Taylor VaE
| Measure | Description | Relevant context values |
|---|---|---|
| Taylor VaE | Value at Earnings with contextual confidence level | VaEConfidenceLevel |
| Taylor VaE 97.5 | Value at Earnings with fixed confidence level of 97.5% | |
| Taylor VaE 99 | Value at Earnings with fixed confidence level of 99% | |
| Taylor WVaE | Weighted Value at Earnings with contextual confidence level | VaEConfidenceLevel, WeightedVaRLambda |
| Taylor WVaE 97.5 | Weighted Value at Earnings with fixed confidence level of 97.5% | |
| Taylor WVaE 99 | Weighted Value at Earnings with fixed confidence level of 99% | |
| Correlation Taylor VaE | Value at Earnings with contextual confidence level for the Correlation sensitivity | VaEConfidenceLevel |
| Correlation Taylor VaE 97.5 | Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity | |
| Correlation Taylor VaE 99 | Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity | |
| Correlation Taylor WVaE | Weighted Value at Earnings with contextual confidence level for the Correlation sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| Correlation Taylor WVaE 97.5 | Weighted Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity | |
| Correlation Taylor WVaE 99 | Weighted Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity | |
| CrossGamma Taylor VaE | Value at Earnings with contextual confidence level for the CrossGamma sensitivity | VaEConfidenceLevel |
| CrossGamma Taylor VaE 97.5 | Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity | |
| CrossGamma Taylor VaE 99 | Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity | |
| CrossGamma Taylor WVaE | Weighted Value at Earnings with contextual confidence level for the CrossGamma sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| CrossGamma Taylor WVaE 97.5 | Weighted Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity | |
| CrossGamma Taylor WVaE 99 | Weighted Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity | |
| Delta Taylor VaE | Value at Earnings with contextual confidence level for the Delta sensitivity | VaEConfidenceLevel |
| Delta Taylor VaE 97.5 | Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity | |
| Delta Taylor VaE 99 | Value at Earnings with fixed confidence level of 99% for the Delta sensitivity | |
| Delta Taylor WVaE | Weighted Value at Earnings with contextual confidence level for the Delta sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| Delta Taylor WVaE 97.5 | Weighted Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity | |
| Delta Taylor WVaE 99 | Weighted Value at Earnings with fixed confidence level of 99% for the Delta sensitivity | |
| Gamma Taylor VaE | Value at Earnings with contextual confidence level for the Gamma sensitivity | VaEConfidenceLevel |
| Gamma Taylor VaE 97.5 | Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity | |
| Gamma Taylor VaE 99 | Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity | |
| Gamma Taylor WVaE | Weighted Value at Earnings with contextual confidence level for the Gamma sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| Gamma Taylor WVaE 97.5 | Weighted Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity | |
| Gamma Taylor WVaE 99 | Weighted Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity | |
| Vanna Taylor VaE | Value at Earnings with contextual confidence level for the Vanna sensitivity | VaEConfidenceLevel |
| Vanna Taylor VaE 97.5 | Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity | |
| Vanna Taylor VaE 99 | Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity | |
| Vanna Taylor WVaE | Weighted Value at Earnings with contextual confidence level for the Vanna sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| Vanna Taylor WVaE 97.5 | Weighted Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity | |
| Vanna Taylor WVaE 99 | Weighted Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity | |
| Vega Taylor VaE | Value at Earnings with contextual confidence level for the Vega sensitivity | VaEConfidenceLevel |
| Vega Taylor VaE 97.5 | Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity | |
| Vega Taylor VaE 99 | Value at Earnings with fixed confidence level of 99% for the Vega sensitivity | |
| Vega Taylor WVaE | Weighted Value at Earnings with contextual confidence level for the Vega sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| Vega Taylor WVaE 97.5 | Weighted Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity | |
| Vega Taylor WVaE 99 | Weighted Value at Earnings with fixed confidence level of 99% for the Vega sensitivity | |
| Volga Taylor VaE | Value at Earnings with contextual confidence level for the Volga sensitivity | VaEConfidenceLevel |
| Volga Taylor VaE 97.5 | Value at Earnings with fixed confidence level of 97.5% for the Volga sensitivity | |
| Volga Taylor VaE 99 | Value at Earnings with fixed confidence level of 99% for the Volga sensitivity | |
| Volga Taylor WVaE | Weighted Value at Earnings with contextual confidence level for the Volga sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| Volga Taylor WVaE 97.5 | Weighted Value at Earnings with fixed confidence level of 97.5% for the Volga sensitivity | |
| Volga Taylor WVaE 99 | Weighted Value at Earnings with fixed confidence level of 99% for the Volga sensitivity |
DtD
| Measure | Description | Relevant context values |
|---|---|---|
| Taylor VaE DtD | DtD difference for Value at Earnings with contextual confidence level | VaEConfidenceLevel |
| Taylor VaE 97.5 DtD | DtD difference for Value at Earnings with fixed confidence level of 97.5% | |
| Taylor VaE 99 DtD | DtD difference for Value at Earnings with fixed confidence level of 99% | |
| Taylor WVaE DtD | DtD difference for Weighted Value at Earnings with contextual confidence level | VaEConfidenceLevel, WeightedVaRLambda |
| Taylor WVaE 97.5 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 97.5% | |
| Taylor WVaE 99 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 99% | |
| Correlation Taylor VaE DtD | DtD difference for Value at Earnings with contextual confidence level for the Correlation sensitivity | VaEConfidenceLevel |
| Correlation Taylor VaE 97.5 DtD | DtD difference for Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity | |
| Correlation Taylor VaE 99 DtD | DtD difference for Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity | |
| Correlation Taylor WVaE DtD | DtD difference for Weighted Value at Earnings with contextual confidence level for the Correlation sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| Correlation Taylor WVaE 97.5 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity | |
| Correlation Taylor WVaE 99 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity | |
| CrossGamma Taylor VaE DtD | DtD difference for Value at Earnings with contextual confidence level for the CrossGamma sensitivity | VaEConfidenceLevel |
| CrossGamma Taylor VaE 97.5 DtD | DtD difference for Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity | |
| CrossGamma Taylor VaE 99 DtD | DtD difference for Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity | |
| CrossGamma Taylor WVaE DtD | DtD difference for Weighted Value at Earnings with contextual confidence level for the CrossGamma sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| CrossGamma Taylor WVaE 97.5 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity | |
| CrossGamma Taylor WVaE 99 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity | |
| Delta Taylor VaE DtD | DtD difference for Value at Earnings with contextual confidence level for the Delta sensitivity | VaEConfidenceLevel |
| Delta Taylor VaE 97.5 DtD | DtD difference for Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity | |
| Delta Taylor VaE 99 DtD | DtD difference for Value at Earnings with fixed confidence level of 99% for the Delta sensitivity | |
| Delta Taylor WVaE DtD | DtD difference for Weighted Value at Earnings with contextual confidence level for the Delta sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| Delta Taylor WVaE 97.5 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity | |
| Delta Taylor WVaE 99 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 99% for the Delta sensitivity | |
| Gamma Taylor VaE DtD | DtD difference for Value at Earnings with contextual confidence level for the Gamma sensitivity | VaEConfidenceLevel |
| Gamma Taylor VaE 97.5 DtD | DtD difference for Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity | |
| Gamma Taylor VaE 99 DtD | DtD difference for Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity | |
| Gamma Taylor WVaE DtD | DtD difference for Weighted Value at Earnings with contextual confidence level for the Gamma sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| Gamma Taylor WVaE 97.5 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity | |
| Gamma Taylor WVaE 99 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity | |
| Vanna Taylor VaE DtD | DtD difference for Value at Earnings with contextual confidence level for the Vanna sensitivity | VaEConfidenceLevel |
| Vanna Taylor VaE 97.5 DtD | DtD difference for Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity | |
| Vanna Taylor VaE 99 DtD | DtD difference for Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity | |
| Vanna Taylor WVaE DtD | DtD difference for Weighted Value at Earnings with contextual confidence level for the Vanna sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| Vanna Taylor WVaE 97.5 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity | |
| Vanna Taylor WVaE 99 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity | |
| Vega Taylor VaE DtD | DtD difference for Value at Earnings with contextual confidence level for the Vega sensitivity | VaEConfidenceLevel |
| Vega Taylor VaE 97.5 DtD | DtD difference for Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity | |
| Vega Taylor VaE 99 DtD | DtD difference for Value at Earnings with fixed confidence level of 99% for the Vega sensitivity | |
| Vega Taylor WVaE DtD | DtD difference for Weighted Value at Earnings with contextual confidence level for the Vega sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| Vega Taylor WVaE 97.5 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity | |
| Vega Taylor WVaE 99 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 99% for the Vega sensitivity | |
| Volga Taylor VaE DtD | DtD difference for Value at Earnings with contextual confidence level for the Volga sensitivity | VaEConfidenceLevel |
| Volga Taylor VaE 97.5 DtD | DtD difference for Value at Earnings with fixed confidence level of 97.5% for the Volga sensitivity | |
| Volga Taylor VaE 99 DtD | DtD difference for Value at Earnings with fixed confidence level of 99% for the Volga sensitivity | |
| Volga Taylor WVaE DtD | DtD difference for Weighted Value at Earnings with contextual confidence level for the Volga sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| Volga Taylor WVaE 97.5 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 97.5% for the Volga sensitivity | |
| Volga Taylor WVaE 99 DtD | DtD difference for Weighted Value at Earnings with fixed confidence level of 99% for the Volga sensitivity |
DtD % difference
| Measure | Description | Relevant context values |
|---|---|---|
| Taylor VaE DtD % Difference | DtD difference in % for Value at Earnings with contextual confidence level | VaEConfidenceLevel |
| Taylor VaE 97.5 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 97.5% | |
| Taylor VaE 99 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 99% | |
| Taylor WVaE DtD % Difference | DtD difference in % for Weighted Value at Earnings with contextual confidence level | VaEConfidenceLevel, WeightedVaRLambda |
| Taylor WVaE 97.5 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 97.5% | |
| Taylor WVaE 99 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 99% | |
| Correlation Taylor VaE DtD % Difference | DtD difference in % for Value at Earnings with contextual confidence level for the Correlation sensitivity | VaEConfidenceLevel |
| Correlation Taylor VaE 97.5 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity | |
| Correlation Taylor VaE 99 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity | |
| Correlation Taylor WVaE DtD % Difference | DtD difference in % for Weighted Value at Earnings with contextual confidence level for the Correlation sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| Correlation Taylor WVaE 97.5 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity | |
| Correlation Taylor WVaE 99 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity | |
| CrossGamma Taylor VaE DtD % Difference | DtD difference in % for Value at Earnings with contextual confidence level for the CrossGamma sensitivity | VaEConfidenceLevel |
| CrossGamma Taylor VaE 97.5 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity | |
| CrossGamma Taylor VaE 99 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity | |
| CrossGamma Taylor WVaE DtD % Difference | DtD difference in % for Weighted Value at Earnings with contextual confidence level for the CrossGamma sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| CrossGamma Taylor WVaE 97.5 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity | |
| CrossGamma Taylor WVaE 99 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity | |
| Delta Taylor VaE DtD % Difference | DtD difference in % for Value at Earnings with contextual confidence level for the Delta sensitivity | VaEConfidenceLevel |
| Delta Taylor VaE 97.5 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity | |
| Delta Taylor VaE 99 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 99% for the Delta sensitivity | |
| Delta Taylor WVaE DtD % Difference | DtD difference in % for Weighted Value at Earnings with contextual confidence level for the Delta sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| Delta Taylor WVaE 97.5 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity | |
| Delta Taylor WVaE 99 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 99% for the Delta sensitivity | |
| Gamma Taylor VaE DtD % Difference | DtD difference in % for Value at Earnings with contextual confidence level for the Gamma sensitivity | VaEConfidenceLevel |
| Gamma Taylor VaE 97.5 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity | |
| Gamma Taylor VaE 99 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity | |
| Gamma Taylor WVaE DtD % Difference | DtD difference in % for Weighted Value at Earnings with contextual confidence level for the Gamma sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| Gamma Taylor WVaE 97.5 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity | |
| Gamma Taylor WVaE 99 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity | |
| Vanna Taylor VaE DtD % Difference | DtD difference in % for Value at Earnings with contextual confidence level for the Vanna sensitivity | VaEConfidenceLevel |
| Vanna Taylor VaE 97.5 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity | |
| Vanna Taylor VaE 99 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity | |
| Vanna Taylor WVaE DtD % Difference | DtD difference in % for Weighted Value at Earnings with contextual confidence level for the Vanna sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| Vanna Taylor WVaE 97.5 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity | |
| Vanna Taylor WVaE 99 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity | |
| Vega Taylor VaE DtD % Difference | DtD difference in % for Value at Earnings with contextual confidence level for the Vega sensitivity | VaEConfidenceLevel |
| Vega Taylor VaE 97.5 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity | |
| Vega Taylor VaE 99 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 99% for the Vega sensitivity | |
| Vega Taylor WVaE DtD % Difference | DtD difference in % for Weighted Value at Earnings with contextual confidence level for the Vega sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| Vega Taylor WVaE 97.5 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity | |
| Vega Taylor WVaE 99 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 99% for the Vega sensitivity | |
| Volga Taylor VaE DtD % Difference | DtD difference in % for Value at Earnings with contextual confidence level for the Volga sensitivity | VaEConfidenceLevel |
| Volga Taylor VaE 97.5 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 97.5% for the Volga sensitivity | |
| Volga Taylor VaE 99 DtD % Difference | DtD difference in % for Value at Earnings with fixed confidence level of 99% for the Volga sensitivity | |
| Volga Taylor WVaE DtD % Difference | DtD difference in % for Weighted Value at Earnings with contextual confidence level for the Volga sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| Volga Taylor WVaE 97.5 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 97.5% for the Volga sensitivity | |
| Volga Taylor WVaE 99 DtD % Difference | DtD difference in % for Weighted Value at Earnings with fixed confidence level of 99% for the Volga sensitivity |
Previous
| Measure | Description | Relevant context values |
|---|---|---|
| Taylor VaE Previous | The Value at Earnings of the previous day with contextual confidence level | VaEConfidenceLevel |
| Taylor VaE 97.5 Previous | The Value at Earnings of the previous day with fixed confidence level of 97.5% | |
| Taylor VaE 99 Previous | The Value at Earnings of the previous day with fixed confidence level of 99% | |
| Taylor WVaE Previous | The Weighted Value at Earnings of the previous day with contextual confidence level | VaEConfidenceLevel, WeightedVaRLambda |
| Taylor WVaE 97.5 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 97.5% | |
| Taylor WVaE 99 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 99% | |
| Correlation Taylor VaE Previous | The Value at Earnings of the previous day with contextual confidence level for the Correlation sensitivity | VaEConfidenceLevel |
| Correlation Taylor VaE 97.5 Previous | The Value at Earnings of the previous day with fixed confidence level of 97.5% for the Correlation sensitivity | |
| Correlation Taylor VaE 99 Previous | The Value at Earnings of the previous day with fixed confidence level of 99% for the Correlation sensitivity | |
| Correlation Taylor WVaE Previous | The Weighted Value at Earnings of the previous day with contextual confidence level for the Correlation sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| Correlation Taylor WVaE 97.5 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 97.5% for the Correlation sensitivity | |
| Correlation Taylor WVaE 99 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 99% for the Correlation sensitivity | |
| CrossGamma Taylor VaE Previous | The Value at Earnings of the previous day with contextual confidence level for the CrossGamma sensitivity | VaEConfidenceLevel |
| CrossGamma Taylor VaE 97.5 Previous | The Value at Earnings of the previous day with fixed confidence level of 97.5% for the CrossGamma sensitivity | |
| CrossGamma Taylor VaE 99 Previous | The Value at Earnings of the previous day with fixed confidence level of 99% for the CrossGamma sensitivity | |
| CrossGamma Taylor WVaE Previous | The Weighted Value at Earnings of the previous day with contextual confidence level for the CrossGamma sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| CrossGamma Taylor WVaE 97.5 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 97.5% for the CrossGamma sensitivity | |
| CrossGamma Taylor WVaE 99 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 99% for the CrossGamma sensitivity | |
| Delta Taylor VaE Previous | The Value at Earnings of the previous day with contextual confidence level for the Delta sensitivity | VaEConfidenceLevel |
| Delta Taylor VaE 97.5 Previous | The Value at Earnings of the previous day with fixed confidence level of 97.5% for the Delta sensitivity | |
| Delta Taylor VaE 99 Previous | The Value at Earnings of the previous day with fixed confidence level of 99% for the Delta sensitivity | |
| Delta Taylor WVaE Previous | The Weighted Value at Earnings of the previous day with contextual confidence level for the Delta sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| Delta Taylor WVaE 97.5 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 97.5% for the Delta sensitivity | |
| Delta Taylor WVaE 99 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 99% for the Delta sensitivity | |
| Gamma Taylor VaE Previous | The Value at Earnings of the previous day with contextual confidence level for the Gamma sensitivity | VaEConfidenceLevel |
| Gamma Taylor VaE 97.5 Previous | The Value at Earnings of the previous day with fixed confidence level of 97.5% for the Gamma sensitivity | |
| Gamma Taylor VaE 99 Previous | The Value at Earnings of the previous day with fixed confidence level of 99% for the Gamma sensitivity | |
| Gamma Taylor WVaE Previous | The Weighted Value at Earnings of the previous day with contextual confidence level for the Gamma sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| Gamma Taylor WVaE 97.5 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 97.5% for the Gamma sensitivity | |
| Gamma Taylor WVaE 99 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 99% for the Gamma sensitivity | |
| Vanna Taylor VaE Previous | The Value at Earnings of the previous day with contextual confidence level for the Vanna sensitivity | VaEConfidenceLevel |
| Vanna Taylor VaE 97.5 Previous | The Value at Earnings of the previous day with fixed confidence level of 97.5% for the Vanna sensitivity | |
| Vanna Taylor VaE 99 Previous | The Value at Earnings of the previous day with fixed confidence level of 99% for the Vanna sensitivity | |
| Vanna Taylor WVaE Previous | The Weighted Value at Earnings of the previous day with contextual confidence level for the Vanna sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| Vanna Taylor WVaE 97.5 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 97.5% for the Vanna sensitivity | |
| Vanna Taylor WVaE 99 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 99% for the Vanna sensitivity | |
| Vega Taylor VaE Previous | The Value at Earnings of the previous day with contextual confidence level for the Vega sensitivity | VaEConfidenceLevel |
| Vega Taylor VaE 97.5 Previous | The Value at Earnings of the previous day with fixed confidence level of 97.5% for the Vega sensitivity | |
| Vega Taylor VaE 99 Previous | The Value at Earnings of the previous day with fixed confidence level of 99% for the Vega sensitivity | |
| Vega Taylor WVaE Previous | The Weighted Value at Earnings of the previous day with contextual confidence level for the Vega sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| Vega Taylor WVaE 97.5 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 97.5% for the Vega sensitivity | |
| Vega Taylor WVaE 99 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 99% for the Vega sensitivity | |
| Volga Taylor VaE Previous | The Value at Earnings of the previous day with contextual confidence level for the Volga sensitivity | VaEConfidenceLevel |
| Volga Taylor VaE 97.5 Previous | The Value at Earnings of the previous day with fixed confidence level of 97.5% for the Volga sensitivity | |
| Volga Taylor VaE 99 Previous | The Value at Earnings of the previous day with fixed confidence level of 99% for the Volga sensitivity | |
| Volga Taylor WVaE Previous | The Weighted Value at Earnings of the previous day with contextual confidence level for the Volga sensitivity | VaEConfidenceLevel, WeightedVaRLambda |
| Volga Taylor WVaE 97.5 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 97.5% for the Volga sensitivity | |
| Volga Taylor WVaE 99 Previous | The Weighted Value at Earnings of the previous day with fixed confidence level of 99% for the Volga sensitivity |
LEstimated booking
| Measure | Description |
|---|---|
| Taylor VaE LEstimated Booking | Contribution of the upper Booking of Value at Earnings with contextual confidence level |
| Taylor VaE 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 97.5% |
| Taylor VaE 99 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 99% |
| Taylor WVaE LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with contextual confidence level |
| Taylor WVaE 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 97.5% |
| Taylor WVaE 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 99% |
| Correlation Taylor VaE LEstimated Booking | Contribution of the upper Booking of Value at Earnings with contextual confidence level for the Correlation sensitivity |
| Correlation Taylor VaE 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity |
| Correlation Taylor VaE 99 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity |
| Correlation Taylor WVaE LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with contextual confidence level for the Correlation sensitivity |
| Correlation Taylor WVaE 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity |
| Correlation Taylor WVaE 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity |
| CrossGamma Taylor VaE LEstimated Booking | Contribution of the upper Booking of Value at Earnings with contextual confidence level for the CrossGamma sensitivity |
| CrossGamma Taylor VaE 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| CrossGamma Taylor VaE 99 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity |
| CrossGamma Taylor WVaE LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with contextual confidence level for the CrossGamma sensitivity |
| CrossGamma Taylor WVaE 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| CrossGamma Taylor WVaE 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity |
| Delta Taylor VaE LEstimated Booking | Contribution of the upper Booking of Value at Earnings with contextual confidence level for the Delta sensitivity |
| Delta Taylor VaE 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity |
| Delta Taylor VaE 99 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 99% for the Delta sensitivity |
| Delta Taylor WVaE LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with contextual confidence level for the Delta sensitivity |
| Delta Taylor WVaE 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity |
| Delta Taylor WVaE 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 99% for the Delta sensitivity |
| Gamma Taylor VaE LEstimated Booking | Contribution of the upper Booking of Value at Earnings with contextual confidence level for the Gamma sensitivity |
| Gamma Taylor VaE 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity |
| Gamma Taylor VaE 99 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity |
| Gamma Taylor WVaE LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with contextual confidence level for the Gamma sensitivity |
| Gamma Taylor WVaE 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity |
| Gamma Taylor WVaE 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity |
| Vanna Taylor VaE LEstimated Booking | Contribution of the upper Booking of Value at Earnings with contextual confidence level for the Vanna sensitivity |
| Vanna Taylor VaE 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity |
| Vanna Taylor VaE 99 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity |
| Vanna Taylor WVaE LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with contextual confidence level for the Vanna sensitivity |
| Vanna Taylor WVaE 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity |
| Vanna Taylor WVaE 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity |
| Vega Taylor VaE LEstimated Booking | Contribution of the upper Booking of Value at Earnings with contextual confidence level for the Vega sensitivity |
| Vega Taylor VaE 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity |
| Vega Taylor VaE 99 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 99% for the Vega sensitivity |
| Vega Taylor WVaE LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with contextual confidence level for the Vega sensitivity |
| Vega Taylor WVaE 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity |
| Vega Taylor WVaE 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 99% for the Vega sensitivity |
| Volga Taylor VaE LEstimated Booking | Contribution of the upper Booking of Value at Earnings with contextual confidence level for the Volga sensitivity |
| Volga Taylor VaE 97.5 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 97.5% for the Volga sensitivity |
| Volga Taylor VaE 99 LEstimated Booking | Contribution of the upper Booking of Value at Earnings with fixed confidence level of 99% for the Volga sensitivity |
| Volga Taylor WVaE LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with contextual confidence level for the Volga sensitivity |
| Volga Taylor WVaE 97.5 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 97.5% for the Volga sensitivity |
| Volga Taylor WVaE 99 LEstimated Booking | Contribution of the upper Booking of Weighted Value at Earnings with fixed confidence level of 99% for the Volga sensitivity |
LEstimated reference level
| Measure | Description |
|---|---|
| Taylor VaE LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with contextual confidence level |
| Taylor VaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 97.5% |
| Taylor VaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 99% |
| Taylor WVaE LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with contextual confidence level |
| Taylor WVaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 97.5% |
| Taylor WVaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 99% |
| Correlation Taylor VaE LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with contextual confidence level for the Correlation sensitivity |
| Correlation Taylor VaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity |
| Correlation Taylor VaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity |
| Correlation Taylor WVaE LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with contextual confidence level for the Correlation sensitivity |
| Correlation Taylor WVaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity |
| Correlation Taylor WVaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity |
| CrossGamma Taylor VaE LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with contextual confidence level for the CrossGamma sensitivity |
| CrossGamma Taylor VaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| CrossGamma Taylor VaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity |
| CrossGamma Taylor WVaE LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with contextual confidence level for the CrossGamma sensitivity |
| CrossGamma Taylor WVaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| CrossGamma Taylor WVaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity |
| Delta Taylor VaE LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with contextual confidence level for the Delta sensitivity |
| Delta Taylor VaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity |
| Delta Taylor VaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 99% for the Delta sensitivity |
| Delta Taylor WVaE LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with contextual confidence level for the Delta sensitivity |
| Delta Taylor WVaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity |
| Delta Taylor WVaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 99% for the Delta sensitivity |
| Gamma Taylor VaE LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with contextual confidence level for the Gamma sensitivity |
| Gamma Taylor VaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity |
| Gamma Taylor VaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity |
| Gamma Taylor WVaE LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with contextual confidence level for the Gamma sensitivity |
| Gamma Taylor WVaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity |
| Gamma Taylor WVaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity |
| Vanna Taylor VaE LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with contextual confidence level for the Vanna sensitivity |
| Vanna Taylor VaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity |
| Vanna Taylor VaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity |
| Vanna Taylor WVaE LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with contextual confidence level for the Vanna sensitivity |
| Vanna Taylor WVaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity |
| Vanna Taylor WVaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity |
| Vega Taylor VaE LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with contextual confidence level for the Vega sensitivity |
| Vega Taylor VaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity |
| Vega Taylor VaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 99% for the Vega sensitivity |
| Vega Taylor WVaE LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with contextual confidence level for the Vega sensitivity |
| Vega Taylor WVaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity |
| Vega Taylor WVaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 99% for the Vega sensitivity |
| Volga Taylor VaE LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with contextual confidence level for the Volga sensitivity |
| Volga Taylor VaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 97.5% for the Volga sensitivity |
| Volga Taylor VaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Value at Earnings with fixed confidence level of 99% for the Volga sensitivity |
| Volga Taylor WVaE LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with contextual confidence level for the Volga sensitivity |
| Volga Taylor WVaE 97.5 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 97.5% for the Volga sensitivity |
| Volga Taylor WVaE 99 LEstimated Reference Level | Contribution of the upper Reference Level of Weighted Value at Earnings with fixed confidence level of 99% for the Volga sensitivity |
LEstimated top
| Measure | Description |
|---|---|
| Taylor VaE LEstimated Top | Contribution of the upper Top of Value at Earnings with contextual confidence level |
| Taylor VaE 97.5 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 97.5% |
| Taylor VaE 99 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 99% |
| Taylor WVaE LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with contextual confidence level |
| Taylor WVaE 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 97.5% |
| Taylor WVaE 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 99% |
| Correlation Taylor VaE LEstimated Top | Contribution of the upper Top of Value at Earnings with contextual confidence level for the Correlation sensitivity |
| Correlation Taylor VaE 97.5 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity |
| Correlation Taylor VaE 99 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity |
| Correlation Taylor WVaE LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with contextual confidence level for the Correlation sensitivity |
| Correlation Taylor WVaE 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity |
| Correlation Taylor WVaE 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity |
| CrossGamma Taylor VaE LEstimated Top | Contribution of the upper Top of Value at Earnings with contextual confidence level for the CrossGamma sensitivity |
| CrossGamma Taylor VaE 97.5 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| CrossGamma Taylor VaE 99 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity |
| CrossGamma Taylor WVaE LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with contextual confidence level for the CrossGamma sensitivity |
| CrossGamma Taylor WVaE 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| CrossGamma Taylor WVaE 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity |
| Delta Taylor VaE LEstimated Top | Contribution of the upper Top of Value at Earnings with contextual confidence level for the Delta sensitivity |
| Delta Taylor VaE 97.5 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity |
| Delta Taylor VaE 99 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 99% for the Delta sensitivity |
| Delta Taylor WVaE LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with contextual confidence level for the Delta sensitivity |
| Delta Taylor WVaE 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity |
| Delta Taylor WVaE 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 99% for the Delta sensitivity |
| Gamma Taylor VaE LEstimated Top | Contribution of the upper Top of Value at Earnings with contextual confidence level for the Gamma sensitivity |
| Gamma Taylor VaE 97.5 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity |
| Gamma Taylor VaE 99 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity |
| Gamma Taylor WVaE LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with contextual confidence level for the Gamma sensitivity |
| Gamma Taylor WVaE 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity |
| Gamma Taylor WVaE 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity |
| Vanna Taylor VaE LEstimated Top | Contribution of the upper Top of Value at Earnings with contextual confidence level for the Vanna sensitivity |
| Vanna Taylor VaE 97.5 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity |
| Vanna Taylor VaE 99 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity |
| Vanna Taylor WVaE LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with contextual confidence level for the Vanna sensitivity |
| Vanna Taylor WVaE 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity |
| Vanna Taylor WVaE 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity |
| Vega Taylor VaE LEstimated Top | Contribution of the upper Top of Value at Earnings with contextual confidence level for the Vega sensitivity |
| Vega Taylor VaE 97.5 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity |
| Vega Taylor VaE 99 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 99% for the Vega sensitivity |
| Vega Taylor WVaE LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with contextual confidence level for the Vega sensitivity |
| Vega Taylor WVaE 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity |
| Vega Taylor WVaE 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 99% for the Vega sensitivity |
| Volga Taylor VaE LEstimated Top | Contribution of the upper Top of Value at Earnings with contextual confidence level for the Volga sensitivity |
| Volga Taylor VaE 97.5 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 97.5% for the Volga sensitivity |
| Volga Taylor VaE 99 LEstimated Top | Contribution of the upper Top of Value at Earnings with fixed confidence level of 99% for the Volga sensitivity |
| Volga Taylor WVaE LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with contextual confidence level for the Volga sensitivity |
| Volga Taylor WVaE 97.5 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 97.5% for the Volga sensitivity |
| Volga Taylor WVaE 99 LEstimated Top | Contribution of the upper Top of Weighted Value at Earnings with fixed confidence level of 99% for the Volga sensitivity |
LEstimated trades
| Measure | Description |
|---|---|
| Taylor VaE LEstimated Trades | Contribution of the upper Trades of Value at Earnings with contextual confidence level |
| Taylor VaE 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 97.5% |
| Taylor VaE 99 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 99% |
| Taylor WVaE LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with contextual confidence level |
| Taylor WVaE 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 97.5% |
| Taylor WVaE 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 99% |
| Correlation Taylor VaE LEstimated Trades | Contribution of the upper Trades of Value at Earnings with contextual confidence level for the Correlation sensitivity |
| Correlation Taylor VaE 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity |
| Correlation Taylor VaE 99 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity |
| Correlation Taylor WVaE LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with contextual confidence level for the Correlation sensitivity |
| Correlation Taylor WVaE 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 97.5% for the Correlation sensitivity |
| Correlation Taylor WVaE 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 99% for the Correlation sensitivity |
| CrossGamma Taylor VaE LEstimated Trades | Contribution of the upper Trades of Value at Earnings with contextual confidence level for the CrossGamma sensitivity |
| CrossGamma Taylor VaE 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| CrossGamma Taylor VaE 99 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity |
| CrossGamma Taylor WVaE LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with contextual confidence level for the CrossGamma sensitivity |
| CrossGamma Taylor WVaE 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 97.5% for the CrossGamma sensitivity |
| CrossGamma Taylor WVaE 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 99% for the CrossGamma sensitivity |
| Delta Taylor VaE LEstimated Trades | Contribution of the upper Trades of Value at Earnings with contextual confidence level for the Delta sensitivity |
| Delta Taylor VaE 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity |
| Delta Taylor VaE 99 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 99% for the Delta sensitivity |
| Delta Taylor WVaE LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with contextual confidence level for the Delta sensitivity |
| Delta Taylor WVaE 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 97.5% for the Delta sensitivity |
| Delta Taylor WVaE 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 99% for the Delta sensitivity |
| Gamma Taylor VaE LEstimated Trades | Contribution of the upper Trades of Value at Earnings with contextual confidence level for the Gamma sensitivity |
| Gamma Taylor VaE 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity |
| Gamma Taylor VaE 99 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity |
| Gamma Taylor WVaE LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with contextual confidence level for the Gamma sensitivity |
| Gamma Taylor WVaE 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 97.5% for the Gamma sensitivity |
| Gamma Taylor WVaE 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 99% for the Gamma sensitivity |
| Vanna Taylor VaE LEstimated Trades | Contribution of the upper Trades of Value at Earnings with contextual confidence level for the Vanna sensitivity |
| Vanna Taylor VaE 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity |
| Vanna Taylor VaE 99 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity |
| Vanna Taylor WVaE LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with contextual confidence level for the Vanna sensitivity |
| Vanna Taylor WVaE 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 97.5% for the Vanna sensitivity |
| Vanna Taylor WVaE 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 99% for the Vanna sensitivity |
| Vega Taylor VaE LEstimated Trades | Contribution of the upper Trades of Value at Earnings with contextual confidence level for the Vega sensitivity |
| Vega Taylor VaE 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity |
| Vega Taylor VaE 99 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 99% for the Vega sensitivity |
| Vega Taylor WVaE LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with contextual confidence level for the Vega sensitivity |
| Vega Taylor WVaE 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 97.5% for the Vega sensitivity |
| Vega Taylor WVaE 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 99% for the Vega sensitivity |
| Volga Taylor VaE LEstimated Trades | Contribution of the upper Trades of Value at Earnings with contextual confidence level for the Volga sensitivity |
| Volga Taylor VaE 97.5 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 97.5% for the Volga sensitivity |
| Volga Taylor VaE 99 LEstimated Trades | Contribution of the upper Trades of Value at Earnings with fixed confidence level of 99% for the Volga sensitivity |
| Volga Taylor WVaE LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with contextual confidence level for the Volga sensitivity |
| Volga Taylor WVaE 97.5 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 97.5% for the Volga sensitivity |
| Volga Taylor WVaE 99 LEstimated Trades | Contribution of the upper Trades of Weighted Value at Earnings with fixed confidence level of 99% for the Volga sensitivity |