Value or Settle Hedge Positions

A hedge position can only be valued or settled if it is locked.

Multiple valuations can be created for a hedge position, but only one final settlement.

Executing an options contract also creates a final settlement for the hedge position. Further settlements cannot be created for an options contract after the hedge position has been executed or withdrawn.

Security Note: You need the Allow the user to maintain hedge actions security right in the Accounting user group security rights group for this activity.

Activity Steps

1. Open the Hedging Explorer.
2. Select the Hedge Actions tab.
3. Find the required hedge positions. See Find Hedge Positions.
4. Lock the hedge positions. See Lock Hedge Positions.
5. To value or settle a single hedge position, right-click the hedge position in the Hedge Actions field group and select Create Settlement from the menu.
6. To value or settle multiple hedge positions:
   1. Check Selected next to the hedge positions in the Hedge Actions field group.
   2. Right-click the hedge positions and select Settle All Selected Positions from the menu.
7. To view the valuations or settlement, select the Valuations sub-tab.

   For spread contracts, the valuations are specific to one leg of the spread contract. The tab name indicates if this is the Buy or Sell leg.

   Valuations and settlements created by a hedge revaluation display. However, these valuations and settlements can only be locked, unlocked, recalculated or deleted (cleared) via the hedge revaluation. See Hedge Revaluation.

   The Valuations tab displays the following fields.

   • Locked
   • Date
   • Type—Whether the calculations result in a valuation or a settlement. A valuation is provisional and a settlement is final. A settlement can only be created when all required actual prices are available, and:
     • For a futures, spread or swaps contract, the settlement is on or after the maturity date
     • For an options contract, the settlement date meets the date requirement specified for options execution in the settlement method
   • Exercise Price, Market Price, Margin Price, Net Margin Price—See Margin Price Calculation.
   • Days To Maturity
   • Days To Declaration—Only applicable to options contracts.
   • Profit/Loss—A positive number represents a profit, and a negative number represents a loss. Calculated as:

     ( Net Margin Price * Allocated Quantity ) - Broker Fee

   • Net Present Value (NVP)—The NPV is a calculation of how much money would need to be invested today at the available interest rate to generate the same return. For futures, spread and swaps contracts, the calculation is based on days to maturity. For options contracts, the calculation is based on days to declaration. For the final settlement of an executed options contract, the NVP is zero.
   • Total Value—For the final settlement of an executed options contract, the total value is zero. For other valuations and settlements, calculated as:

     Exercise Price * Quantity per contract * Number Of Contracts

   • Aggregated Profit/Loss—The aggregated profit or loss of a spread contract, which is the sum of the profit or loss of both legs, and is displayed for each leg.
   • Estimated Option Price—See Options Pricing and Risk Sensitivity.
   • Delta, Gamma, Theta, Vega, Rho—The 'Greeks'. Only applicable to options contracts.
8. Click Save.