The position projections show your theoretical risk over a range of prices
in the underlying. There may also be additional projections that show the
position's risk at some point in the future or at a different volatility.
If you want the additional projections, but do not see them, be sure to
enter values in the Days Increment and Volatility Increment boxes.
Theoretical Value: What is the option worth according to the theoretical pricing model. The various models require five standard inputs in order to generate theoretical prices. The inputs are:

Theta: How much the position loses if the number of days is decreased by 1. A negative number means that you are short the option and expect to make money overnight. Vega: How much the position makes if the volatility increases by 1%. Gamma: How much the delta changes with a one point move in the underlying. Delta: How much does the option price changes with a one point move in the underlying. P/L: What is the theoretical profit (or loss) of the position as the underlying moves? This value is displayed in addition to the delta since the ganmma (2nd derivative) effect causes the delta to be accurate over a narrow price range only.






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