🧠 Options Pricing Greeks — Interactive Risk Modelling

This page provides a dynamic, visual representation of key options risk metrics — known as the Greeks — under a range of customisable market conditions. It's designed to support both self-guided learning and advanced risk scenario analysis.

📍 What You Can Do Here:

• Adjust Share Price & Volatility using intuitive single-value sliders

• View Greeks across a range of tenors to expiry (maturities)

• Toggle between:

  • ATM Greeks — values calculated as price on an ATM option

  • Positional Greeks — values representing your positional exposure in dollar terms of an ATM option

📈 Displayed Greeks Include:

• Gamma — Measures how quickly Delta changes as the stock price moves

• Theta — Shows the rate of time decay in option value

• Vega — Indicates sensitivity to changes in volatility

The tool calculates each Greek using a simplification of the Black-Scholes formula - generic Brownian motion.  It offers two perspectives:
🟡 ATM Greeks for understanding base sensitivity
🟢 Position Greeks for real-world impact, including scale and leverage

This dashboard is ideal for:

• Students learning options pricing from the ground up

• Traders visualising portfolio-level risk exposures

• Teams building internal understanding of market sensitivities

The entire tool is built in Power BI using custom DAX measures and What-If Parameters, allowing real-time updates as you explore different market assumptions.