🛢️ Oil Trading — Risk Management
EXPOSURE REPORT EXPLAINED
No assumptions — every number is derived from scratch. Use sliders to simulate your own position.
01What is Exposure?
02DV01 Simulator
03VaR Explained
04Limits Report
05Stress Tests
Exposure = how much money you gain or lose when the market moves by $1 per barrel.
You bought 1,000,000 barrels. You have sold nothing yet. Every single barrel is still exposed to the differential moving against you.
The only calculation — no assumptions
You bought1,000,000 barrels
You sold so far0 barrels
=Open (unsold) volume1,000,000 barrels
Differential DV011,000,000 bbls × $1 move
= $1,000,000 per $1/bbl differential move
Every $1 the differential moves, your book gains or loses exactly $1,000,000
Why is it exactly $1,000,000?
Because you hold 1,000,000 barrels and each barrel moves dollar-for-dollar with the differential. If the diff moves $1 — every single barrel you hold gains or loses $1. So 1,000,000 barrels × $1 = $1,000,000. That is the entire calculation.
What happens as you sell barrels — exposure shrinks
Sold 0 bbls (now)
$1,000,000 DV01
Sold 250k bbls
$750,000 DV01
Sold 500k bbls
$500,000 DV01
Sold 750k bbls
$250,000 DV01
Sold all 1,000k bbls
$0 DV01
DV01 = (1,000,000 − barrels sold) × $1
Barrels bought
1,000,000 bbls
Your full physical position
Barrels sold
0 bbls
Nothing sold yet
Open exposure
1,000,000 bbls
All barrels still at risk
Differential DV01
$1,000,000
Per $1/bbl diff move
SAP BW analogy: DV01 is like a sensitivity analysis in your BW report — how much does the output KPI (P&L) change if one input variable (differential price) shifts by exactly 1 unit ($1/bbl)? The answer is simply: open volume × $1.
DV01 = open barrels × $1.
Nothing more. Use the sliders below to set exactly how many barrels you bought and how many you have sold. The DV01 and all P&L impacts calculate automatically — no hidden assumptions.
Your position — set it yourself
The calculation — live
Barrels bought1,000,000 bbls
−Barrels sold0 bbls
=Open volume1,000,000 bbls
DV01 formula1,000,000 × $1
= $1,000,000 per $1 diff move
Open volume
1,000,000 bbls
Bought minus sold
Differential DV01
$1,000,000
Per $1/bbl diff move
If diff moves +$1
+$1,000,000
Your profit
If diff falls −$1
−$1,000,000
Your loss
P&L for different diff moves — based on your open position
Try this: drag "barrels sold" all the way to match "barrels bought". Notice the DV01 drops to exactly zero — you have no more differential exposure because every barrel has a locked-in sale price. This is your end goal as a trader — sell everything at a profit before the month ends.
VaR = Value at Risk.
DV01 tells you the loss per $1 move. But the market rarely moves exactly $1. VaR uses the actual daily volatility of the differential to tell you: "on a normal bad day, this is the most I should lose."
Weather forecast analogy: if your VaR is $1,100,000 — on 19 out of every 20 trading days, your loss will stay below $1.1M. On the 1-in-20 really bad day it could be more. VaR covers normal volatility — not black swan events.
VaR built from scratch — step by step
Open volume1,000,000 bbls
×Daily diff volatility$0.70 / bbl(how much diff typically moves in 1 day)
×95% confidence factor1.65(captures 19 of 20 days)
= $1,155,000 — 1-day VaR (95%)
On 19 out of 20 days, your book won't lose more than $1,155,000
Differential DV01
$1,000,000
1,000,000 bbls × $1
Daily volatility
$0.70 / bbl
Typical daily diff move
1-day VaR (95%)
$1,155,000
= $1M × $0.70 × 1.65
10-day VaR (95%)
$3,653,000
= 1-day × √10
VaR vs DV01 — the difference
DV01 — per $1 move
$1,000,000
Mechanical — exactly $1 × open volume. No probability.
VaR — realistic bad day
$1,155,000
Statistical — based on actual market volatility. Has a probability attached.
What VaR does NOT cover: extreme events — a $5 diff collapse in one day, a refinery explosion, a sudden OPEC cut. On those days losses can be 3–10× the VaR number. That is why you also run stress tests every day (Tab 05).
The limits report is a live dashboard showing every risk metric next to its approved ceiling.
All numbers below are derived from the same 1,000,000 barrel position — no invented numbers. If any row turns red, you must stop trading and reduce positions immediately.
Crude Americas — limits dashboard — 28-Mar-2026 17:00
| Risk metric |
How it's derived |
Current value |
Approved limit |
Usage |
Status |
Usage % guide:
0–50% — Comfortable. Trade freely.
50–80% — Monitor closely. Tell your risk manager.
80–95% — Stop adding. Start reducing now.
95%+ — Compliance breach. Reduce immediately. No exceptions.
Stress tests ask: what if the absolute worst happens?
All scenarios below start from the same position — 1,000,000 barrels bought, nothing sold, diff exposure = $1,000,000 DV01. No assumptions added.
Pre-built extreme scenarios — 1,000,000 bbls open
Build your own stress scenario
Flat price impact1,000,000 × $0 (hedge) = $0
Diff collapse impact1,000,000 × −$1.00 = −$1,000,000
Total stress P&L = −$1,000,000
Flat price impact
+$0
Hedge absorbs — zero
Diff collapse impact
−$1,000,000
Real loss — no hedge
Total stress P&L
−$1,000,000
Combined impact
Vs monthly target
−80%
Of $1.25M target
The key lesson: drag the flat price crash to −$20/bbl. Your flat price impact stays at zero — the hedge works even in a crash. Now move the diff collapse even slightly — the loss appears immediately. Every dollar of diff collapse × 1,000,000 open barrels = your real P&L risk.