Option Gross Exposure %
Sum of absolute option leg marks divided by portfolio value (percent). Matches gross deployment audits. Unfiltered portfolio-wide only.
Option Gross Exposure %
Definition
Sum of absolute option leg marks divided by portfolio value (percent). Matches gross deployment audits. Unfiltered portfolio-wide only.
Parameters
None
Output range: 0% to ∞
Example
`Option gross exposure % < 40` (block new entries when gross option marks exceed 40% of portfolio value)
Full indicator reference