AgentSkillsCN

ib-report-delta-adjusted-notional-exposure

报告所有IBKR账户的Delta调整后名义敞口。利用Black-Scholes模型计算期权Delta，并按账户与基础资产分别报告多头与空头敞口。当用户询问Delta敞口、投资组合风险，或方向性敞口时使用。

SKILL.md
--- frontmatter
name: ib-report-delta-adjusted-notional-exposure
description: 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.
dependencies: ["trading-skills"]

IB Delta-Adjusted Notional Exposure Report

Calculate and report delta-adjusted notional exposure across all Interactive Brokers accounts.

Prerequisites

User must have TWS or IB Gateway running locally with API enabled:

  • •Paper trading: port 7497
  • •Live/Production trading: port 7496

Instructions

Step 1: Gather Data

bash
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, use 7496 for production)

JSON Output

Returns delta-adjusted notional exposure with:

  • •connected - Boolean
  • •accounts - List of account IDs
  • •position_count - Total positions
  • •positions - Array of positions with symbol, delta, delta_notional, spot price
  • •summary - Totals for long, short, and net delta notional
    • •by_account - Long/short breakdown by account
    • •by_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

bash
# Paper trading (default port 7497)
uv run python scripts/delta_exposure.py

# Production/Live trading (port 7496)
uv run python scripts/delta_exposure.py --port 7496