ProOpticus is professional derivatives software providing users with a comprehensive and integrated solution for option valuation, trade execution and risk management. Our customers include professional independent and proprietary traders, leading hedge funds, four of the world’s largest FCM’s, top tier investment banks and Fortune 500 energy companies. ProOpticus can be customized to fit the specific needs of a wide range of financial industry professionals.
Valuation:
ProOpticus offers an abundant array of pricing models and skewing methods to deliver option values that incorporate and maximize the variables prescribed by the user. Option valuation is the basis of accurate and meaningful risk measurement and management.
ProOpticus currently includes:
- 21 option pricing models from futures to exotics
- 16 skewing methods
- 2 methods for calculating Greeks
- Fixed vs. floating valuations
- Volatility path modeling
- Option strip calculator for pricing multiple option months
- Dynamic Delta Sheet for real-time option values
- Commodity-specific pricing tools
- Interactive and dynamic graphic interfaces
- On-the-fly pricing adjustments
- Printed and electronic Delta Sheets
Execution:
ProOpticus offers connectivity to CME, CBOE, ICE and ISE electronic trading platforms. ProOpticus users have the ability to execute trades electronically through the eProTrader views and/or manually input trades executed in the hybrid market place. ProOpticus users can:
- “Click trade” using the eProTrader Dynamic Delta Sheet
- Enable heat map for visual alerts of possible trades
- Set audible alerts for possible trading opportunities
- Hedge and trade using the eProTrader underlying view
- Trade spreads via the eProTrader underlying spread view
Risk Management:
Institutional Customers (Universal Risk Manager)
- User-defined batch-based risk management system
- Enterprise risk system from macro to micro levels
- NLV and securities on deposit analysis
- Real-time intraday prices from multiple data sources
- Evaluate risk across all product classes and exchanges
- Sort risk by exchange, account or product group
- Sort risk by dollar value or user-defined parameters
- Aggregate firm-wide positions
- Stress risk by product, group or expiry
- Asymmetric and symmetric risk scenarios
- Apply standard deviation, percentage or fixed price moves
- Apply fixed or percentage volatility shocks
- Publish templates to all users
- Advanced multi-layered filtering
- Calculation and summary of position Greeks
- Multiple reporting and evaluation printouts
- Risk slide reporting across price and time
Electronic Trading Groups (Real-Time Risk Manager)
- Real-time post-execution risk analysis
- Receive fills directly from back-end host
- Receive prices directly from exchanges
- Evaluate risk across all product classes and exchanges
- Sort risk by exchange, account or product group
- Sort risk by dollar value or user defined parameters
- Advanced multi-layered filtering
- Calculation and summary of position Greeks
- Individual trader commission analysis
- Calculate split percentages for backed traders
- Multiple tabs and windows for grouped traders
Professional Group and Independent Traders (Market Makers, Hedge Funds, Commercial and Institutional Traders)
- Calculation and display of Greeks
- Position and inventory maintenance
- Position analysis over varying price & volatility scenarios
- Position analysis by calendar date
- Position analysis by time bucket
- Aggregate multiple positions into portfolio manager
- Ability to normalize related instruments
- Calculation and display of normalized Greeks
- Inter-commodity and intra-commodity beta weighting
- Calculation and display of beta-weighted Greeks
- Ability to link volatility between related instruments
- Calculation of OEG, OEV, dDelta/dVol, dVega/dVol
- Weighted vega calculations
- Calculation of Sdev moves
- Dissemination of volatility surfaces to group traders
- Real-time risk for electronic trades
- Commodity grouping functionality
- Calculation of TV premium and intrinsic value
- Import/export features to interface with back office
- 11 printable risk reports with user preferences
For a detailed listing of the prices associated with ProOpticus, please contact an LEM Commodities sales representative with any questions at +1 203 485.7508, or email us at info@lemcommodities.com.