Payoff and Greeks
Read max loss, break-even, the payoff curve and the Greeks for the contract and size you have selected.
The Analysis panel sits beside the options chain. It is built around the contract and the order you have in the ticket, so it changes as you type. It has four tabs: Payoff, Greeks, Trades and Book.
Payoff#
The Payoff tab answers one question: what happens to this position if the underlying finishes at different prices?
The three numbers#
| Number | Meaning |
|---|---|
| Max Loss | The most the position can lose, including the fee estimate. Shown as Unlimited when there is no cap. |
| Break Even | The underlying price at which the position makes no profit and no loss at expiry, after fees. |
| Max Profit | The most the position can make, including the fee estimate. Shown as Unlimited when there is no cap. |
Under the numbers, a one-line note spells out the position, for example Long 2 ETH at $48.20, held to expiry. Until you enter an amount, Detion shows one unit so there is always a curve to look at.
The curve#
The chart plots profit and loss against the underlying price.
- The solid line is the position at expiry, green where it makes money and red where it loses. It depends only on the strike, the price you pay and fees.
- The softer curve is the position today. It uses the Black–Scholes model with the contract's mark implied volatility and the time left to expiry. It has no interest-rate term, so treat it as an estimate. It is hidden when no volatility is available.
- A vertical line marks the strike, a dot on the zero line marks the break-even, and a chip at the top shows the current index price.
- Move the pointer across the chart to read the price, the profit or loss at that price and the return on the premium.
How the numbers are worked out#
Fees are included. In the table, premium is price multiplied by amount and fee is the fee estimate for the whole order.
| Position | Max loss | Break-even | Max profit |
|---|---|---|---|
| Long call | Premium + fee | Strike + price + fee per unit | Unlimited |
| Long put | Premium + fee | Strike − price − fee per unit | (Strike − price) × amount − fee |
| Short call | Unlimited | Strike + price − fee per unit | Premium − fee |
| Short put | (Strike − price) × amount + fee | Strike − price + fee per unit | Premium − fee |
For a longer explanation, read Reading risk.
Greeks#
The Greeks tab shows how the contract's price responds to changes in the market, and what that means for your position.
| Greek | Meaning |
|---|---|
| Delta | Change in price for a $1 move in the underlying. |
| Gamma | Change in delta for a $1 move in the underlying. |
| Theta | Value lost per day as time passes. |
| Vega | Change in value for a one-point move in implied volatility. |
| Rho | Change in value for a 1% move in interest rates. |
There are two columns. Contract is the value for one contract as published with the market data. Position scales it by your order size and side, so a short position flips the sign. The tab also lists Mark IV and the Mark Price, with the dollar value of the position at the mark.
Trades and Book#
- Trades lists recent prints in the selected contract: time, price and size, coloured by direction.
- Book shows the contract's order book. Click a row to set the ticket's side and limit price.