@spec daily_theta([position()]) :: float()

Calculate portfolio theta in daily terms.

Parameters

• positions - List of positions with Greeks (value)

Returns

Daily theta (negative = losing value) (float)

Example

0.1095

# descripex:contract
%{
  params: %{
    positions: %{description: "List of positions with Greeks", kind: :value}
  },
  returns: %{type: :float, description: "Daily theta (negative = losing value)"},
  returns_example: 0.1095
}

@spec delta_neutral?(number(), number()) :: boolean()

Check if portfolio is delta neutral within tolerance.

Parameters

• delta - Portfolio delta (value)

Options

• tolerance - Maximum acceptable delta (default: 0.1)

Returns

true if abs(delta) <= tolerance (boolean)

Example

true

# descripex:contract
%{
  opts: %{
    tolerance: %{
      default: 0.1,
      type: :number,
      description: "Maximum acceptable delta"
    }
  },
  params: %{delta: %{description: "Portfolio delta", kind: :value}},
  returns: %{type: :boolean, description: "true if abs(delta) <= tolerance"},
  returns_example: true
}

@spec dollar_delta(number(), number(), number()) :: float()

Calculate dollar delta (delta exposure in currency terms).

Parameters

• delta - Portfolio delta (value)
• underlying_price - Current price of underlying (value)

Options

• contract_multiplier - Contract multiplier (default: 1)

Returns

Dollar delta exposure (float)

Example

0.1095

# descripex:contract
%{
  opts: %{
    contract_multiplier: %{
      default: 1,
      type: :number,
      description: "Contract multiplier"
    }
  },
  params: %{
    underlying_price: %{
      description: "Current price of underlying",
      kind: :value
    },
    delta: %{description: "Portfolio delta", kind: :value}
  },
  returns: %{type: :float, description: "Dollar delta exposure"},
  returns_example: 0.1095
}

@spec dollar_gamma(number(), number(), number()) :: float()

Calculate dollar gamma (gamma exposure for 1% move in underlying).

Parameters

• gamma - Portfolio gamma (value)
• underlying_price - Current price of underlying (value)

Options

• contract_multiplier - Contract multiplier (default: 1)

Returns

Delta change for a 1% move in underlying (float)

Example

0.1095

# descripex:contract
%{
  opts: %{
    contract_multiplier: %{
      default: 1,
      type: :number,
      description: "Contract multiplier"
    }
  },
  params: %{
    underlying_price: %{
      description: "Current price of underlying",
      kind: :value
    },
    gamma: %{description: "Portfolio gamma", kind: :value}
  },
  returns: %{
    type: :float,
    description: "Delta change for a 1% move in underlying"
  },
  returns_example: 0.1095
}

@spec from_chain(%{required(String.t()) => map()}, %{required(String.t()) => number()}) ::
  [position()]

Extract Greeks from option chain for aggregation.

Parameters

• chain - Map of symbol => option maps with :raw containing greeks (exchange_data)
• positions - Map of symbol => quantity (positive=long, negative=short) (value)

Returns

List of position maps suitable for position_greeks/1 (list)

Example

[
  %{
    symbol: "BTC-31JAN26-84000-C",
    quantity: 2,
    delta: 0.52,
    gamma: 2.0e-5,
    vega: 48.0,
    theta: -15.0
  }
]

# descripex:contract
%{
  params: %{
    positions: %{
      description: "Map of symbol => quantity (positive=long, negative=short)",
      kind: :value
    },
    chain: %{
      description: "Map of symbol => option maps with :raw containing greeks",
      source: "Options.Deribit.chain(exchange_mod, enrich: :greeks)",
      kind: :exchange_data
    }
  },
  returns: %{
    type: :list,
    description: "List of position maps suitable for position_greeks/1"
  },
  returns_example: [
    %{
      symbol: "BTC-31JAN26-84000-C",
      quantity: 2,
      delta: 0.52,
      gamma: 2.0e-5,
      vega: 48.0,
      theta: -15.0
    }
  ]
}

@spec gamma_pnl(number(), number(), number()) :: float()

Estimate profit from gamma if underlying moves by a given percentage.

Parameters

• gamma - Portfolio gamma (value)
• underlying_price - Current underlying price (value)
• expected_move_pct - Expected move as percentage (e.g., 2.0 for 2%) (value)

Returns

Estimated P&L from gamma exposure (float)

Example

0.1095

# descripex:contract
%{
  params: %{
    underlying_price: %{description: "Current underlying price", kind: :value},
    gamma: %{description: "Portfolio gamma", kind: :value},
    expected_move_pct: %{
      description: "Expected move as percentage (e.g., 2.0 for 2%)",
      kind: :value
    }
  },
  returns: %{type: :float, description: "Estimated P&L from gamma exposure"},
  returns_example: 0.1095
}

@spec hedge_ratio(number(), number()) :: float()

Calculate hedge ratio to neutralize delta.

Parameters

• portfolio_delta - Current portfolio delta (value)

Options

• hedge_delta - Delta of hedging instrument (1.0 for spot/futures) (default: 1.0)

Returns

Units to buy (+) or sell (-) to achieve delta neutrality (float)

Example

0.1095

# descripex:contract
%{
  opts: %{
    hedge_delta: %{
      default: 1.0,
      type: :number,
      description: "Delta of hedging instrument (1.0 for spot/futures)"
    }
  },
  params: %{
    portfolio_delta: %{description: "Current portfolio delta", kind: :value}
  },
  returns: %{
    type: :float,
    description: "Units to buy (+) or sell (-) to achieve delta neutrality"
  },
  returns_example: 0.1095
}

@spec position_greeks([position()]) :: portfolio_greeks()

Aggregate Greeks across multiple positions.

Parameters

• positions - List of positions with :delta, :gamma, :theta, :vega, :quantity fields (value)

Returns

Map with aggregated :delta, :gamma, :theta, :vega (map)

Example

%{delta: 1.2, gamma: 0.04, vega: 220.0, theta: -85.0}

# descripex:contract
%{
  params: %{
    positions: %{
      description: "List of positions with :delta, :gamma, :theta, :vega, :quantity fields",
      kind: :value
    }
  },
  returns: %{
    type: :map,
    description: "Map with aggregated :delta, :gamma, :theta, :vega"
  },
  returns_example: %{delta: 1.2, gamma: 0.04, vega: 220.0, theta: -85.0}
}

@spec vega_exposure([position()]) :: float()

Calculate portfolio vega exposure.

Parameters

• positions - List of positions with Greeks (value)

Returns

Portfolio value change for +1% IV change (float)

Example

0.1095

# descripex:contract
%{
  params: %{
    positions: %{description: "List of positions with Greeks", kind: :value}
  },
  returns: %{
    type: :float,
    description: "Portfolio value change for +1% IV change"
  },
  returns_example: 0.1095
}