An Iron Condor Through Changing Prices and Volatility
The recording follows one four-leg position as its simulated underlying price and volatility change. The browser and terminal examples obtain their prices and risk measures from Rust snapshots. The position stays identifiable as exact listed contracts throughout the calculation.
The four contracts
The example uses a cash-settled European iron condor on the synthetic index SIMX:
+1 SIMX 90 put
-1 SIMX 95 put
-1 SIMX 105 call
+1 SIMX 110 call
For one underlying unit, the terminal payment is
\[g(S_T)=(90-S_T)^+-(95-S_T)^+-(S_T-105)^++(S_T-110)^+.\]
Between 95 and 105 the option payment is zero. Outside the two wings it is minus five. Premium, financing, fees and any trading cash flows must be included separately to obtain profit. A terminal payoff chart therefore answers a different question from the current mark or the profit accumulated along a path.
Volt validates the contracts, canonicalizes signed positions and derives the terminal hinge payoff. Those exact financial objects provide the common position behind the changing display.
Reading the browser panels
The path panel supplies the current observation. The leg table shows theoretical marks, implied volatility, delta and profit for the four contracts. Portfolio panels aggregate delta, gamma, vega and theta, while a spot-by-volatility grid shows the effect of joint shocks.
A position with a bounded terminal payment can still change substantially in value before expiry. The local Greeks describe sensitivity around the current observation; the scenario grid evaluates changes over a larger region. Neither panel is a forecast of the next price move.
The terminal view
The terminal example exposes the same kinds of financial quantities in a compact monitor. Its recording is a separate deterministic run; the two videos should not be compared frame by frame as if they were a synchronized feed.
Run the examples
From the Volt repository:
cargo run --example risk_server
Open http://127.0.0.1:8081 for the browser. For the terminal:
cargo run --example risk
cargo run -q --example risk -- --ticks 1 --no-color
The spot process is geometric Brownian motion with mean-reverting log volatility and negative spot/volatility correlation. The Black–Scholes marks are the example’s educational pricing adapter. These recordings use synthetic data and do not measure trading performance.
Source and related material
This walkthrough is for research and educational purposes. It illustrates how strategynet.ai organizes signal evidence into factors and scenarios. It provides no recommendation, investment advice, or instruction to trade any security.
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