My broker has provided a risk report that shows our options book shocked at various standard deviation moves of the underlying.

Their report has the future at $66.64, ATM Vol at 23.74% with 2 days remaining (I believe they are using a 365 day calendar).

How do I get to their 1 standard deviation move of $2.19?

  • 1
    $\begingroup$ Looks “too close to be a coincidence” to a 7-day SD move based on 365 calendar with your params: sqr(7/365)x23.74%x66.64 = 2.19. They may have a standard stress defined like that, regardless of time to expiry. That wouldn’t even be the worst design mistake I’ve seen (by far). $\endgroup$ – Ivan Jul 18 '18 at 16:51
  • $\begingroup$ You are correct, that matches on all the other days I checked. If you move that to an answer I'd be happy to accept it. Thanks! $\endgroup$ – Ted Graham Jul 18 '18 at 17:27

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