Greeks.live
Greeks.live|Aug 11, 2026 06:17
A portfolio can show little net Vega and still carry meaningful volatility surface risk. In multi-leg strategies, exposures can offset at the aggregate level, making it harder to see where risk currently sits—and what actually drove P&L. Pro Risk Analysis combines SABR-based volatility surface metrics with two complementary views: Account Greeks show the portfolio’s current real-time exposures. P&L Attribution breaks down model-explained P&L into Skew, Smile, Vega, Vanna, Volga, and Theta, with attribution available by expiry. These views help uncover skew and smile risk, as well as second-order exposures such as Vanna and Volga, that net Vega alone may miss. Pro Risk Analysis is now live on GreeksLive Web. Start your 30-day free trial: http://greeks.live | http://glvs.ai
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