Risk Management

ATOMPRO ® is a risk management system used by professional option traders, market makers, off-floor traders and risk managers of clearing houses. It is designed and developed with the help of professional option traders. ATOMPRO ® is under constant development, we aim to add new features and enhancements twice a year.

ATOMPRO ® takes care of many tedious routine jobs of option traders so that they can concentrate on trading, for example:

  • ATOMPRO ® checks position files against position reports of the clearing.
  • All printed reports like pricing sheets and position reports can be printed at once.
  • At expiration the trader can remove all expired options and settle all in-the-money options automatically.
  • ATOMPRO ® suggests which options should be exercised at the end of the trading day.
  • ATOMPRO ® calculates theoretical profit, including transaction costs, at the touch of a button.
  • ATOMPRO ® can be linked to the exchange's server, executed trades are entered automatically which nearly eliminates errors in the positions.
  • ATOMPRO ® can be linked to the ATOMPRO SCREENTRADER®, using this communication a Trader/ Risk Manager can import Market Prices and the Option Universe of an Option Class.

A lot of effort was put in the development of our theoretical pricing module, for example:

  • Index traders can value options based on the value of the futures or based on a basket of stocks that can be varied over time.
  • Our binomial pricing model is very fast through the use of several ingenious techniques.
  • We believe that we have developed a unique solution to unstable "Greeks" that are accompanied with binomial pricing.
Vega of puts with traditional binomial pricing
Vega of puts with our binomial pricing model

ATOMPRO ® users can define several volatility skew patterns that behave according to your view of the market. You can either have a 'rolling' skew (the volatility skew pattern moves with the at-the-money strike, or a 'static' skew (the pattern stays fixed irrespective of the underlying security).

The domestic interest curve is set on the page shown below. ATOMPRO ® users can either set an interest rate for each expiration or enter a money-market curve from which the necessary information is derived. Once an interest curve is defined, other traders can link their portfolio files to this curve, so that each trader uses the same interest rate curve.

The option table forms the hart of the system, it shows all options and the "Greeks" of the position. Each time the underlying value is changed or a trade is entered, either manually or automatically, the position is updated instantly.

The user can determine the contents of the option table in great detail, strikes and expirations can be distributed over several pages. And the "Greeks" of options shown in a cell can be changed or extended. In addition to that, detailed information of the selected option is shown on the right of the screen, the properties and "Greeks" of the option are displayed instantly.

To price OTC contracts, or to see the impact of changes to theoretical inputs an option calculator is included ATOMPRO ® has an extensive risk management module. The user can create a large number of scenarios and analyze his position accordingly. Changes can be made to the underlying value, the volatility, the domestic interest rate and, in case of foreign exchange derivatives, to the foreign interest rate.

By using the buttons at the bottom of the screen, the results of the analysis can be studied in greater detail.

The results of the analysis are displayed in a table
The results of the analysis are displayed in a graph

ATOMPRO ® even features a company-wide risk analysis. All positions can be analyzed simultaneously, so that the entire company's risk profile can be examined. In addition to that, the risks involved with changes to the expected dividend can be displayed.