Slave Strategies

In options analysis, a helpful chart perspective is the ability to hypothesize, or “what if,” variables in the pricing model. Slave strategies enable you to do this very easily. You can create one or more slave strategies based on any strategy you define. The strategy you define serves as a master strategy for the slave strategies you create. In this mater/slave relationship, any change in the master strategy (positions, instruments, quantities, etc., ) is automatically passed on to the slave strategies. Slave strategies enable you to add perspective to an option chart by grading any of the following option pricing model variables:

Underlying Price

Time to Expiration

Volatility

Interest Rate

Dividend Yield / Foreign Currency Interest Rate

The perspective provided by slave strategies augments the evaluation of option strategy performance. Slave strategies enable you to define gradations of underlying price, time decay, volatility, and interest rates, and to display the result in an option chart.

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Slave strategies and cloned strategies can create the same effect. For example, you could create a strategy, clone it three times, and change the time to expiration in the three cloned strategies, or you could create a strategy, create slave strategies for it, and set the slaves to display time decay.

The advantage of using slave strategies to create this effect is speed and control. Creating slave strategies is much faster than cloning strategies and adjusting pricing model variables. Furthermore, slave strategies are a reflection of the master strategy, so, with the exception of the pricing model gradations you set for the slave strategies, all other parameters are derived from the master strategy.

The advantage of cloning is that a copied strategy offers more control over the nuances of pricing model variables. By cloning, you can not only show time decay, volatility gradation, and interest rate gradation, you also have all the controls available through the Group menu, Strategy Parameters menu, and Volatility Skew menu.

You can create up to twelve slave strategies. You create slave strategies using the Slave Strategies menu.