FX Options Portfolio & Breakeven Portal

Multi-leg FX options pricer with scenario PnL attribution and 1-day breakeven visualization · Garman-Kohlhagen / Black-76

FX Vol Forecast
Pair ✓Last update: 2026-04-29 (fresh)
OFF — using stored values
Inputs
Forecast
Forecast RV 8.10%
× κ 1.144
Break-even RV 9.26%
Implied vol 8.92%
Gap -0.34 vp
Gap (relative) -3.7%
CHEAP
HAR-IV decomposition (log σ²)
Intercept-0.735
β_d · d (0.045 × 0.40)+0.018
β_w · w-0.006
β_m · m+0.058
β_iv · iv (0.785 × ln 0.0892)-1.898
Sum = log(σ²_forecast)-3.491
→ forecast_rv = √exp(sum)8.10%
Recent gap history (90 trading days)
Gap history chart will render here.
saved scenarios
Portfolio legs
Base ccy:
Pricing date: Apr 24, 2026
USDJPY Long 100M USD Call · K=161 · 63d Premium: $666.9k
Implied spot ≈ 159.4977
Portfolio aggregate
Theta:
Total premium
$666.9k
in USD
Net delta
32.59M
base ccy units (spot delta)
Gamma
11.31M
Δchange per 1% spot
Vega
$149.1k
PnL per 1 vol pt · in USD
Theta (1d, full)
-$6.3k
Full (vol + carry) · in USD
Vanna
2.24M
Δchange per 1 vol pt
1-day breakeven · portfolio-aggregated
Hedge:
Spot-vol ρ: -0.50
Axis scale: 1-day 1σ = 0.40% (from shortest-dated leg's vol = 7.64%). X-axis = ±4σ = ±1.60%.
BS hedge: short +32.59M of base ccy (portfolio Δ_BS). Residual P&L = Vega·dσ + gamma terms.
1σ-1σ2σ-2σ3σ-3σ4σ-4σ-1.5%-1.0%-0.5%0.0%+0.5%+1.0%+1.5%-3vp-2vp-1vp0vp+1vp+2vp+3vpΔSpot (%) · 1σ = 0.40%ΔVol (vol pts)
Lower BE Upper BE ρ-path Profit σ lines
BE at Δσ=0
-0.33% (-0.8σ) / +0.33% (0.8σ)
BE at Δσ=-1vp
-1.46% (-3.7σ) / +1.86% (4.6σ)
ρ-path crossings
-0.23% (-0.6σ) / +0.51% (1.3σ)
Scenario · custom Δt PnL attribution
0.0%
0.0vp
1d
Δt capped at 63d (shortest-expiry leg)
Gamma ½·Γ·(ΔS)²$0
Theta Θ·Δt-$6.3k
Vega ν·Δσ$0
Vanna Vanna·ΔS·Δσ$0
Volga ½·Volga·(Δσ)²$0
Linear attribution-$6.3k
Residual (higher-order)-$36
Full reprice PnL-$6.3k
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