Risk Measurement

VAR stands for "Value at Risk".

Wikipedia: http://en.wikipedia.org/wiki/Value_at_risk

In this measurement, VAR is calculated from probability of market
movements for the next 10 calendar days. It is the maximum
possible portfolio loss with 3 different confidence levels: 65%,
95%, and 99%.

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Theta comes from Greeks of Black Scholes Model. In this
measurement, Theta is calculated from time premium gain
of next 10 calendar days, with assumption that market
neither goes up, nor goes down.

Wikipedia: http://en.wikipedia.org/wiki/The_Greeks

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Risk management is a big part of trading. So, here are
some numbers :-)

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As of Friday market close (12/22/2006),

10 day VAR (Value at Risk):

65% Confidence Level: 1.72%
95% Confidence Level: 13.06%
99% Confidence Level: 34.04%

10 day Theta gain: 2.2%

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Note: these are calendar days, not trading days

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