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Scenario engine data
Our scenario engine is a unique feature that allows you to see the profit and loss of the option position, assuming a specific scenario. The power of this engine is that it will enable you to see the scenario for the entire market at once while integrating the results with all the other features of Samurai, such as IV percentile, earnings dates, PE ratios, and more.
The scenario engine checks the profit and loss for the position at expiration.
Since different underlying have different characteristics, we allow you to input your assumptions in various 'forms' that accommodate this:
The scenario engine checks the profit and loss for the position at expiration.
Since different underlying have different characteristics, we allow you to input your assumptions in various 'forms' that accommodate this:
- Percent shift: Using this input, we check the effect of the underlying change by the percentage by expiration.
- ATR: Using this input, you can change the underlying move by Average True Range (for example, one ATR above, two ATR below, etc.). This is useful cause different assets have different volatility, and this allows you to account for that.
- Standard deviation: Using this input, you can change the underlying move by standard deviations. This is useful cause different assets have different volatility, and this allows you to account for that.
- Analyst target: Using this input, you can change the distance from the analyst price target for stocks. This will allow you to find the options that will profit the most, assuming the stock will get to that price. For example, -5% will show you the profit and loss for the option trade, assuming the stock will be 5% below the analyst target price.
- Distance from Moving Average 200 days: Using this input, you can change the underlying price in relation to the 200 days simple moving average. For example, an input of 10% will show you the profit and loss of the options trade, assuming the stock will be 10% above the current 200 days moving average.
- Distance from 52 weeks high/low: Using this input, you can change the underlying price in relation to the 52 weeks high or low of the asset. This is very useful when the company has high growth and a pullback. You can find the most profitable strategy assuming the company will return to the 52w high or pass it.
PL: Profit and loss column and filter is based on mid-price of the options. It is filtered and sorted by the percent profit of the position.
The Percent profit in the column is calculated based on $ profit divided by the estimated margin requirement (usually the max loss of the position).
The Percent profit in the column is calculated based on $ profit divided by the estimated margin requirement (usually the max loss of the position).
Remember: You can add more than one scenario.
Read more:
Introduction to the scenario engine: KB article
Use cases for scenario engine: Weekly options that will double in value
Predefined with the scenario engine:
Use cases for scenario engine: Weekly options that will double in value
Predefined with the scenario engine:
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