I am running an options book containing listed options across multiple products. I trade mostly equity and index related options - with a preference for European expiration products. I trade products listed across multiple continents - so there is an FX risk component as well.
I have lots of spreadsheets etc which I use for adhoc risk management controls - typically, looking at the sensitivities of a single product (e.g. SPY book). Typically, I have a single workbook detailing the positions for a single product, and I use the greeks for risk management purposes. However, as my portfolio increases, I have decided it is time to implement a more consolidated approach to risk management.
I would like some guidance on how to:
- Consolidate option sensitivities (i.e. across the entire portfolio as opposed to single products)
- Get a handle on FX exposure risks in the portfolio
Ideally, I would like to create a single report that outlines the entire portfolio risk (i.e. option sensitivities and FX risk).
I would be grateful for any guidance or links to information that will help me extract data that I am already generating, and put that data together in a framework as the one described above, with the aim of obtaining a more global view of my portfolio risk.
Note: I am not looking for third party system, I simply want to know how to aggregate the data I already have, in a meaningful and practical way (hopefully with some theoretical/empirical underpinning), in order to manage my portfolio risk better.