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<SecurityRiskMetricGrp> Component Block

List of option securities on an underlying with related calculations (e.g. theoretical valuations, implied volatilities, and other hedge statistics).

Used in :

Tag Field Name FIXML Req'd Comments
2995 NoSecurityRiskMetrics N

Number of instruments with security risk metrics data.
=> <Instrument> N

Required when NoSecurityRiskMetrics(2995) > 0.
=> 811 PriceDelta @PxDelta N

The rate of change in the price of a derivative with respect to the movement in the price of the underlying instrument(s) upon which the derivative instrument price is based.

This value is normally between -1.0 and 1.0.
=> 2996 Gamma @Gamma N

The rate of change of Delta over time.
=> 2997 Rho @Rho N

The security's value rate of change in response to a 1% change in (risk-free) interest rate. Measures the security's sensitivity to interest rate change.

=> 2998 Theta @Theta N

The security's price rate of change in relation to passage of time. Also known as "time decay".
=> 2999 Vega @Vega N

The security's price sensitivity to change in volatility of the underlying asset price.
=> 44 Price @Px N

May be used for the theoretical (e.g. option) price of the security.
=> 132 BidPx @BidPx N

May be used to specify the security's top of book bid price, if available, used in the metric calculation.
=> 133 OfferPx @OfrPx N

May be used to specify the security's top of book offer price, if available, used in the metric calculation.
=> 3000 VolatilityTime @VolTS N

Time at which volatility was computed.
=> 1188 Volatility @Vol N

Annualized volatility for option model calculations
=> 3001 BidVolatility @BidVol N

Volatility based on bid prices.
=> 3002 OfferVolatility @OfrVol N

Volatility based on offer prices.
=> 3003 MidVolatility @MidVol N

Volatility based on mid prices.
=> <RelativeValueGrp> N

May be used for other types of valuation metrics or analytics.

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