<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 :

SecurityRiskMetricsReport (EG)

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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