ib-report-delta-adjusted-notional-exposure
Report delta-adjusted notional exposure across all IBKR accounts. Calculates option deltas using Black-Scholes and reports long/short exposure by account and underlying. Use when user asks about delta exposure, portfolio risk, or directional exposure.
pinned to #cc30858updated 3 months ago
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- #ai-trading
- #claude
- #claude-skills
- #mcp-server
- #option-trading
- #options-trading
About this skill
Pulled from SKILL.md at publish time.
Calculate and report delta-adjusted notional exposure across all Interactive Brokers accounts.
Automated checks the publisher passed at publish time — structure, docs, safety, and whether the artifact behaves as claimed.cc30858· 3 months ago
Behavioral checks ran but aren't published for this artifact; the static checks above ran at publish time.
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found at .claude/skills/ib-report-delta-adjusted-notional-exposure/SKILL.md · frontmatter source: SKILL.md
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Release history
1- releasecurrentcc30858warn3 months ago
Contents
IB Delta-Adjusted Notional Exposure Report
Calculate and report delta-adjusted notional exposure across all Interactive Brokers accounts.
IB Connection
TWS or IB Gateway must be running locally with API enabled:
- Paper trading — port 7497
- Live trading — port 7496
Port fallback: If the configured port fails, automatically retry on the other port. If the retry succeeds, save to memory which account type worked (live/paper) and reuse it for all IB skill calls in this and future sessions — until the user explicitly asks for the other account. If both ports fail, ask the user to verify that TWS or IB Gateway is running with API access enabled.
Instructions
Step 1: Gather Data
uv run python scripts/delta_exposure.py [--port PORT]
The script returns JSON to stdout with all position deltas and summary data.
Step 2: Format Report
Read templates/markdown-template.md for formatting instructions. Generate a markdown report from the JSON data and save to sandbox/.
Filename: delta_exposure_report_{YYYYMMDD}_{HHMMSS}.md
Step 3: Report Results
Present the summary table (total long, short, net) and top exposures to the user. Include the saved report path.
Arguments
--port- IB port (default: 7497 for paper trading)
JSON Output
Returns delta-adjusted notional exposure with:
connected- Booleanaccounts- List of account IDsposition_count- Total positionspositions- Array of positions with symbol, delta, delta_notional, spot pricesummary- Totals for long, short, and net delta notionalby_account- Long/short breakdown by accountby_underlying- Long/short/net breakdown by symbol
Methodology
- Equity Options: Delta calculated via Black-Scholes with estimated IV based on moneyness
- Futures: Delta = 1.0 (full notional exposure)
- Futures Options: Delta calculated with lower IV assumption (20%)
- Stocks: Delta = 1.0
Delta-adjusted notional = delta x spot price x quantity x multiplier
Examples
# Paper trading (default)
uv run python scripts/delta_exposure.py
# Live trading
uv run python scripts/delta_exposure.py --port 7496
Timezone
All timestamps and time-based calculations must use the America/New_York timezone. All JSON output must include generated_at (NY time string) and data_delay fields.
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Related
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Test-Driven Development
Red → green → refactor discipline for any feature or bugfix
mh install skills/ib-report-delta-adjusted-notional-exposure