Worst-cell limit
Definition · Level 5 · Greeks & volatility
Keep reading with Tradecraft
Without a subscription, you can read three definitions every 30 days. Tradecraft explains all 988 terms and strategies, with the lessons that teach them, flashcards that come back before you forget, quizzes and a payoff lab.
A desk limit placed on the largest loss anywhere in the scenario grid, not only on the individual Greeks.
Example
“Worst cell is 733; the limit is 1,000.”
Where Tradecraft teaches it
Level 5 · Greeks & volatility, in the lesson “The risk report: a spot × vol grid”: How to read the table that shows a book’s profit and loss (P&L) for every combination of stock move and vol move.
Related terms
- Spot-vol gridA risk-report table that reprices a position at each combination of stock price and implied volatility, usually after one day.
- 25-delta optionThe out-of-the-money call or put whose delta is ±0.25: the standard reference strike for quoting skew, and very roughly a 1-in-4 chance of finishing…
- Beating the priced moveJudging a straddle by comparing the move that actually happens with the move the straddle’s price implied, not with zero.
- Beta-weighted deltaA book’s delta expressed in index shares: delta × (stock price ÷ index price) × beta, summed over positions.
- Black–ScholesEuropean option-pricing model using spot, strike, time, rates, dividends and volatility; assumes lognormal prices, constant volatility, no jumps and…
- Black–Scholes inputsSpot price, strike, time to expiry, interest rate, dividends and volatility.