Learn / explore scenarios

Explore price and volatility scenarios

Revalue a sample bull call spread before expiry. Each line applies a different volatility shock. This is mark-to-market P&L, not an expiration payoff or a forecast.

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Sample data

Revalue a sample bull call spread before expiry. Each line applies a different volatility shock. This is mark-to-market P&L, not an expiration payoff or a forecast.

Scenario cells123

Lowest grid P&L-309.1597USD · not maximum loss

Highest grid P&L686.0154USD · not maximum profit

Days forward7

Mark-to-market P&L under volatility shocks

-5 volatility points0 volatility points+5 volatility pointsP&L · USD / spread

Exact chart data

Series	Scenario underlying price · USD	P&L · USD / spread
-5 volatility points	75	-309.15971829940537
-5 volatility points	76.5	-309.15451659372417
-5 volatility points	78	-309.1377688305849
-5 volatility points	79.5	-309.08890427810115
-5 volatility points	81	-308.9589980835264
-5 volatility points	82.5	-308.64270087216204
-5 volatility points	84	-307.9339559694936
-5 volatility points	85.5	-306.46573589182515
-5 volatility points	87	-303.64175076511816
-5 volatility points	88.5	-298.57814945130065
-5 volatility points	90	-290.08172851873684
-5 volatility points	91.5	-276.69274621104915
-5 volatility points	93	-256.8109670719094
-5 volatility points	94.5	-228.90298555921694
-5 volatility points	96	-191.76253645836437
-5 volatility points	97.5	-144.7726529733082
-5 volatility points	99	-88.10851292487672
-5 volatility points	100.5	-22.827760256890713
-5 volatility points	102	49.18049945213147
-5 volatility points	103.5	125.38352452639288
-5 volatility points	105	202.89335248201496
-5 volatility points	106.5	278.7987197289947
-5 volatility points	108	350.47837480200906
-5 volatility points	109.5	415.8440038019588
-5 volatility points	111	473.4817812028889
-5 volatility points	112.5	522.6858298862485
-5 volatility points	114	563.3980511415589
-5 volatility points	115.5	596.0825297569347
-5 volatility points	117	621.5676124533818
-5 volatility points	118.5	640.8859419186685
-5 volatility points	120	655.1349028021239
-5 volatility points	121.5	665.3702022180914
-5 volatility points	123	672.5362568957596
-5 volatility points	124.5	677.4302917128571
-5 volatility points	126	680.6931233168445
-5 volatility points	127.5	682.8182532547503
-5 volatility points	129	684.1714228062049
-5 volatility points	130.5	685.0143659647604
-5 volatility points	132	685.5284314250387
-5 volatility points	133.5	685.8355449755197
-5 volatility points	135	686.0153982049699
0 volatility points	75	-309.0816845973512
0 volatility points	76.5	-308.9691954808905
0 volatility points	78	-308.72736156899276
0 volatility points	79.5	-308.23934277886474
0 volatility points	81	-307.3117379949824
0 volatility points	82.5	-305.645667347892
0 volatility points	84	-302.8094834864841
0 volatility points	85.5	-298.2205842294764
0 volatility points	87	-291.145030526875
0 volatility points	88.5	-280.7227688468027
0 volatility points	90	-266.0227750248115
0 volatility points	91.5	-246.1267381856737
0 volatility points	93	-220.23318882446824
0 volatility points	94.5	-187.76798827139967
0 volatility points	96	-148.48358501417655
0 volatility points	97.5	-102.52957660099702
0 volatility points	99	-50.481087762670654
0 volatility points	100.5	6.68156600128475
0 volatility points	102	67.64014071684096
0 volatility points	103.5	130.84308619458153
0 volatility points	105	194.63236983687756
0 volatility points	106.5	257.37491492750064
0 volatility points	108	317.5819521343665
0 volatility points	109.5	374.0031883834614
0 volatility points	111	425.68794462411404
0 volatility points	112.5	472.01107671415093
0 volatility points	114	512.6664972483911
0 volatility points	115.5	547.6347362031563
0 volatility points	117	577.1329108273196
0 volatility points	118.5	601.5557957031508
0 volatility points	120	621.41573453139
0 volatility points	121.5	637.2873871666927
0 volatility points	123	649.7612343973747
0 volatility points	124.5	659.4077609723699
0 volatility points	126	666.7525685475032
0 volatility points	127.5	672.2614651252816
0 volatility points	129	676.3338544208611
0 volatility points	130.5	679.3024477909514
0 volatility points	132	681.4373418444609
0 volatility points	133.5	682.952734710381
0 volatility points	135	684.0148917109548
+5 volatility points	75	-308.4730132869864
+5 volatility points	76.5	-307.8582156902168
+5 volatility points	78	-306.8028832699947
+5 volatility points	79.5	-305.0699655230848
+5 volatility points	81	-302.3414735638093
+5 volatility points	82.5	-298.2130913020563
+5 volatility points	84	-292.197984604638
+5 volatility points	85.5	-283.74229931033415
+5 volatility points	87	-272.25339253925426
+5 volatility points	88.5	-257.13986109378055
+5 volatility points	90	-237.86027413357823
+5 volatility points	91.5	-213.97562961101718
+5 volatility points	93	-185.19935563368497
+5 volatility points	94.5	-151.4384570840415
+5 volatility points	96	-112.82024755228514
+5 volatility points	97.5	-69.70086722024297
+5 volatility points	99	-22.65414525532492
+5 volatility points	100.5	27.55810588478022
+5 volatility points	102	80.0310084769095
+5 volatility points	103.5	133.77173401502552
+5 volatility points	105	187.75895122979483
+5 volatility points	106.5	241.00075193253087
+5 volatility points	108	292.5859541624593
+5 volatility points	109.5	341.7249742969101
+5 volatility points	111	387.7780283326215
+5 volatility points	112.5	430.2700107386645
+5 volatility points	114	468.8927958945602
+5 volatility points	115.5	503.4967707737553
+5 volatility points	117	534.0740733048126
+5 volatility points	118.5	560.7362824816637
+5 volatility points	120	583.6892390741116
+5 volatility points	121.5	603.2073556188243
+5 volatility points	123	619.6092977281696
+5 volatility points	124.5	633.2363765729772
+5 volatility points	126	644.4344593519991
+5 volatility points	127.5	653.5397338509231
+5 volatility points	129	660.8682859153109
+5 volatility points	130.5	666.7091764543359
+5 volatility points	132	671.3205340952929
+5 volatility points	133.5	674.9280974981832
+5 volatility points	135	677.7256290318467

Assumptions & conventions

{
  "conventionsVersion": "0.0.1",
  "marketSource": "construction"
}

Diagnostics & warnings

{
  "engine": "black-scholes-merton",
  "method": "closed-form",
  "converged": true,
  "warnings": []
}

Full result · JSON

{
  "value": [
    {
      "underlyingPrice": 75,
      "volatilityShock": -0.05,
      "daysForward": 7,
      "pnl": -309.15971829940537,
      "delta": 0.0017455766681017681,
      "gamma": 0.0014946301376381561,
      "theta": -0.0004748103834219129,
      "vega": 0.001934829424750764
    },
    {
      "underlyingPrice": 75,
      "volatilityShock": 0,
      "daysForward": 7,
      "pnl": -309.0816845973512,
      "delta": 0.048606776682314265,
      "gamma": 0.02711672515693952,
      "theta": -0.013449956151831378,
      "vega": 0.04387894738580111
    },
    {
      "underlyingPrice": 75,
      "volatilityShock": 0.05,
      "daysForward": 7,
      "pnl": -308.4730132869864,
      "delta": 0.30364453301615496,
      "gamma": 0.11930239081898969,
      "theta": -0.08515563354539418,
      "vega": 0.2316590945012574
    },
    {
      "underlyingPrice": 76.5,
      "volatilityShock": -0.05,
      "daysForward": 7,
      "pnl": -309.15451659372417,
      "delta": 0.005977794883993395,
      "gamma": 0.0046969776060838304,
      "theta": -0.001555520267074673,
      "vega": 0.006325979518896284
    },
    {
      "underlyingPrice": 76.5,
      "volatilityShock": 0,
      "daysForward": 7,
      "pnl": -308.9691954808905,
      "delta": 0.10846954528608696,
      "gamma": 0.05562621293895088,
      "theta": -0.02875971872957386,
      "vega": 0.09364806298782849
    },
    {
      "underlyingPrice": 76.5,
      "volatilityShock": 0.05,
      "daysForward": 7,
      "pnl": -307.8582156902168,
      "delta": 0.5345337395569769,
      "gamma": 0.19320360199965467,
      "theta": -0.1437368394499966,
      "vega": 0.39031547467154065
    },
    {
      "underlyingPrice": 78,
      "volatilityShock": -0.05,
      "daysForward": 7,
      "pnl": -309.1377688305849,
      "delta": 0.018472671771226214,
      "gamma": 0.013286046173378953,
      "theta": -0.004584454863042627,
      "vega": 0.018602503049814673
    },
    {
      "underlyingPrice": 78,
      "volatilityShock": 0,
      "daysForward": 7,
      "pnl": -308.72736156899276,
      "delta": 0.22667080327239889,
      "gamma": 0.106598932144992,
      "theta": -0.05741633912471339,
      "vega": 0.18656857488455836
    },
    {
      "underlyingPrice": 78,
      "volatilityShock": 0.05,
      "daysForward": 7,
      "pnl": -306.8028832699947,
      "delta": 0.8987834642003496,
      "gamma": 0.2981217823916386,
      "theta": -0.23104009797197775,
      "vega": 0.6261243518709915
    },
    {
      "underlyingPrice": 79.5,
      "volatilityShock": -0.05,
      "daysForward": 7,
      "pnl": -309.08890427810115,
      "delta": 0.051811050584052075,
      "gamma": 0.034011788316549926,
      "theta": -0.012222218771558942,
      "vega": 0.04947093816176623
    },
    {
      "underlyingPrice": 79.5,
      "volatilityShock": 0,
      "daysForward": 7,
      "pnl": -308.23934277886474,
      "delta": 0.44518059023052753,
      "gamma": 0.1914589731308939,
      "theta": -0.10737924764972874,
      "vega": 0.34810191881563257
    },
    {
      "underlyingPrice": 79.5,
      "volatilityShock": 0.05,
      "daysForward": 7,
      "pnl": -305.0699655230848,
      "delta": 1.4470404564882116,
      "gamma": 0.4392341307014595,
      "theta": -0.3544138352479605,
      "vega": 0.9583144077679544
    },
    {
      "underlyingPrice": 81,
      "volatilityShock": -0.05,
      "daysForward": 7,
      "pnl": -308.9589980835264,
      "delta": 0.13261139637934127,
      "gamma": 0.07919577860397108,
      "theta": -0.029626370831527103,
      "vega": 0.11957998434886287
    },
    {
      "underlyingPrice": 81,
      "volatilityShock": 0,
      "daysForward": 7,
      "pnl": -307.3117379949824,
      "delta": 0.8245192721905985,
      "gamma": 0.32324591213247916,
      "theta": -0.18869304060573533,
      "vega": 0.6100978769797961
    },
    {
      "underlyingPrice": 81,
      "volatilityShock": 0.05,
      "daysForward": 7,
      "pnl": -302.3414735638093,
      "delta": 2.235911001032346,
      "gamma": 0.6190583455584323,
      "theta": -0.5198504828980292,
      "vega": 1.4021010067296389
    },
    {
      "underlyingPrice": 82.5,
      "volatilityShock": -0.05,
      "daysForward": 7,
      "pnl": -308.64270087216204,
      "delta": 0.31133194463033204,
      "gamma": 0.16850753156657605,
      "theta": -0.0656019880113724,
      "vega": 0.2639451191367142
    },
    {
      "underlyingPrice": 82.5,
      "volatilityShock": 0,
      "daysForward": 7,
      "pnl": -305.645667347892,
      "delta": 1.4446525868762774,
      "gamma": 0.5143708238119048,
      "theta": -0.3124136377524579,
      "vega": 1.0071186960406209
    },
    {
      "underlyingPrice": 82.5,
      "volatilityShock": 0.05,
      "daysForward": 7,
      "pnl": -298.2130913020563,
      "delta": 3.322861755192278,
      "gamma": 0.8359974651335029,
      "theta": -0.730350275341429,
      "vega": 1.9642218524114465
    },
    {
      "underlyingPrice": 84,
      "volatilityShock": -0.05,
      "daysForward": 7,
      "pnl": -307.9339559694936,
      "delta": 0.6736543593881784,
      "gamma": 0.32901154790463,
      "theta": -0.13327255058660162,
      "vega": 0.534264275313057
    },
    {
      "underlyingPrice": 84,
      "volatilityShock": 0,
      "daysForward": 7,
      "pnl": -302.8094834864841,
      "delta": 2.4016421231355265,
      "gamma": 0.7732502963359716,
      "theta": -0.488540059322632,
      "vega": 1.569549806984643
    },
    {
      "underlyingPrice": 84,
      "volatilityShock": 0.05,
      "daysForward": 7,
      "pnl": -292.197984604638,
      "delta": 4.759134975505526,
      "gamma": 1.083204944632146,
      "theta": -0.9842503598875817,
      "vega": 2.6384379596024035
    },
    {
      "underlyingPrice": 85.5,
      "volatilityShock": -0.05,
      "daysForward": 7,
      "pnl": -306.46573589182515,
      "delta": 1.3495351062486733,
      "gamma": 0.5917334697847794,
      "theta": -0.24937524900386665,
      "vega": 0.9955080717520862
    },
    {
      "underlyingPrice": 85.5,
      "volatilityShock": 0,
      "daysForward": 7,
      "pnl": -298.2205842294764,
      "delta": 3.7987117690776726,
      "gamma": 1.1003563862221566,
      "theta": -0.7230827686816441,
      "vega": 2.3139929550683687
    },
    {
      "underlyingPrice": 85.5,
      "volatilityShock": 0.05,
      "daysForward": 7,
      "pnl": -283.74229931033415,
      "delta": 6.58141103403803,
      "gamma": 1.3480998036503018,
      "theta": -1.2738746539174395,
      "vega": 3.401981562449211
    },
    {
      "underlyingPrice": 87,
      "volatilityShock": -0.05,
      "daysForward": 7,
      "pnl": -303.64175076511816,
      "delta": 2.5136942199292176,
      "gamma": 0.9836009755115918,
      "theta": -0.4312996603462668,
      "vega": 1.713341276236625
    },
    {
      "underlyingPrice": 87,
      "volatilityShock": 0,
      "daysForward": 7,
      "pnl": -291.145030526875,
      "delta": 5.731535942610641,
      "gamma": 1.484650696561716,
      "theta": -1.0147708652327607,
      "vega": 3.2326540214765513
    },
    {
      "underlyingPrice": 87,
      "volatilityShock": 0.05,
      "daysForward": 7,
      "pnl": -272.25339253925426,
      "delta": 8.803392362640132,
      "gamma": 1.6127757450884026,
      "theta": -1.5848738581284307,
      "vega": 4.213957675168052
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    {
      "underlyingPrice": 88.5,
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      "daysForward": 7,
      "pnl": -298.57814945130065,
      "delta": 4.3707952769436815,
      "gamma": 1.5153976759188232,
      "theta": -0.6915856017540299,
      "vega": 2.7314897796330877
    },
    {
      "underlyingPrice": 88.5,
      "volatilityShock": 0,
      "daysForward": 7,
      "pnl": -280.7227688468027,
      "delta": 8.269202957443923,
      "gamma": 1.9015791741821353,
      "theta": -1.3522240619974895,
      "vega": 4.284472783928063
    },
    {
      "underlyingPrice": 88.5,
      "volatilityShock": 0.05,
      "daysForward": 7,
      "pnl": -257.13986109378055,
      "delta": 11.408734806204668,
      "gamma": 1.8553858241020387,
      "theta": -1.8965454877595718,
      "vega": 5.016472734859514
    },
    {
      "underlyingPrice": 90,
      "volatilityShock": -0.05,
      "daysForward": 7,
      "pnl": -290.08172851873684,
      "delta": 7.121361350696058,
      "gamma": 2.1688445486741887,
      "theta": -1.0307575926738577,
      "vega": 4.042963920323064
    },
    {
      "underlyingPrice": 90,
      "volatilityShock": 0,
      "daysForward": 7,
      "pnl": -266.0227750248115,
      "delta": 11.434003363616915,
      "gamma": 2.313645532320745,
      "theta": -1.712543514838866,
      "vega": 5.39111102805149
    },
    {
      "underlyingPrice": 90,
      "volatilityShock": 0.05,
      "daysForward": 7,
      "pnl": -237.86027413357823,
      "delta": 14.346725166770122,
      "gamma": 2.0523822256551054,
      "theta": -2.1832588417931116,
      "vega": 5.738798080831783
    },
    {
      "underlyingPrice": 91.5,
      "volatilityShock": -0.05,
      "daysForward": 7,
      "pnl": -276.69274621104915,
      "delta": 10.910768419024418,
      "gamma": 2.8878814225024674,
      "theta": -1.4306738670972088,
      "vega": 5.564267068827089
    },
    {
      "underlyingPrice": 91.5,
      "volatilityShock": 0,
      "daysForward": 7,
      "pnl": -246.1267381856737,
      "delta": 15.184354525550635,
      "gamma": 2.6740363303088834,
      "theta": -2.062106814669366,
      "vega": 6.4402974519862966
    },
    {
      "underlyingPrice": 91.5,
      "volatilityShock": 0.05,
      "daysForward": 7,
      "pnl": -213.97562961101718,
      "delta": 17.531775114188505,
      "gamma": 2.181299674511214,
      "theta": -2.416893795990542,
      "vega": 6.304275784084221
    },
    {
      "underlyingPrice": 93,
      "volatilityShock": -0.05,
      "daysForward": 7,
      "pnl": -256.8109670719094,
      "delta": 15.771625951831117,
      "gamma": 3.5792994883195943,
      "theta": -1.8512976634265639,
      "vega": 7.124433827550682
    },
    {
      "underlyingPrice": 93,
      "volatilityShock": 0,
      "daysForward": 7,
      "pnl": -220.23318882446824,
      "delta": 19.405302775158624,
      "gamma": 2.932974665004057,
      "theta": -2.359886704081317,
      "vega": 7.297441855205779
    },
    {
      "underlyingPrice": 93,
      "volatilityShock": 0.05,
      "daysForward": 7,
      "pnl": -185.19935563368497,
      "delta": 20.84722619510544,
      "gamma": 2.223640160788332,
      "theta": -2.569986462707524,
      "vega": 6.639082828994365
    },
    {
      "underlyingPrice": 94.5,
      "volatilityShock": -0.05,
      "daysForward": 7,
      "pnl": -228.90298555921694,
      "delta": 21.57606058403144,
      "gamma": 4.125444230910777,
      "theta": -2.2333483006282497,
      "vega": 8.47853386525929
    },
    {
      "underlyingPrice": 94.5,
      "volatilityShock": 0,
      "daysForward": 7,
      "pnl": -187.76798827139967,
      "delta": 23.909943281587974,
      "gamma": 3.0456800632840784,
      "theta": -2.562966374269727,
      "vega": 7.824279069698569
    },
    {
      "underlyingPrice": 94.5,
      "volatilityShock": 0.05,
      "daysForward": 7,
      "pnl": -151.4384570840415,
      "delta": 24.153256226466237,
      "gamma": 2.1673790744002623,
      "theta": -2.619112452929371,
      "vega": 6.6815338613000845
    },
    {
      "underlyingPrice": 96,
      "volatilityShock": -0.05,
      "daysForward": 7,
      "pnl": -191.76253645836437,
      "delta": 28.015433068780226,
      "gamma": 4.407441296871592,
      "theta": -2.507569530737827,
      "vega": 9.34792941185031
    },
    {
      "underlyingPrice": 96,
      "volatilityShock": 0,
      "daysForward": 7,
      "pnl": -148.48358501417655,
      "delta": 28.452965164001306,
      "gamma": 2.9802766763914006,
      "theta": -2.6332930051192864,
      "vega": 7.901244203316247
    },
    {
      "underlyingPrice": 96,
      "volatilityShock": 0.05,
      "daysForward": 7,
      "pnl": -112.82024755228514,
      "delta": 27.297993134123598,
      "gamma": 2.0086764559595043,
      "theta": -2.5479696925757147,
      "vega": 6.390430793105401
    },
    {
      "underlyingPrice": 97.5,
      "volatilityShock": -0.05,
      "daysForward": 7,
      "pnl": -144.7726529733082,
      "delta": 34.61933249928579,
      "gamma": 4.333079451919224,
      "theta": -2.608949501643216,
      "vega": 9.479650052996705
    },
    {
      "underlyingPrice": 97.5,
      "volatilityShock": 0,
      "daysForward": 7,
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      "vega": -3.205490988372674
    },
    {
      "underlyingPrice": 132,
      "volatilityShock": -0.05,
      "daysForward": 7,
      "pnl": 685.5284314250387,
      "delta": 0.2628627343306391,
      "gamma": -0.09043421695759919,
      "theta": 0.19154576303461845,
      "vega": -0.362632785990722
    },
    {
      "underlyingPrice": 132,
      "volatilityShock": 0,
      "daysForward": 7,
      "pnl": 681.4373418444609,
      "delta": 1.1958089904380103,
      "gamma": -0.273557728606375,
      "theta": 0.4993486876519253,
      "vega": -1.3711762620272199
    },
    {
      "underlyingPrice": 132,
      "volatilityShock": 0.05,
      "daysForward": 7,
      "pnl": 671.3205340952929,
      "delta": 2.716361147650403,
      "gamma": -0.44493995146157644,
      "theta": 1.0239600471471957,
      "vega": -2.676251638349535
    },
    {
      "underlyingPrice": 133.5,
      "volatilityShock": -0.05,
      "daysForward": 7,
      "pnl": 685.8355449755197,
      "delta": 0.15532999177438,
      "gamma": -0.05550466332463699,
      "theta": 0.16097201349099066,
      "vega": -0.22765564607876979
    },
    {
      "underlyingPrice": 133.5,
      "volatilityShock": 0,
      "daysForward": 7,
      "pnl": 682.952734710381,
      "delta": 0.843096665241589,
      "gamma": -0.1999687619602888,
      "theta": 0.40151809144863604,
      "vega": -1.0252295702024918
    },
    {
      "underlyingPrice": 133.5,
      "volatilityShock": 0.05,
      "daysForward": 7,
      "pnl": 674.9280974981832,
      "delta": 2.1152324079273797,
      "gamma": -0.35889028757269037,
      "theta": 0.8654759113705979,
      "vega": -2.2080144818883287
    },
    {
      "underlyingPrice": 135,
      "volatilityShock": -0.05,
      "daysForward": 7,
      "pnl": 686.0153982049699,
      "delta": 0.09000261684617783,
      "gamma": -0.03332033350868964,
      "theta": 0.14100364088674722,
      "vega": -0.13975369470809032
    },
    {
      "underlyingPrice": 135,
      "volatilityShock": 0,
      "daysForward": 7,
      "pnl": 684.0148917109548,
      "delta": 0.5870843862445554,
      "gamma": -0.14402404437714758,
      "theta": 0.32488493032713883,
      "vega": -0.7550904436197782
    },
    {
      "underlyingPrice": 135,
      "volatilityShock": 0.05,
      "daysForward": 7,
      "pnl": 677.7256290318467,
      "delta": 1.6329501360973353,
      "gamma": -0.2863084646322249,
      "theta": 0.7273049028640208,
      "vega": -1.8012724459129033
    }
  ],
  "assumptions": {
    "conventionsVersion": "0.0.1",
    "marketSource": "construction"
  },
  "diagnostics": {
    "engine": "black-scholes-merton",
    "method": "closed-form",
    "converged": true,
    "warnings": []
  }
}

Use it in your project

Returns scenario rows in value, plus assumptions and diagnostics. Each row names its underlying price, volatility shock and P&L. These three price scenarios use the same market and time advance as the chart, with no volatility shock.

import { legs, strategy } from '@insiderfinance/totalfinance/strategy';

const market = {
  "spot": 100,
  "volatility": 0.25,
  "riskFreeRate": 0.04,
  "asOf": "2026-01-02T21:00:00Z",
  "expiry": "2026-02-20T21:00:00Z"
};
const position = strategy([
  legs.call({ strike: 100, quantity: 1 }),
  legs.call({ strike: 110, quantity: -1 }),
], { premiums: 'model', market, multiplier: 100 });
const underlyingPrices = [90, 100, 110];
const result = position.scenarioTable({
  prices: underlyingPrices,
  volatilityShocks: [0],
  daysForward: [7],
});
console.log(result);

Output of this example

{
  "value": [
    {
      "underlyingPrice": 90,
      "volatilityShock": 0,
      "daysForward": 7,
      "pnl": -266.0227750248115,
      "delta": 11.434003363616915,
      "gamma": 2.313645532320745,
      "theta": -1.712543514838866,
      "vega": 5.39111102805149
    },
    {
      "underlyingPrice": 100,
      "volatilityShock": 0,
      "daysForward": 7,
      "pnl": -12.865453876559855,
      "delta": 38.63467859251617,
      "gamma": 1.9066587050305426,
      "theta": -2.023336198040153,
      "vega": 5.4849086035125225
    },
    {
      "underlyingPrice": 110,
      "volatilityShock": 0,
      "daysForward": 7,
      "pnl": 391.7953512007746,
      "delta": 35.03651104419351,
      "gamma": -2.2261780297847213,
      "theta": 1.9606882151464209,
      "vega": -7.748929279017776
    }
  ],
  "assumptions": {
    "conventionsVersion": "0.0.1",
    "marketSource": "construction"
  },
  "diagnostics": {
    "engine": "black-scholes-merton",
    "method": "closed-form",
    "converged": true,
    "warnings": []
  }
}

Reproduce this entire playground

This complete example reproduces every chart point and the full playground result. Sample generation and chart mapping are example setup, not required conversions of library outputs.

import { legs, strategy } from '@insiderfinance/totalfinance/strategy';

const market = {
  "spot": 100,
  "volatility": 0.25,
  "riskFreeRate": 0.04,
  "asOf": "2026-01-02T21:00:00Z",
  "expiry": "2026-02-20T21:00:00Z"
};
const position = strategy([legs.call({ strike: 100, quantity: 1 }), legs.call({ strike: 110, quantity: -1 })], { premiums: 'model', market, multiplier: 100 });
const result = position.scenarioTable({
  "prices": {
    "from": 75,
    "to": 135,
    "steps": 41
  },
  "volatilityShocks": [
    -0.05,
    0,
    0.05
  ],
  "daysForward": [
    7
  ]
});
console.log(result);

Both examples use the last successfully calculated inputs. The first call may show fewer scenarios or selected report fields, as labeled above. Displayed metrics are rounded; copied calculations retain exact values.

Continue with the full API reference or the API levels guide.