No. of Scenario | Scenario |
1 | Underlying unchanged, volatility up |
2 | Underlying unchanged, volatility down |
3 | Underlying up 1/3, volatility up |
4 | Underlying up 1/3, volatility down |
5 | Underlying down 1/3, volatility up |
6 | Underlying down 1/3, volatility down |
7 | Underlying up 2/3, volatility up |
8 | Underlying up 2/3, volatility down |
9 | Underlying down 2/3, volatility up |
10 | Underlying down 2/3, volatility down |
11 | Underlying up 3/3, volatility up |
12 | Underlying up 3/3, volatility down |
13 | Underlying down 3/3, volatility up |
14 | Underlying down 3/3, volatility down |
15 | Underlying up extremely, cover part of loss |
16 | Underlying down extremely, cover part of loss |