Lavender Desk features¶

What a desk gets with Lavender Desk, under the names desks search for. Each feature has one line on what it does, and the other terms it goes by. Questions? See the Desk FAQ.

The risk features in Lavender require no outside market data, but live trading and intraday P&L require market data from one of our supported market data vendors. Features marked * come with Lavender Enterprise.

Positions from your clearing firms¶

Start-of-day positions and drop copy¶

Your clearing firm's start-of-day file and a drop copy of every fill build the book, current all day.

Also searched as: start-of-day file, SOD file, clearing file, drop copy, FIX drop, clearer positions, position feed.

Several clearing firms, one book¶

Positions from every clearing firm you use, in one book.

Also searched as: multi-prime, multi-drop, multiple clearers, consolidated positions.

Fills marked cleared¶

A fill confirmed by the clearing firm shows once, marked cleared; a panel shows each link and each firm's latest file.

Also searched as: drop copy.

Trading¶

Orders from the risk screen¶

Single and multi-leg orders, with your broker's algos, from the same screen as your risk; a trader confirms every order, hedges included.

Also searched as: order entry, order ticket, click to trade, multi-leg orders, complex orders, spreads, broker algos.

Hedging algorithms from our execution partners¶

A vol hedge, for one, keeps an option's delta hedged within a band; the trader confirms the order and its band.

Also searched as: delta hedging.

Hedges sized from your risk¶

The hedge each name needs, sized from the book and staged as a ticket.

Also searched as: hedge basket, hedge report, delta offset order, flatten delta, one-click hedge.

Simulated trades¶

Card a trade beside the real book and see what it does to the desk's risk before you send it.

Also searched as: what-if trades, simulated trades, hypothetical positions, carding, paper trades, trade ideas.

Desk-wide risk¶

Greeks across the book¶

Whole-book Greeks in dollars, rolled up by account, underlying, expiry, strike or side, and broken down by trader.

Also searched as: book risk, risk overview, positions summary, trade summary, position by strike, position Greeks, dollar Greeks, long and short deltas, risk by trader.

Weighted vega¶

Vega weighted across tenors, beside raw vega.

Also searched as: weighted vega, WtVega, 30-day weighted vega, time-weighted vega, vega by tenor.

Beta-weighted delta¶

The book's delta in index terms.

Also searched as: beta-weighted delta, beta-adjusted delta, beta-adjusted slides, index-equivalent delta.

Risk on market vols or your marks¶

The book's risk on the market's vols or on your desk's marks, and the difference between them.

Also searched as: risk on own vols, theo edge, theo vs market.

Scenarios and stress¶

Scenario grid¶

The book repriced across spot and vol shocks, for the whole desk or name by name, on shock sets you define.

Also searched as: risk slide, slide report, slide by position, risk and P&L matrix, scenario matrix, price-vol grid, standard-deviation moves.

Skew in scenarios¶

Choose how the smile moves with spot in every scenario: sticky strike, sticky delta or a blend.

Also searched as: sticky strike, sticky delta, sticky skew, time-weighted vol shifts, skew dynamics.

Monte Carlo and the 5% tail loss¶

Monte Carlo across the book, with the 5% tail loss.

Also searched as: VaR, value at risk, Monte Carlo.

Historical stress¶

Replay crisis moves such as 2008, COVID and a VIX spike on today's book.

Also searched as: stress tests, crisis scenarios, 2008, COVID.

P&L¶

P&L explained by Greek¶

Each day's P&L split into delta, gamma, vega and time, with the unexplained part shown, not hidden.

Also searched as: P&L attribution, P&L explain, P&L by Greek, Greek P&L, unexplained P&L.

Opening and day-trade P&L¶

P&L on the opening position and on today's trades, separately, per line and in total.

Also searched as: open P/L, day P/L, net P/L, opening P&L, day-trade P&L.

Margin and haircuts¶

Haircuts¶

An OCC-style haircut by product group, with headroom and a what-if for a proposed trade, tied to your clearer's figure.

Also searched as: haircut, haircut report, haircut changes, OCC haircut, risk-based haircut, TIMS.

Reg T and portfolio margin¶

Reg T margin for the whole book and by account, with headroom; portfolio margin, estimated for the accounts you name.

Also searched as: Reg T, margin, buying power, portfolio margin.

Expiration¶

Pin risk¶

Short and long options near the strike into expiry, and what assignment would leave you holding.

Also searched as: pin risk, pin risk report, expiration risk, assignment risk.

Early exercise and dividend report¶

Which calls are worth exercising for the dividend, and which puts are deep enough to go early.

Also searched as: put exercise, call exercise, early exercise, dividend risk, dividend exercise report.

The book after expiry¶

Your book as it will stand after expiry and settlement, and the hedge to place.

Also searched as: post-expiration report, expiration week, expiration simulation.

Volatility¶

Live volatility surfaces¶

Every name's volatility surface, live, across every strike and expiry, with the prior day behind it.

Also searched as: vol surface, implied volatility surface, smile, skew, term structure.

Your own vols¶

Mark your vols by option, strike or expiry; they drive your theos and your risk.

Also searched as: vol marks, volatility lists, vol curve, monthly volatilities, per-option vol override, skew editor, surface editor, trader vols.

Scan against your levels¶

The market scanned against your own buy and sell vol levels.

Also searched as: vol scan, edge against your levels, buy and sell levels, rich and cheap.

Earnings¶

Earnings priced as an event: the implied move, and volatility with it taken out.

Also searched as: earnings vol, earnings risk report, implied move, ex-earnings vol.

Vol history¶

Implied and realized volatility history, and past surfaces.

Also searched as: historical implied vol, realized vol, vol cones, changes since the open.

Pricing and inputs¶

American options with discrete dividends¶

American options priced with dividends as the cash events they are.

Also searched as: American options, discrete dividends, dividend-adjusted pricing, early exercise.

Forwards and borrow from the market¶

The forward and borrow the market implies for each expiry.

Also searched as: implied borrow, stock rate, hard to borrow, implied forward.

Your rates, borrow and dividends¶

Override rates, borrow and dividends by name and expiry; each override shows what it replaced.

Also searched as: dividend overrides, rate overrides, interest rate and stock rate per expiry, borrow overrides, hard-to-borrow rates.

Desk-wide inputs¶

Overrides shared across the desk.

Also searched as: shared overrides, desk defaults.

A house rate curve*¶

Your firm's own rate curve under every name.

Also searched as: house curve, yield curve, global defaults, firm-wide defaults.

Choice of pricing model*¶

The pricing model your firm uses.

Also searched as: pricing model, model choice, model per position.

Working with it¶

Custom columns and saved views¶

Choose your columns, save views and share them with colleagues.

Also searched as: custom risk reports, report designer, column presets, saved layouts, saved views.

Excel¶

Any grid into Excel in one click.

Also searched as: export to Excel.

API¶

The same numbers through an API, for your own systems.

Also searched as: REST API, Greeks API.

Limits and alerts¶

Limits on the risk you care about, with an alert when one is crossed.

Also searched as: risk limits, delta and gamma limits, alerts, market monitor.

Scheduled reports¶

Your chosen reports by email, on a schedule.

Also searched as: scheduled reports, report scheduler, end-of-day reports by email.

Audit trail¶

Every order and action recorded, with who and when.

Also searched as: audit trail, compliance record.

Risk in a browser¶

The desk's risk summary in a browser, read only.

Also searched as: web access, mobile.

Run for you¶

Lavender sets it up, connects your brokers and keeps it running.

Also searched as: hosted, managed service.

Market data for risk, included¶

The risk features in Lavender require no outside market data, but live trading and intraday P&L require market data from one of our supported market data vendors.

Also searched as: market data included.

Let's talk¶

We support a number of the widely used executing brokers and a select list of clearing firms — tell us yours. info@lavender-ts.com