Options stress test: what a crash, a volatility spike or time does to your positions
Apply a price move, a change in implied volatility and the passing of days to every position you hold at once, and see the P&L and the margin that would follow.
What gets tested
The whole book, together: the strategies you have saved from the strategy builder and the positions drafted in this browser. The page lists them by name before any figure, so you know exactly what is being shocked. A position that cannot be priced is named and left out of the figures with the reason, and a strategy that has already expired is counted but not shocked, because it has settled. If no prices arrive at all, the page says nothing could be shocked rather than showing a book with no risk.
Choose the shock
- Preset scenarios. A market crash, a black swan, a post-event volatility crush, a bullish rally, overnight gaps, three quiet days of decay, and dated moves taken from the record: the 2024 election result day and the day after it, the worst session of the Covid crash, and an unscheduled RBI move landing on BANKNIFTY. Each card shows what it applies and what it does to your book, so the list itself is a first read.
- Custom shock. Three sliders: an index move of up to 15 percent either way, a volatility change that scales every leg's implied volatility proportionally, and up to seven calendar days forward.
- Where it lands. Pick the index the move applies to. With leakage on, the other indices in the book move by their measured beta to it; with it off, only that index moves.
The verdict
Three figures answer the three questions that matter. Net P&L impact is what the shock costs or gains, and, if you enter your capital, what share of it that is. Margin after is the estimated margin the shocked book would need, against what is blocked now, with the extra needed or released, and, with capital set, whether it leaves headroom or a shortfall. Book P&L after is where the shock leaves the book, including its P&L to date. Below them, a card per index gives spot and the shocked level, the P&L, Delta before and after (flagged when it flips), Vega, Theta and the margin change.
What would offset it
The page names the index carrying most of the loss under the shock. Show offsetting strikes then reads that index's chain for single wings that would have offset the scenario in the model: lots, strike, premium, cost, the gain in the shock and what is left. Thinly quoted strikes are skipped and wide quotes are flagged. These are examples of how the loss could be capped, not a recommendation; check liquidity, cost and margin with your broker.
How the numbers are made
Every leg is fully repriced under the combined shock with Black-Scholes, rather than adding a price effect to a volatility effect. Cross-index betas are measured on daily closes, and a relationship too weak to be a beta moves nothing. The working is folded away under Deep math: the SPAN scan behind the margin figure, the beta and correlation table, and the pricing assumptions, so you can check the method before you trust the result.
Limits of a stress test
These are model valuations, not traded prices, and they leave out brokerage and taxes. Volatility is shocked evenly across strikes; a real event usually steepens skew as well, so a far wing's loss is likely understated. Margin is an estimate that tends to err high, and your broker's figure is the one that binds. Prices are NSE's, 15 minutes behind the market. A scenario is a question you ask of the book, not a forecast of what the market will do.
Stress test questions
What is an options stress test?
It reprices every position you hold under a chosen shock, such as a fall in the index, a jump in implied volatility or a few days passing, and shows the resulting P&L and margin. It answers how much a bad day would cost before that day arrives.
Which positions does the EzyOptions stress test include?
Your saved strategies and the positions drafted in your browser, shocked together as one book across NIFTY, BANKNIFTY, FINNIFTY and MIDCPNIFTY and any other underlying the book holds. Positions that cannot be priced are named and left out of the figures.
Can I test a historical event like the Covid crash?
Yes. The preset scenarios include dated moves from the record, such as the worst session of the March 2020 Covid crash and the 2024 election result day. The price move is the recorded one; the volatility change is approximate, and the page says so.
Does the stress test tell me how to hedge?
It shows examples of strikes that would have offset the chosen scenario in the model, with their cost and residual loss. They are illustrations for analysis, not a recommendation to trade.
Related tools and guides
Educational analytics only: not investment advice. You are responsible for your own trading decisions.