How to Calculate your portfolio's Beta Weighted Delta?

[ftw129]

Hello out there!

Does anyone know how to calculate (or can point me to a calculator) your overall portfolio's BETA Weighted Delta?

Many thanks.

 

[tech/a]

Hello out there!

Does anyone know how to calculate (or can point me to a calculator) your overall portfolio's BETA Weighted Delta?

Many thanks.

If you "Sell Crap and manage risk" is this question meant to be rhetorical?

plenty on Google.

 

[ftw129]

If you "Sell Crap and manage risk" is this question meant to be rhetorical?

plenty on Google.

Thanks for your help.

The reason I ask is because the previous platform I was using (ThinkOrSwim) had this feature built in to their quote monitor whereas to my surprise, IB's TWS does not BETA Weight which means that adding the Deltas from my various INDEX positions does not really make sense as they all have different Betas.

I have spent time Googling this topic and I can't seem to find the answer.

Do you know if it's just a matter of a simple calculation?

I have attached a screen shot of how this is featured in TOS and as you can see I have my Greeks weighted to the SPY as shown near the top right corner of the shot. The BETA Weighting feature allows my Greeks to be added together so that they correlate.

TWS does not have this feature so I'm left hoping that there is a way I can calculate this myself.

If you have a helpful answer for me I'd really appreciate it or can point me to the Google links that you were referring to.

Thank you

 

[tech/a]

Have you put the question to IB?

I dont know of the exact formula you are looking for.
I presume you want to put it in excel.
You need a financial maths geek.---not me.

 

[ftw129]

Have you put the question to IB?

I dont know of the exact formula you are looking for.
I presume you want to put it in excel.
You need a financial maths geek.---not me.

I've had really good ongoing support from one of the guys at IB in the US and yes he was able to confirm that they do not have this feature so I added it to their "New Features Poll" and other users will be able to vote on it soon.

I was hoping that someone on this forum may already be using something that could help me or point me to a formula that I could pop into a spread sheet.

Thanks for your input.

 

[ftw129]

I added it to their "New Features Poll" and other users will be able to vote on it soon.

My request for this feature to be added is now visible in IB's "New Features Poll".

For those who would like to see it implemented you can vote on it now.

Here is the link

http://www.interactivebrokers.com/en/index.php?f=2493&sid=8926

Thanks for your support

 

[DJG]

I don't know if this is what you're after, but here is the calculation for the Beta of a portfolio, I assume you may be requiring something a bit further in depth?
Hopefully this may help others regardless.

 

[ftw129]

I don't know if this is what you're after, but here is the calculation for the Beta of a portfolio, I assume you may be requiring something a bit further in depth?
Hopefully this may help others regardless.

View attachment 53097

Thanks Dangaff!

This certainly brings me one step closer to figuring out how to calculate the "Beta weighted delta".

BUT

If I've got the Weighted Beta of the entire portfolio then how can I convert the Delta of the portfolio to also be Beta Weighted?... I'm sure the answer is staring me in the face but I just can't quite put my finger on it!

 

[omad]

I'm desperately waiting for IB to get this feature up and running also, I've got to many open positions to calculate manually so I'm hoping they don't drag the chain to long on this.

It's currently the highest voted request in the new feature poll, if anyone is wanting this feature and hasn't voted it might speed things up if you do.

Link: http://www.interactivebrokers.com/en/general/poll/?sid=8852

 

[skyQuake]

Delta is only relevant to options. Any stock by definition will have a delta of 1.

So thus a portfolio's beta weight delta is simply a portfolio's weighted beta (assuming u have no options)

If you do have oppies in there,

Its a simple matter of beta of stock1 x weight of stock1 x delta of stock1 etc etc

 

[omad]

With 30+ option positions open at any time calculating manually is not an option.

I'm hoping that IB will implement soon if enough requests are made for it.

 

[ftw129]

Delta is only relevant to options.

If you do have oppies in there,

Its a simple matter of beta of stock1 x weight of stock1 x delta of stock1 etc etc

skyQuake,

Please tell me it's that easy! (I thought it might be)...

Can I just give you an example and you help me work it out?

Let's pretend the following is my current portfolio. Each of the indexes (if you could open them up and see what positions I have inside them) contain multiple dozens of option spreads (most of the people voting on this feature at IB with me, are pure option traders with large complex positions spread across multiple strikes, months and indexes). We only ever buy the actual index as a pure delta hedge against the portfolio when we have to... Or the ES future...

DIA Delta= -80... Beta (.85)
IWM Delta= +55... Beta (1.31)
QQQ Delta= -170... Beta (.92)
SPY Delta= 45... Beta (1)

Total Beta Weighted Delta =

Would you be so kind to apply the calculation with a brief explanation of how you did it?

Thanks in advance

 

[ftw129]

***UPDATE***

IB has listened to our pleas. The Beta Weighting topic has become the most voted for feature in their "New Features Poll" (located here https://www.interactivebrokers.com/en/index.php?f=2493&sid=8852)

IB are now in the process of building this feature into their Risk Navigator. It will be released in one of their TWS updates, by the end of the year.

Thanks to everyone who voted

 

[KangarooTrader]

***UPDATE***

IB has listened to our pleas. The Beta Weighting topic has become the most voted for feature in their "New Features Poll" (located here https://www.interactivebrokers.com/en/index.php?f=2493&sid=8852)

IB are now in the process of building this feature into their Risk Navigator. It will be released in one of their TWS updates, by the end of the year.

Thanks to everyone who voted

Is this available in TWS yet? I'm using the latest TWS version and can't find it or its mention in recent release notes.

 

[aarbee]

The only other options analysis platform that I know of, with the capability to do Beta weighting is OptionVue. I am signing on for a trial as Option Vue does this and quite a few other things that ThinkOrSwim is capable of. Pity that we in Australia can't get access to TOS.
Watching one of the webinars from IB (dated December 2013), there was a mention that Beta weighting will be introduced in the next build towards end of year. Not sure if the reference was to end 2013 or 2014. Probably the latter, though hope it was the former.
Regards

 

[ftw129]

Is this available in TWS yet? I'm using the latest TWS version and can't find it or its mention in recent release notes.

Actually, no.

I'll send them a query and find out.

Aarbee,

If it's not too much trouble can you please keep us informed about your experience with OptionVue?

I did look into them back when I was on the search for a platform to replace TOS and I'm pretty certain the response I got from them was that their platform does Beta weight but not like in TOS where your entire portfolio is weighted in a nice neat Greeks table.

It would be great if you could let us know

 

[ftw129]

FYI,

Beta Weighting has now been implemented on TWS

 

[KangarooTrader]

FYI,

Beta Weighting has now been implemented on TWS

Yep, it's about time, too. I went and tried it out as soon as I received the IB Communiqué announcing it. It seems to work pretty well.

For anyone interested, beta weighting currently only works in the Browser Based TWS Latest or Beta version found at the following link.

https://www.interactivebrokers.com/en/index.php?f=tws&p=software

Beta weighting is only available in Risk Navigator as shown here:

https://www.interactivebrokers.com/...guidebook/priceriskanalytics/betapnlgraph.htm