| name | portfolio-greeks |
| description | Aggregate Greeks across a multi-position options book and surface concentration risks. Use this skill when the user has multiple open options trades and asks "what's my net delta", "am I net long or short vol", "what's my book theta", "where am I concentrated", or wants a single-pane view of book-level risk. Triggers: "portfolio greeks", "book greeks", "net delta", "net vega", "concentration risk", "what if X moves 5%", "stress test my options book". Use when the user provides multiple positions; do NOT use for single-trade Greeks (use `greeks-calculator`).
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Portfolio Greeks Aggregator
Sum Greeks across an options book and flag concentration risks.
Step 1: Gather All Positions
Required per position:
- Underlying ticker
- Each leg: type, strike, expiry, signed quantity, fill price
- Current spot per underlying (live)
- Current implied vol per leg (live or last known)
If positions come from a broker screenshot, parse via options-chain-reader first.
Step 2: Compute Per-Position Greeks
For each position (potentially multi-leg), use greeks-calculator to get position-level Δ, Γ, ν, Θ.
Step 3: Aggregate by Underlying
Group all positions by underlying ticker. Within each group, sum the dollar Greeks:
Δ_$ = Σ Δ_position # share equivalent
Γ_$ = Σ Γ_position · spot²/100 # P&L per 1% spot move squared
ν_$ = Σ vega_per_volpt_position # P&L per 1.00 vol point
Θ_$ = Σ theta_per_day_position # daily decay
Why dollar Greeks: comparing 1 contract on TSLA at $300 to 1 contract on SPY at $580 is misleading — dollar Greeks normalize.
Step 4: Cross-Underlying View
Sum across all underlyings to get book totals. Caveat: book-level vega across different tickers is NOT directly fungible — TSLA vega and SPX vega don't move together. Display per-underlying first, then book total with a label.
Step 5: Concentration Risk Checks
| Check | Threshold |
|---|
| Any single underlying > 25% of book BP | Flag |
| Net long vega + net short gamma > book equity | Flag — toxic combo |
| All positions on the same sector | Flag |
| One expiry > 50% of total theta | Flag — concentrated time risk |
| Net delta > 50% of account equity in $ | Flag — directional exposure dominates the book |
Step 6: Stress Tests
Run these scenarios and report book P&L for each (using current Greeks, linear approximation):
| Scenario | Spot move | Vol move |
|---|
| Mild rally | +2% | −5% IV |
| Crash | −5% | +30% IV |
| Slow drift down | −1% | flat |
| Volatility spike, no spot move | 0% | +50% IV |
| Pin (close to ATM, near expiry) | 0% | −20% IV |
Linear P&L approximation:
ΔPnL ≈ Δ_$ · spot_move + 0.5 · Γ_$ · (spot_move%)² · 100 + ν_$ · iv_move_points + Θ_$ · days
For large moves (> 5%) the linear approx breaks down — note that and recommend repricing each leg at the stressed scenario.
Step 7: Respond to User
- Per-underlying table: dollar Greeks + position count.
- Book totals (with caveat on cross-ticker vega).
- Concentration flags (if any).
- Stress-test table.
- One-line summary: "Book is net long vol ($X/vol pt), net short gamma at the near expiry, with TSLA at 38% of BP — biggest single risk is a TSLA gap."
For hedging recommendations, recommend delta-hedging.
For trimming a concentrated position, recommend position-sizing on the offsetting trade.
