45:["$","title",null,{"children":"Options portfolio modeling | Geronimo | Observable"}] 4d:Td65,genState = () => { const collateralAllocated = [0] const cash = [startingLpCash] const assets = [startingLpCash] const liabilities = [0] const optionsWritten = [] const nav = [_.last(assets) - _.last(liabilities)] const navSimpleUtilization = [_.last(assets) - _.last(liabilities)] const navBeforeZeroUtilization = [_.last(assets) - _.last(liabilities)] const portfolioDelta = [0] const spotPrice = [_.random(minSpotPrice, maxSpotPrice)] const useCash = (cashUsed) => cash.push(_.last(cash) - cashUsed) const historical = [] // utilization appended state const originalUtilizationOptionPrices = [] let updatedUtilizationOptionPrices = [] const utilizationOptionsPrices = [] const utilizationCollateralAllocated = [] const utilizationCash = [startingLpCash] const utilizationAssets = [startingLpCash] const utilizationLiabilities = [0] const utilizationNav = [utilizationAssets - utilizationLiabilities] let finalState; const assetsAboveUtilization = _.last(assets) > startingLpCash * (1-utilizationLevel) const navAboveZero = _.last(nav) > 0 while (assetsAboveUtilization && navAboveZero && optionsWritten.length < timePeriods) { const spot = Number(_.last(spotPrice)) const reval = (option) => revalueOption(spot, option) const option = generateRandomOption(spot) useCash(option.collateralAllocated) optionsWritten.push(option) // revalue all options using bs const updatedOptionsBS = optionsWritten.map(reval) const delta = updatedOptionsBS.reduce((pv, cv) => pv + cv.updatedDelta,0) portfolioDelta.push(delta) const colAllocated = updatedOptionsBS.reduce((pv, cv) => pv + cv.collateralAllocated,0) const totalLiabilities = updatedOptionsBS.reduce((pv, cv) => pv + cv.updatedPrice,0) collateralAllocated.push(colAllocated) assets.push(startingLpCash - colAllocated) liabilities.push(totalLiabilities) nav.push(_.last(assets) - _.last(liabilities)) const newSpot = spot + (spot * Number(_.random(lowerPriceDrift, upperPriceDrift))) spotPrice.push(newSpot) const currentState = { optionsWritten, portfolioDelta, assets, liabilities, nav, cash, collateralAllocated, spotPrice } historical.push(_.cloneDeep(currentState)) navSimpleUtilization.push(getUtilizationPrice(_.last(nav), currentState)) navBeforeZeroUtilization.push(getUtilizationPrice(_.last(nav), currentState, 0)) // compute utilization pricing const revalUtilization = (opt) => optionQuoteWithUtilization(opt, currentState) const utilizationOptionPrice = optionQuoteWithUtilization(option, currentState) originalUtilizationOptionPrices.push(utilizationOptionPrice) utilizationCollateralAllocated.push(utilizationOptionPrice * optionCollateralRatio) updatedUtilizationOptionPrices = optionsWritten.map(revalUtilization) const utilizationColAllocated = updatedUtilizationOptionPrices.reduce((pv, cv) => cv * optionCollateralRatio, 0) utilizationAssets.push(startingLpCash - utilizationColAllocated) utilizationLiabilities.push(updatedUtilizationOptionPrices.reduce((pv, cv) => pv + cv, 0)) utilizationNav.push(_.last(utilizationAssets) - _.last(utilizationLiabilities)) finalState = { ...currentState, originalUtilizationOptionPrices, utilizationNav, navSimpleUtilization, navBeforeZeroUtilization, utilizationLiabilities, utilizationAssets, historical } } return finalState }4e:T6e6,function getUtilizationPrice( optionPrice, state, utilBefore = false, utilizationFunctionThreshold = 0.6, //60% belowUtilizationThresholdGradient = 0.1, aboveUtilizationThresholdGradient = 1.5, yIntercept = -0.84 ) { const collateralAllocated = _.last(state.collateralAllocated) const cash = _.last(state.cash) const utilizationBefore = typeof utilBefore == 'boolean' ? collateralAllocated / (collateralAllocated + cash) : utilBefore const liquidityAllocated = optionPrice * optionCollateralRatio const utilizationAfter = (collateralAllocated + liquidityAllocated) / (collateralAllocated + cash) if ( utilizationBefore < utilizationFunctionThreshold && utilizationAfter < utilizationFunctionThreshold ) { return ( optionPrice + ((optionPrice * (utilizationBefore + utilizationAfter)) / 2) * belowUtilizationThresholdGradient ) } else if ( utilizationBefore > utilizationFunctionThreshold && utilizationAfter > utilizationFunctionThreshold ) { const utilizationPremiumFactor = ((utilizationBefore + utilizationAfter) / 2) * aboveUtilizationThresholdGradient + yIntercept return optionPrice + optionPrice * utilizationPremiumFactor } else { const weightingRatio = (utilizationFunctionThreshold - utilizationBefore) / (utilizationAfter - utilizationFunctionThreshold) const averageFactorBelow = ((utilizationFunctionThreshold + utilizationBefore) / 2) * belowUtilizationThresholdGradient const averageFactorAbove = ((utilizationFunctionThreshold + utilizationAfter) / 2) * aboveUtilizationThresholdGradient + yIntercept const multiplicationFactor = (weightingRatio * averageFactorBelow + averageFactorAbove) / (1 + weightingRatio) return optionPrice + optionPrice * multiplicationFactor } }4f:T4eb,genUtilizationNavs = () => { const states = {} const keys = [] let plots = [] let iPlots = [] // due to quadratic operation only run once state generated if (state.nav.length > timePeriods) { // incrementing by 20% utilization amouunt for(let i = 0.05; i < 1; i+= 0.20) { keys.push(i) for(let j = i; j < 1; j+= 0.20) { const revalUtilization = (opt) => optionQuoteWithSetUtilization(opt, state, i, j) const updatedUtilizationOptionPrices = state.optionsWritten.map(revalUtilization) const utilizationColAllocated = updatedUtilizationOptionPrices.reduce((pv, cv) => cv * optionCollateralRatio, 0) const assets = startingLpCash - utilizationColAllocated const liabilities = updatedUtilizationOptionPrices.reduce((pv, cv) => pv + cv, 0) const nav = assets - liabilities const navs = constructNav(i, j) const points = navs.map(generateLinePoints(`${i},${j}`)) plots.push(points) iPlots.push({ name: `${i},${j}`, values: navs}) if (states[i]) { states[i][j] = navs } else { states[i] = {} states[i][j] = navs } } } } plots = _.flatten(plots) return { states, keys, plots, iPlots } }50:T42f,optionQuoteWithSetUtilization = (option, state, utilizationBefore = 0.6, utilizationAfter = 0.75, maxDiscount = 0.10) => { const spotPrice = _.last(state.spotPrice) const nav = _.last(state.nav) const optionDelta = option.delta const portfolioDeltaBefore = _.last(state.portfolioDelta) const portfolioDeltaAfter = portfolioDeltaBefore + optionDelta const portfolioDeltaIsDecreased = (Math.abs(portfolioDeltaAfter) - Math.abs(portfolioDeltaBefore)) < 0 const normaliseDelta = Math.abs((portfolioDeltaBefore + portfolioDeltaAfter) / 2) / (nav / spotPrice) const deltaTiltAmount = normaliseDelta > maxDiscount ? maxDiscount : normaliseDelta const optionPrice = option.updatedPrice ? option.updatedPrice : option.price const utilizationPrice = setAndGetUtilizationPrice(optionPrice, state, utilizationBefore, utilizationAfter) const decreaseQuote = utilizationPrice - utilizationPrice * deltaTiltAmount const increaseQuote = utilizationPrice + utilizationPrice * deltaTiltAmount return portfolioDeltaIsDecreased ? decreaseQuote : increaseQuote }51:T629,function setAndGetUtilizationPrice( optionPrice, state, utilizationBefore = 0.6, utilizationAfter = 0.75, utilizationFunctionThreshold = 0.6, //60% belowUtilizationThresholdGradient = 0.1, aboveUtilizationThresholdGradient = 1.5, yIntercept = -0.84 ) { const collateralAllocated = _.last(state.collateralAllocated) const cash = _.last(state.cash) const liquidityAllocated = optionPrice * optionCollateralRatio if ( utilizationBefore < utilizationFunctionThreshold && utilizationAfter < utilizationFunctionThreshold ) { return ( optionPrice + ((optionPrice * (utilizationBefore + utilizationAfter)) / 2) * belowUtilizationThresholdGradient ) } else if ( utilizationBefore > utilizationFunctionThreshold && utilizationAfter > utilizationFunctionThreshold ) { const utilizationPremiumFactor = ((utilizationBefore + utilizationAfter) / 2) * aboveUtilizationThresholdGradient + yIntercept return optionPrice + optionPrice * utilizationPremiumFactor } else { const weightingRatio = (utilizationFunctionThreshold - utilizationBefore) / (utilizationAfter - utilizationFunctionThreshold) const averageFactorBelow = ((utilizationFunctionThreshold + utilizationBefore) / 2) * belowUtilizationThresholdGradient const averageFactorAbove = ((utilizationFunctionThreshold + utilizationAfter) / 2) * aboveUtilizationThresholdGradient + yIntercept const multiplicationFactor = (weightingRatio * averageFactorBelow + averageFactorAbove) / (1 + weightingRatio) return optionPrice + optionPrice * multiplicationFactor } }52:T5ec,function hover(svg, path) { svg .style("position", "relative"); if ("ontouchstart" in document) svg .style("-webkit-tap-highlight-color", "transparent") .on("touchmove", moved) .on("touchstart", entered) .on("touchend", left) else svg .on("mousemove", moved) .on("mouseenter", entered) .on("mouseleave", left); const dot = svg.append("g") .attr("display", "none"); dot.append("circle") .attr("r", 2.5); dot.append("text") .style("font", "10px sans-serif") .attr("text-anchor", "middle") .attr("y", -8); function moved() { d3.event.preventDefault(); const ym = y.invert(d3.event.layerY); const xm = x.invert(d3.event.layerX); const i1 = d3.bisectLeft(comparisionChartData.dates, xm, 1); const i0 = i1 - 1; const i = xm - comparisionChartData.dates[i0] > comparisionChartData.dates[i1] - xm ? i1 : i0; const s = comparisionChartData.series.reduce((a, b) => Math.abs(a.values[i] - ym) < Math.abs(b.values[i] - ym) ? a : b); path.attr("stroke", d => d === s ? null : "#ddd").filter(d => d === s).raise(); dot.attr("transform", `translate(${x(comparisionChartData.dates[i])},${y(s.values[i])})`); dot.select("text").text(s.name); } function entered() { path.style("mix-blend-mode", null).attr("stroke", "#ddd"); dot.attr("display", null); } function left() { path.style("mix-blend-mode", "multiply").attr("stroke", null); dot.attr("display", "none"); } }53:[] 49:{"id":"6906e5cb7e747412","slug":"options-portfolio-modeling","title":"Options portfolio modeling","thumbnail":"7707c4f8075bda114e98b0f777523bb583387cc76bcfaae0ec611b0e76614aaf","access_level":"public","create_time":"$D2022-05-27T14:06:27.574Z","update_time":"$D2022-07-12T15:00:12.380Z","view_time":null,"first_public_time":"$D2022-05-27T18:30:53.076Z","has_unpublished_edits":null,"fork":false,"stars":1,"starred":false,"owner":{"type":"team","id":"cc84680f1550a844","login":"ryskygeronimo","name":"Geronimo","avatar_url":"https://avatars-next.observableusercontent.com/151bb47b72fe45af5766f1a6ad95ed5a1f5bf1c6f84b7c8cb370ea71437237ac","tier":"starter_2024","bio":"building @ryskfinance","followed_by_you":false,"follows_you":false},"version":687,"publish_version":687,"role":null,"authored":false,"authors":[{"type":"individual","id":"315b363caa770818","login":"ryskygeronimo","name":"Geronimo","avatar_url":"https://avatars-next.observableusercontent.com/151bb47b72fe45af5766f1a6ad95ed5a1f5bf1c6f84b7c8cb370ea71437237ac","tier":null,"bio":"building @ryskfinance","followed_by_you":false,"follows_you":false}],"members":[{"type":"individual","id":"315b363caa770818","login":"ryskygeronimo","name":"Geronimo","avatar_url":"https://avatars-next.observableusercontent.com/151bb47b72fe45af5766f1a6ad95ed5a1f5bf1c6f84b7c8cb370ea71437237ac","tier":null,"role":"editor"}],"comments":[],"custom_thumbnail":false,"trashed":false,"lapsed":null,"subscribed":null,"forks":1,"collection":null,"type":"notebook","body":{"titling":"auto","title":"Options portfolio modeling","cells":[{"id":0,"value":"# Options portfolio modeling","pinned":false,"hidden":false,"mode":"md","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"","database":"$undefined"},{"id":351,"value":"## Utilization nav based pricing vs standard black-scholes based nav pricing","pinned":false,"hidden":false,"mode":"md","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"","database":"$undefined"},{"id":415,"value":"slide`Utilization based nav is higher than standard BS based nav, regardless of randomized market drift outcomes`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":366,"value":"Plot.plot({\n marginRight: 100,\n marginLeft:50,\n width: 1000,\n height: 1200,\n y: {\n grid: true,\n label: \"↑ Price ($)\"\n },\n marks: [\n Plot.line(navs, {x: \"time\", y: \"value\", stroke: \"text\"}),\n Plot.text(navs, Plot.selectLast({x: \"time\", y: \"value\", z: \"text\", text: \"text\", textAnchor: \"start\", dx: 3}))\n ]\n})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":624,"value":"slide`Calculating NAV at different fixed utilization levels does show that higher utilization produces a lower NAV which converges to Black-Scholes based NAV calculation`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":548,"value":"Plot.plot({\n marginRight: 80,\n marginLeft:50,\n height: 1500,\n width: 900,\n y: {\n grid: true,\n label: \"↑ Price ($)\"\n },\n marks: [\n Plot.line(utilizationStates.plots, {x: \"time\", y: \"value\", stroke: \"text\"}),\n Plot.text(utilizationStates.plots, Plot.selectLast({x: \"time\", y: \"value\", z: \"text\", text: \"text\", textAnchor: \"start\", dx: 3}))\n ]\n})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":426,"value":"#### Refresh to generate new test run","pinned":false,"hidden":false,"mode":"md","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"","database":"$undefined"},{"id":457,"value":"### Utilization of capital","pinned":false,"hidden":false,"mode":"md","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"","database":"$undefined"},{"id":431,"value":"Plot.plot({\n x: {\n label: \"time\"\n },\n y: {\n label: \"utilization percentage\",\n grid: true\n },\n marks: [\n Plot.line(utilizationRatio)\n ]\n})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":283,"value":"### Spot price over test period","pinned":false,"hidden":false,"mode":"md","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"","database":"$undefined"},{"id":270,"value":"Plot.plot({\n x: {\n label: \"time\"\n },\n y: {\n label: \"spot price\",\n grid: true\n },\n marks: [\n Plot.line(spotPoints)\n ]\n})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":218,"value":"### parameters for simulation","pinned":false,"hidden":false,"mode":"md","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"","database":"$undefined"},{"id":444,"value":"viewof startingLpCash = slider({\n title: \"Lowest value of spot & strike prices in test period\",\n description: \"Current spot price of asset\",\n min: 0,\n max: 1000000,\n value: 500000,\n cautious: true\n})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":13,"value":"viewof minSpotPrice = slider({\n title: \"Lowest value of spot & strike prices in test period\",\n description: \"Current spot price of asset\",\n min: 2000,\n max: 3500,\n value: 2000,\n cautious: true\n})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":33,"value":"viewof maxSpotPrice = slider({\n title: \"Highest spot & strike prices in test period\",\n description: \"Max spot price of asset\",\n min: 1000,\n max: 3000,\n value: 2500,\n cautious: true\n})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":147,"value":"viewof lowerPriceDrift = slider({\n title: \"Lower bound of daily price drift\",\n description: \"Min volatility measure (percentage) for the underlying asset\",\n min: -0.2,\n max: 0.3,\n value: -0.1,\n step: 0.01,\n cautious: true\n})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":149,"value":"viewof upperPriceDrift = slider({\n title: \"Upper bound of daily price drift\",\n description: \"\",\n min: -0.3,\n max: 0.3,\n value: 0.11,\n step: 0.01,\n cautious: true\n})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":21,"value":"viewof minVolatility = slider({\n title: \"Min Volatility:\",\n description: \"Min volatility measure (percentage) for the underlying asset\",\n min: 0.5,\n max: 3,\n value: 0.6,\n step: 0.01,\n cautious: true\n})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":29,"value":"viewof maxVolatility = slider({\n title: \"Max Volatility:\",\n description: \"Max volatility measure (percentage) for the underlying asset\",\n min: 0.5,\n max: 3,\n value: 1.5,\n step: 0.01,\n cautious: true\n})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":65,"value":"viewof minTime = slider({\n title: \"Min years to expiration\",\n description: \"Min years to expiration in pricing options\",\n min: 0.01,\n max: 1.5,\n value: 0.01,\n step: 0.01,\n cautious: true\n})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":70,"value":"viewof maxTime = slider({\n title: \"Max years to expiration\",\n description: \"Max years to expiration in pricing options\",\n min: 0.01,\n max: 1.5,\n value: 1.5,\n step: 0.01,\n cautious: true\n})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":56,"value":"viewof utilizationLevel = slider({\n title: \"Percentage of assets to utilize\",\n description: \"\",\n min: 0.01,\n max: 1,\n value: 0.95,\n step: 0.01,\n cautious: true\n})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":84,"value":"viewof RFR = slider({\n title: \"Risk free rate\",\n description: \"\",\n min: 0.01,\n max: 1,\n value: 0.028,\n step: 0.001,\n cautious: true\n})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":227,"value":"viewof optionCollateralRatio = slider({\n title: \"Collateral required\",\n description: \"Collateral required to be posted as a percentage of option value\",\n min: 0.01,\n max: 1,\n value: 0.5,\n step: 0.01,\n cautious: true\n})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":401,"value":"viewof timePeriods = slider({\n title: \"Days to run\",\n description: \"The number of days simulation will be run over\",\n min: 1,\n max: 1000,\n value: 50,\n step: 1,\n cautious: true\n})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":671,"value":"slide`Assuming an attacker started with ${formatCurrency(attemptExploit.startingCapital)} and then bought an option for ${formatCurrency(attemptExploit.optionBought)}\n\nTheir net profit under standard BS pricing would be: ${attemptExploit.bsNetProfit}\n\nProfit under utilization NAV: ${attemptExploit.utilNetProfit}\n\nBoth scenarios assume their option is worth the face value they paid and not subject to the buyers spread`","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":659,"value":"attemptExploit = {\n const startingCapital = 1000\n const optionBought = state.originalUtilizationOptionPrices[0]\n const remainingCapital = startingCapital - optionBought\n // BS Navs\n const startingNAVBS = state.nav[0]\n const endingNAVBS = state.nav[1]\n const navBSChange = (endingNAVBS - startingNAVBS) / startingNAVBS\n const bsNetCapital = remainingCapital + (navBSChange * remainingCapital)\n const bsNetProfit = (bsNetCapital + optionBought) - startingCapital\n // utilization Nav\n const startingUtilNAV = state.utilizationNav[0]\n const endingUtilNav = state.utilizationNav[1]\n const navUtilChange = (endingUtilNav - startingUtilNAV) / startingUtilNAV\n const utilNetCapital = remainingCapital + (navUtilChange * remainingCapital)\n const utilNetProfit = (utilNetCapital + optionBought) - startingCapital\n return { startingCapital, optionBought, startingNAVBS, navBSChange, navUtilChange, remainingCapital, bsNetCapital, bsNetProfit, utilNetCapital, utilNetProfit }\n}","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":115,"value":"state = genState()","pinned":true,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":484,"value":"utilizationStates = genUtilizationNavs()","pinned":true,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":565,"value":"comparisionChartData = ({ series: utilizationStates.iPlots, dates: [...Array(utilizationStates.iPlots[0].values.length).keys()] })","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":99,"value":"$4d","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":302,"value":"optionQuoteWithUtilization = (option, state, maxDiscount = 0.10) => {\n const spotPrice = _.last(state.spotPrice)\n const nav = _.last(state.nav)\n const optionDelta = option.delta\n const portfolioDeltaBefore = _.last(state.portfolioDelta)\n const portfolioDeltaAfter = portfolioDeltaBefore + optionDelta\n const portfolioDeltaIsDecreased = (Math.abs(portfolioDeltaAfter) - Math.abs(portfolioDeltaBefore)) < 0\n const normaliseDelta = Math.abs((portfolioDeltaBefore + portfolioDeltaAfter) / 2) / (nav / spotPrice)\n const deltaTiltAmount = normaliseDelta > maxDiscount ? maxDiscount : normaliseDelta\n const optionPrice = option.updatedPrice ? option.updatedPrice : option.price\n \n const utilizationPrice = getUtilizationPrice(optionPrice, state)\n const decreaseQuote = utilizationPrice - utilizationPrice * deltaTiltAmount\n const increaseQuote = utilizationPrice + utilizationPrice * deltaTiltAmount\n return portfolioDeltaIsDecreased ? decreaseQuote : increaseQuote\n}","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":256,"value":"$4e","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":515,"value":"constructNav = (i, j) => {\n return state.historical.map(s => {\n const { optionsWritten } = s\n const revalUtilization = (opt) => optionQuoteWithSetUtilization(opt, s, i, j)\n const updatedUtilizationOptionPrices = optionsWritten.map(revalUtilization)\n const utilizationColAllocated = updatedUtilizationOptionPrices.reduce((pv, cv) => cv * optionCollateralRatio, 0)\n const assets = startingLpCash - utilizationColAllocated\n const liabilities = updatedUtilizationOptionPrices.reduce((pv, cv) => pv + cv, 0)\n const nav = assets - liabilities\n return nav\n })\n \n}","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":472,"value":"$4f","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":466,"value":"$50","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":461,"value":"$51","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":275,"value":"spotPoints = state.spotPrice.map((x,i) => [i, x])","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":428,"value":"utilizationRatio = state.collateralAllocated.map((x,i) => [i, x / startingLpCash])","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":374,"value":"navs = [...state.nav.map(generateLinePoints('NAV')), ...state.utilizationNav.map(generateLinePoints('Utilization NAV')),\n...state.navSimpleUtilization.map(generateLinePoints('Simple Utilization NAV')),\n...state.navBeforeZeroUtilization.map(generateLinePoints('NAV Zero Before Utilization'))]","pinned":true,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":369,"value":"generateLinePoints = (text) => (x, i) => ({time: i, value: x, text })","pinned":true,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":60,"value":"generateRandomOption = (spot) => {\n const time = _.random(minTime, maxTime)\n const volatility = _.random(minVolatility, maxVolatility)\n const callOrPut = _.random(0, 1) > 0 ? 'put' : 'call'\n const strike = _.random(minSpotPrice, maxSpotPrice)\n const args = [spot, strike, time, volatility, RFR, callOrPut]\n const price = blackScholes.blackScholes(...args)\n // invert delta for writing\n const delta = greeks.getDelta(...args) * -1\n const gamma = greeks.getGamma(...args)\n const collateralAllocated = optionCollateralRatio * price\n return { price, delta, gamma, args, collateralAllocated }\n}","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":192,"value":"revalueOption = (spotPrice, option) => {\n const args = [...option.args]\n //updated time to expiration\n args[2] = args[2] * (1/365)\n args[2] = args[2] <= 0 ? 0 : args[2]\n args[0] = Number(spotPrice)\n option.updatedPrice = blackScholes.blackScholes(...args)\n option.updatedDelta = greeks.getDelta(...args)\n option.collateralAllocated = optionCollateralRatio * option.updatedPrice\n return option \n}","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":560,"value":"$52","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":569,"value":"y = d3.scaleLinear()\n .domain([d3.min(comparisionChartData.series, d => d3.min(d.values)), d3.max(comparisionChartData.series, d => d3.max(d.values))]).nice()\n .range([height - margin.bottom, margin.top])","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":578,"value":"x = d3.scaleTime()\n .domain(d3.extent(comparisionChartData.dates))\n .range([margin.left, width - margin.right])","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":581,"value":"xAxis = g => g\n .attr(\"transform\", `translate(0,${height - margin.bottom})`)\n .call(d3.axisBottom(x).ticks(width / 80).tickSizeOuter(0))","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":583,"value":"yAxis = g => g\n .attr(\"transform\", `translate(${margin.left},0)`)\n .call(d3.axisLeft(y))\n .call(g => g.select(\".domain\").remove())\n .call(g => g.select(\".tick:last-of-type text\").clone()\n .attr(\"x\", 3)\n .attr(\"text-anchor\", \"start\")\n .attr(\"font-weight\", \"bold\")\n .text(\"Percent Change\"))","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":587,"value":"line = d3.line()\n .defined(d => !isNaN(d))\n .x((d, i) => x(comparisionChartData.dates[i]))\n .y(d => y(d))","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":573,"value":"margin = ({top: 30, right:0, bottom: 30, left: 50})","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":571,"value":"height = 1800","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":15,"value":"import { text, radio, number, input } from '@jashkenas/inputs'","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":673,"value":"formatCurrency = num => num.toLocaleString(undefined, { style: 'currency', currency: 'USD'}).split('.')[0]","pinned":true,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":93,"value":"blackScholes = require('https://bundle.run/black-scholes@1.1.0')","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":95,"value":"greeks = require('https://bundle.run/greeks@1.0.0')","pinned":true,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":38,"value":"_ = import(\"https://cdn.skypack.dev/lodash@4.17.21\")","pinned":true,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":331,"value":"function slider(config = {}) {\n let {value, min = 0, max = 1, step = \"any\", precision = 2, title, description, format, submit, cautious} = config;\n if (typeof config == \"number\") value = config;\n if (value == null) value = (max + min) / 2;\n precision = Math.pow(10, precision);\n return input({\n type: \"range\", title, description, submit, format,\n attributes: {min, max, step, value},\n getValue: input => Math.round(input.valueAsNumber * precision) / precision,\n action: cautious && function(form) {\n form.input.oninput = e => {\n form.output.value = e.target.valueAsNumber;\n e.stopPropagation();\n };\n form.onmouseup = form.onkeyup = form.ontouchend = e => {\n form.value = e.target.valueAsNumber;\n form.dispatchEvent(new CustomEvent('input'));\n };\n form.value = value;\n form.dispatchEvent(new CustomEvent('input'));\n }\n });\n}","pinned":false,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":420,"value":"slide_style","pinned":true,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"},{"id":417,"value":"import {slide, slide_style} from \"@mbostock/slide\"","pinned":true,"hidden":false,"mode":"ojs","author":"$undefined","summary":"$undefined","tool":"$undefined","providerMetadata":"$undefined","attachments":"$undefined","output":"$undefined","database":"$undefined"}],"files":"$W53","stdlib":"1"}} 44:null