What does delta-adjusted notional exposure mean?

Delta-adjusted notional equals delta × spot × quantity × multiplier, aggregated across positions to reflect directional risk.

What are the prerequisites and how do you run it?

TWS/IB Gateway must have API enabled; use port 7496 for live or 7497 for paper trading; run uv run python scripts/delta_exposure.py (with optional --port to specify the port).

How are deltas calculated for instrument types?

Equity options use Black-Scholes with IV based on moneyness; futures delta = 1.0; futures options delta with 20% IV; stocks delta = 1.0.

ib-report-delta-adjusted-notional-exposure

npx machina-cli add skill staskh/trading_skills/ib-report-delta-adjusted-notional-exposure --openclaw

Files (1)

SKILL.md

2.2 KB

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

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: 7496 for live trading, use 7497 for paper)

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

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

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

Source

git clone https://github.com/staskh/trading_skills/blob/main/.claude/skills/ib-report-delta-adjusted-notional-exposure/SKILL.md

View on GitHub

Overview

Calculates delta-adjusted notional exposure across all Interactive Brokers accounts. The tool uses Black-Scholes to derive option deltas and reports long versus short exposure by account and by underlying. It's ideal for assessing delta risk, portfolio exposure, and directional bets in multi-account portfolios.

How This Skill Works

It connects to TWS/IB Gateway via the IB API, querying current positions for all accounts (port 7496 for live, 7497 for paper). It computes delta-adjusted notional for each position (delta × spot × quantity × multiplier), using Black-Scholes for equity options, 1.0 for stocks and futures, and 20% IV for futures options, then aggregates results into per-account and per-underlying summaries. It outputs a JSON payload to stdout and renders a Markdown report from templates to sandbox/delta_exposure_report_<YYYYMMDD>_<HHMMSS>.md.

When to Use It

Assess delta risk of a multi-account IBKR portfolio
Identify net long vs short exposure by underlying
Evaluate directional exposure before trades or hedges
Audit portfolio risk for compliance and management reporting
Share risk posture with stakeholders via the generated report

Quick Start

Step 1: uv run python scripts/delta_exposure.py [--port PORT]
Step 2: Read templates/markdown-template.md and generate a markdown report saved to sandbox/, filename delta_exposure_report_{YYYYMMDD}_{HHMMSS}.md
Step 3: Review the summary tables (long/short/net by account and underlying) and note the report path

Best Practices

Ensure TWS/IB Gateway API is enabled and reachable
Use the correct port: 7496 for live, 7497 for paper
Verify delta calculations align with instrument types (options, futures, stocks) and note the 20% IV assumption for futures options
Run the script when positions change or before hedging decisions
Save and review the timestamped Markdown report in sandbox/ before sharing

Example Use Cases

Run delta_exposure.py to generate a cross-account delta exposure snapshot
Identify top net-long and net-short exposures by underlying to guide hedging
Compare per-account delta_notional to rebalance capital or adjust risk budgets
Export the markdown report and share the sandbox/ path with risk stakeholders
Use the output to evaluate delta risk when introducing new option strategies

Frequently Asked Questions

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