strategy-payoff

name	strategy-payoff
description	Compute an option strategy's payoff / P&L profile with alphavar — single-leg (long/short call/put) and multi-leg strategies (e.g. straddle) built from OptionsLeg and aggregated by OptionsAnalyticRisk.chain_payoff. Use when a user asks for a payoff diagram, P&L at expiration across underlying prices, or to model a strategy like a straddle.
when_to_use	Use when a user asks for a payoff diagram, P&L at expiration across underlying prices, or to model a strategy like a straddle.
owner	alphavar

Compute strategy payoff / P&L in alphavar

USAGE skill (concept → function → how to apply). Verified against src/ — re-confirm the API before relying on it.

Concept

A strategy's payoff is its P&L at expiration across underlying prices. Single legs (premium = price paid/received), scaled by abs(lots):

• Long call max(0, S−K) − premium · Short call premium − max(0, S−K)
• Long put max(0, K−S) − premium · Short put premium − max(0, K−S)

Multi-leg strategies combine legs — e.g. a long straddle = long call + long put at the same strike & expiry (profits on a large move either way; max loss = total premium).

Sources: Investopedia (risk graphs, straddle). In-repo lib/analytic/risk/payoff.py.

Implementing functions

• Leg — alphavar.options.entities.OptionsLeg (pydantic): fields strike: float, lots: int, type: LegType.
• Aggregate — alphavar.options.analytic_risk_class.OptionsAnalyticRisk.chain_payoff(legs) → tuple[pd.DataFrame, pd.DataFrame] (payoff profile + premium profile), built from OptionsData.
• Primitives — alphavar.options.lib.analytic.risk.payoff (_calc_profile, _calc_premium_profile).

How to apply

from alphavar.options.analytic_risk_class import OptionsAnalyticRisk
from alphavar.options.entities import OptionsLeg
# LegType from the options entities/dictionary (call/put, long via sign of lots)

risk = OptionsAnalyticRisk(options_data)

# Long straddle: a call + a put at the SAME strike, both long (positive lots)
legs = [
    OptionsLeg(strike=100.0, lots=1, type=CALL),
    OptionsLeg(strike=100.0, lots=1, type=PUT),
]
payoff_df, premium_df = risk.chain_payoff(legs)

(Build other strategies the same way — different strikes/lots/types: short straddle = negative lots; spreads = two legs at different strikes.)

Failure modes

• The mark-to-market ("today") payoff variant uses current prices across strikes and is owner-verification pending (D2) — prefer the at-expiration profile until confirmed.
• Legs must reference strikes that exist in the chain data; missing strikes yield gaps.
• lots sign encodes long/short — a wrong sign silently flips the profile.