Real Time P&L On Illiquid Futures & Options

Note from the Publisher:  Our CEO at FintekNews is a longtime trader, and in fact an original member of the CBOE, as we recently reported.  One thing that has frustrated him endlessly over the years (and no doubt legions of other traders and risk managers as well) is the reporting on options positions and the actual P&L, which can vary widely throughout the day and even after the close vs. final settlement positions, particularly if he is in relatively illiquid positions.  Drives him crazy and it’s caused lots of consternation with investors over the years as well who look at closing positions on reports and assume that same number will be there in the morning, when it’s not, and in fact position marks were wildlly inaccurate due to illiquidity.  Rival Systems which launched in 2015 is now offering Rival Risk, which claims to offer real time P&L and risk on futures and options positions throughout the day.  We think this is great and desperately needed in the market. 

“Rival Risk is the first HTML-5 based enterprise risk management platform with an accurate real-time view into risk for firms executing across multiple front-ends and clearing firms.  With auto-reconciliation and real-time drop copies, the fully hosted solution provides users with a central repository for all of their trades and positions.  Users can connect to the secure platform from anywhere to easily monitor profit-and-loss (P&L) and risk across accounts, product categories and expirations, and drill down to each individual instrument…..

Risk managers are charged with calculating real-time P&L and risk for securities, even when there is not a liquid market. When trading futures spreads, P&L calculations depend on the price accuracy of both legs, presenting a significant challenge when the spread includes an illiquid back month.  To solve this challenge and others, Rival Systems developed proprietary algorithms that automatically calculate a reliable synthetic price when there is little or no trading activity.”

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