD difference in % for Expected Shortfall with contextual confidence level for the Vega sensitivity            | [ESConfidenceLevel](../../context-values) |
| Vega Taylor ES 97.5 DtD % Difference        | DtD difference in % for Expected Shortfall with fixed confidence level of 97.5% for the Vega sensitivity        |                                           |
| Vega Taylor ES 99 DtD % Difference          | DtD difference in % for Expected Shortfall with fixed confidence level of 99% for the Vega sensitivity          |                                           |
| Volga Taylor ES DtD % Difference            | DtD difference in % for Expected Shortfall with contextual confidence level for the Volga sensitivity           | [ESConfidenceLevel](../../context-values) |
| Volga Taylor ES 97.5 DtD % Difference       | DtD difference in % for Expected Shortfall with fixed confidence level of 97.5% for the Volga sensitivity       |                                           |
| Volga Taylor ES 99 DtD % Difference         | DtD difference in % for Expected Shortfall with fixed confidence level of 99% for the Volga sensitivity         |                                           |

## Previous

| Measure                             | Description                                                                                                     | Relevant context values                   |
| ----------------------------------- | --------------------------------------------------------------------------------------------------------------- | ----------------------------------------- |
| Taylor ES Previous                  | The Expected Shortfall of the previous day with contextual confidence level                                     | [ESConfidenceLevel](../../context-values) |
| Taylor ES 97.5 Previous             | The Expected Shortfall of the previous day with fixed confidence level of 97.5%                                 |                                           |
| Taylor ES 99 Previous               | The Expected Shortfall of the previous day with fixed confidence level of 99%                                   |                                           |
| Correlation Taylor ES Previous      | The Expected Shortfall of the previous day with contextual confidence level for the Correlation sensitivity     | [ESConfidenceLevel](../../context-values) |
| Correlation Taylor ES 97.5 Previous | The Expected Shortfall of the previous day with fixed confidence level of 97.5% for the Correlation sensitivity |                                           |
| Correlation Taylor ES 99 Previous   | The Expected Shortfall of the previous day with fixed confidence level of 99% for the Correlation sensitivity   |                                           |
| CrossGamma Taylor ES Previous       | The Expected Shortfall of the previous day with contextual confidence level for the CrossGamma sensitivity      | [ESConfidenceLevel](../../context-values) |
| CrossGamma Taylor ES 97.5 Previous  | The Expected Shortfall of the previous day with fixed confidence level of 97.5% for the CrossGamma sensitivity  |                                           |
| CrossGamma Taylor ES 99 Previous    | The Expected Shortfall of the previous day with fixed confidence level of 99% for the CrossGamma sensitivity    |                                           |
| Delta Taylor ES Previous            | The Expected Shortfall of the previous day with contextual confidence level for the Delta sensitivity           | [ESConfidenceLevel](../../context-values) |
| Delta Taylor ES 97.5 Previous       | The Expected Shortfall of the previous day with fixed confidence level of 97.5% for the Delta sensitivity       |                                           |
| Delta Taylor ES 99 Previous         | The Expected Shortfall of the previous day with fixed confidence level of 99% for the Delta sensitivity         |                                           |
| Gamma Taylor ES Previous            | The Expected Shortfall of the previous day with contextual confidence level for the Gamma sensitivity           | [ESConfidenceLevel](../../context-values) |
| Gamma Taylor ES 97.5 Previous       | The Expected Shortfall of the previous day with fixed confidence level of 97.5% for the Gamma sensitivity       |                                           |
| Gamma Taylor ES 99 Previous         | The Expected Shortfall of the previous day with fixed confidence level of 99% for the Gamma sensitivity         |                                           |
| Vanna Taylor ES Previous            | The Expected Shortfall of the previous day with contextual confidence level for the Vanna sensitivity           | [ESConfidenceLevel](../../context-values) |
| Vanna Taylor ES 97.5 Previous       | The Expected Shortfall of the previous day with fixed confidence level of 97.5% for the Vanna sensitivity       |                                           |
| Vanna Taylor ES 99 Previous         | The Expected Shortfall of the previous day with fixed confidence level of 99% for the Vanna sensitivity         |                                           |
| Vega Taylor ES Previous             | The Expected Shortfall of the previous day with contextual confidence level for the Vega sensitivity            | [ESConfidenceLevel](../../context-values) |
| Vega Taylor ES 97.5 Previous        | The Expected Shortfall of the previous day with fixed confidence level of 97.5% for the Vega sensitivity        |                                           |
| Vega Taylor ES 99 Previous          | The Expected Shortfall of the previous day with fixed confidence level of 99% for the Vega sensitivity          |                                           |
| Volga Taylor ES Previous            | The Expected Shortfall of the previous day with contextual confidence level for the Volga sensitivity           | [ESConfidenceLevel](../../context-values) |
| Volga Taylor ES 97.5 Previous       | The Expected Shortfall of the previous day with fixed confidence level of 97.5% for the Volga sensitivity       |                                           |
| Volga Taylor ES 99 Previous         | The Expected Shortfall of the previous day with fixed confidence level of 99% for the Volga sensitivity         |                                           |

## LEstimated booking

| Measure                                       | Description                                                                                                                  |
| --------------------------------------------- | ---------------------------------------------------------------------------------------------------------------------------- |
| Taylor ES LEstimated Booking                  | Contribution of the upper Booking of Expected Shortfall with contextual confidence level                                     |
| Taylor ES 97.5 LEstimated Booking             | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 97.5%                                 |
| Taylor ES 99 LEstimated Booking               | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 99%                                   |
| Correlation Taylor ES LEstimated Booking      | Contribution of the upper Booking of Expected Shortfall with contextual confidence level for the Correlation sensitivity     |
| Correlation Taylor ES 97.5 LEstimated Booking | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 97.5% for the Correlation sensitivity |
| Correlation Taylor ES 99 LEstimated Booking   | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 99% for the Correlation sensitivity   |
| CrossGamma Taylor ES LEstimated Booking       | Contribution of the upper Booking of Expected Shortfall with contextual confidence level for the CrossGamma sensitivity      |
| CrossGamma Taylor ES 97.5 LEstimated Booking  | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 97.5% for the CrossGamma sensitivity  |
| CrossGamma Taylor ES 99 LEstimated Booking    | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 99% for the CrossGamma sensitivity    |
| Delta Taylor ES LEstimated Booking            | Contribution of the upper Booking of Expected Shortfall with contextual confidence level for the Delta sensitivity           |
| Delta Taylor ES 97.5 LEstimated Booking       | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 97.5% for the Delta sensitivity       |
| Delta Taylor ES 99 LEstimated Booking         | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 99% for the Delta sensitivity         |
| Gamma Taylor ES LEstimated Booking            | Contribution of the upper Booking of Expected Shortfall with contextual confidence level for the Gamma sensitivity           |
| Gamma Taylor ES 97.5 LEstimated Booking       | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 97.5% for the Gamma sensitivity       |
| Gamma Taylor ES 99 LEstimated Booking         | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 99% for the Gamma sensitivity         |
| Vanna Taylor ES LEstimated Booking            | Contribution of the upper Booking of Expected Shortfall with contextual confidence level for the Vanna sensitivity           |
| Vanna Taylor ES 97.5 LEstimated Booking       | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 97.5% for the Vanna sensitivity       |
| Vanna Taylor ES 99 LEstimated Booking         | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 99% for the Vanna sensitivity         |
| Vega Taylor ES LEstimated Booking             | Contribution of the upper Booking of Expected Shortfall with contextual confidence level for the Vega sensitivity            |
| Vega Taylor ES 97.5 LEstimated Booking        | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 97.5% for the Vega sensitivity        |
| Vega Taylor ES 99 LEstimated Booking          | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 99% for the Vega sensitivity          |
| Volga Taylor ES LEstimated Booking            | Contribution of the upper Booking of Expected Shortfall with contextual confidence level for the Volga sensitivity           |
| Volga Taylor ES 97.5 LEstimated Booking       | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 97.5% for the Volga sensitivity       |
| Volga Taylor ES 99 LEstimated Booking         | Contribution of the upper Booking of Expected Shortfall with fixed confidence level of 99% for the Volga sensitivity         |

## LEstimated reference level

| Measure                                               | Description                                                                                                                          |
| ----------------------------------------------------- | ------------------------------------------------------------------------------------------------------------------------------------ |
| Taylor ES LEstimated Reference Level                  | Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level                                     |
| Taylor ES 97.5 LEstimated Reference Level             | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 97.5%                                 |
| Taylor ES 99 LEstimated Reference Level               | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 99%                                   |
| Correlation Taylor ES LEstimated Reference Level      | Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level for the Correlation sensitivity     |
| Correlation Taylor ES 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 97.5% for the Correlation sensitivity |
| Correlation Taylor ES 99 LEstimated Reference Level   | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 99% for the Correlation sensitivity   |
| CrossGamma Taylor ES LEstimated Reference Level       | Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level for the CrossGamma sensitivity      |
| CrossGamma Taylor ES 97.5 LEstimated Reference Level  | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 97.5% for the CrossGamma sensitivity  |
| CrossGamma Taylor ES 99 LEstimated Reference Level    | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 99% for the CrossGamma sensitivity    |
| Delta Taylor ES LEstimated Reference Level            | Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level for the Delta sensitivity           |
| Delta Taylor ES 97.5 LEstimated Reference Level       | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 97.5% for the Delta sensitivity       |
| Delta Taylor ES 99 LEstimated Reference Level         | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 99% for the Delta sensitivity         |
| Gamma Taylor ES LEstimated Reference Level            | Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level for the Gamma sensitivity           |
| Gamma Taylor ES 97.5 LEstimated Reference Level       | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 97.5% for the Gamma sensitivity       |
| Gamma Taylor ES 99 LEstimated Reference Level         | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 99% for the Gamma sensitivity         |
| Vanna Taylor ES LEstimated Reference Level            | Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level for the Vanna sensitivity           |
| Vanna Taylor ES 97.5 LEstimated Reference Level       | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 97.5% for the Vanna sensitivity       |
| Vanna Taylor ES 99 LEstimated Reference Level         | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 99% for the Vanna sensitivity         |
| Vega Taylor ES LEstimated Reference Level             | Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level for the Vega sensitivity            |
| Vega Taylor ES 97.5 LEstimated Reference Level        | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 97.5% for the Vega sensitivity        |
| Vega Taylor ES 99 LEstimated Reference Level          | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 99% for the Vega sensitivity          |
| Volga Taylor ES LEstimated Reference Level            | Contribution of the upper Reference Level of Expected Shortfall with contextual confidence level for the Volga sensitivity           |
| Volga Taylor ES 97.5 LEstimated Reference Level       | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 97.5% for the Volga sensitivity       |
| Volga Taylor ES 99 LEstimated Reference Level         | Contribution of the upper Reference Level of Expected Shortfall with fixed confidence level of 99% for the Volga sensitivity         |

## LEstimated top

| Measure                                   | Description                                                                                                              |
| ----------------------------------------- | ------------------------------------------------------------------------------------------------------------------------ |
| Taylor ES LEstimated Top                  | Contribution of the upper Top of Expected Shortfall with contextual confidence level                                     |
| Taylor ES 97.5 LEstimated Top             | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5%                                 |
| Taylor ES 99 LEstimated Top               | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99%                                   |
| Correlation Taylor ES LEstimated Top      | Contribution of the upper Top of Expected Shortfall with contextual confidence level for the Correlation sensitivity     |
| Correlation Taylor ES 97.5 LEstimated Top | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5% for the Correlation sensitivity |
| Correlation Taylor ES 99 LEstimated Top   | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99% for the Correlation sensitivity   |
| CrossGamma Taylor ES LEstimated Top       | Contribution of the upper Top of Expected Shortfall with contextual confidence level for the CrossGamma sensitivity      |
| CrossGamma Taylor ES 97.5 LEstimated Top  | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5% for the CrossGamma sensitivity  |
| CrossGamma Taylor ES 99 LEstimated Top    | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99% for the CrossGamma sensitivity    |
| Delta Taylor ES LEstimated Top            | Contribution of the upper Top of Expected Shortfall with contextual confidence level for the Delta sensitivity           |
| Delta Taylor ES 97.5 LEstimated Top       | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5% for the Delta sensitivity       |
| Delta Taylor ES 99 LEstimated Top         | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99% for the Delta sensitivity         |
| Gamma Taylor ES LEstimated Top            | Contribution of the upper Top of Expected Shortfall with contextual confidence level for the Gamma sensitivity           |
| Gamma Taylor ES 97.5 LEstimated Top       | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5% for the Gamma sensitivity       |
| Gamma Taylor ES 99 LEstimated Top         | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99% for the Gamma sensitivity         |
| Vanna Taylor ES LEstimated Top            | Contribution of the upper Top of Expected Shortfall with contextual confidence level for the Vanna sensitivity           |
| Vanna Taylor ES 97.5 LEstimated Top       | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5% for the Vanna sensitivity       |
| Vanna Taylor ES 99 LEstimated Top         | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99% for the Vanna sensitivity         |
| Vega Taylor ES LEstimated Top             | Contribution of the upper Top of Expected Shortfall with contextual confidence level for the Vega sensitivity            |
| Vega Taylor ES 97.5 LEstimated Top        | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5% for the Vega sensitivity        |
| Vega Taylor ES 99 LEstimated Top          | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99% for the Vega sensitivity          |
| Volga Taylor ES LEstimated Top            | Contribution of the upper Top of Expected Shortfall with contextual confidence level for the Volga sensitivity           |
| Volga Taylor ES 97.5 LEstimated Top       | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 97.5% for the Volga sensitivity       |
| Volga Taylor ES 99 LEstimated Top         | Contribution of the upper Top of Expected Shortfall with fixed confidence level of 99% for the Volga sensitivity         |

## LEstimated trades

| Measure                                      | Description                                                                                                                 |
| -------------------------------------------- | --------------------------------------------------------------------------------------------------------------------------- |
| Taylor ES LEstimated Trades                  | Contribution of the upper Trades of Expected Shortfall with contextual confidence level                                     |
| Taylor ES 97.5 LEstimated Trades             | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 97.5%                                 |
| Taylor ES 99 LEstimated Trades               | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99%                                   |
| Correlation Taylor ES LEstimated Trades      | Contribution of the upper Trades of Expected Shortfall with contextual confidence level for the Correlation sensitivity     |
| Correlation Taylor ES 97.5 LEstimated Trades | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 97.5% for the Correlation sensitivity |
| Correlation Taylor ES 99 LEstimated Trades   | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99% for the Correlation sensitivity   |
| CrossGamma Taylor ES LEstimated Trades       | Contribution of the upper Trades of Expected Shortfall with contextual confidence level for the CrossGamma sensitivity      |
| CrossGamma Taylor ES 97.5 LEstimated Trades  | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 97.5% for the CrossGamma sensitivity  |
| CrossGamma Taylor ES 99 LEstimated Trades    | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99% for the CrossGamma sensitivity    |
| Delta Taylor ES LEstimated Trades            | Contribution of the upper Trades of Expected Shortfall with contextual confidence level for the Delta sensitivity           |
| Delta Taylor ES 97.5 LEstimated Trades       | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 97.5% for the Delta sensitivity       |
| Delta Taylor ES 99 LEstimated Trades         | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99% for the Delta sensitivity         |
| Gamma Taylor ES LEstimated Trades            | Contribution of the upper Trades of Expected Shortfall with contextual confidence level for the Gamma sensitivity           |
| Gamma Taylor ES 97.5 LEstimated Trades       | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 97.5% for the Gamma sensitivity       |
| Gamma Taylor ES 99 LEstimated Trades         | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99% for the Gamma sensitivity         |
| Vanna Taylor ES LEstimated Trades            | Contribution of the upper Trades of Expected Shortfall with contextual confidence level for the Vanna sensitivity           |
| Vanna Taylor ES 97.5 LEstimated Trades       | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 97.5% for the Vanna sensitivity       |
| Vanna Taylor ES 99 LEstimated Trades         | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99% for the Vanna sensitivity         |
| Vega Taylor ES LEstimated Trades             | Contribution of the upper Trades of Expected Shortfall with contextual confidence level for the Vega sensitivity            |
| Vega Taylor ES 97.5 LEstimated Trades        | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 97.5% for the Vega sensitivity        |
| Vega Taylor ES 99 LEstimated Trades          | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99% for the Vega sensitivity          |
| Volga Taylor ES LEstimated Trades            | Contribution of the upper Trades of Expected Shortfall with contextual confidence level for the Volga sensitivity           |
| Volga Taylor ES 97.5 LEstimated Trades       | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 97.5% for the Volga sensitivity       |
| Volga Taylor ES 99 LEstimated Trades         | Contribution of the upper Trades of Expected Shortfall with fixed confidence level of 99% for the Volga sensitivity         |