portfolio-greeks

Portfolio Greeks Aggregator

Sum Greeks across an options book and flag concentration risks.

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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.

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Step 2: Compute Per-Position Greeks

For each position (potentially multi-leg), use greeks-calculator to get position-level Δ, Γ, ν, Θ.

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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.

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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.

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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

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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.

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Step 7: Respond to User

1. Per-underlying table: dollar Greeks + position count.
2. Book totals (with caveat on cross-ticker vega).
3. Concentration flags (if any).
4. Stress-test table.
5. 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.