IB PMCC Advisor

Analyzes all PMCC (diagonal call spread) positions in the IB portfolio and provides actionable advice on the short leg: assignment risk, P&L projections per day, and ranked roll recommendations.

Prerequisites

TWS or IB Gateway running locally with API enabled:

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

Instructions

Step 1: Run the report script

uv run python .claude/skills/ib-pmcc-advisor/scripts/pmcc_advisor.py [--port PORT] [--account ACCOUNT] [--min-roll-dte N] [--price-mode mid|last]

The script returns JSON to stdout. Capture it and format the report.

Step 2: Format and save the report

Read .claude/skills/ib-pmcc-advisor/templates/markdown-template.md for full formatting instructions.

Generate a markdown report from the JSON and save to sandbox/:

• Filename: pmcc_advisor_{ACCOUNT}_{YYYY-MM-DD}_{HHmm}.md
• Use first account ID. Derive date/time from generated_at.

The report must include all sections per spread:

1. Red flags summary — assignment > 40%, DTE < 7, no rolls, earnings warnings
2. Spread structure table — both legs: strike, expiry, DTE, cost, current price, IV
3. Short leg risk — delta (BS + IB), assignment probability with risk label
4. Daily P&L projections — all rows: date, days to expiry, best exit spot, max P&L (mark the peak row)
5. Roll candidates table — strike, expiry, DTE, delta, assign%, IV, net credit, $/day, P&L if assigned, bid/ask
6. Comparison table — current vs roll_1/2/3 side by side
7. Recommendation — hold/roll/close with reasoning

Step 3: Report to user

• State the file path of the saved report.
• Lead with any red flags from the summary section.
• For each spread with a red flag or earnings warning, show the comparison table inline.
• State the top recommendation for each flagged spread.

Arguments

JSON Output Structure

{
  "generated_at": "2026-04-30 10:25 ET",
  "data_delay": "real-time",
  "accounts": ["Uxxxxxxxx"],
  "price_mode": "mid",
  "min_roll_dte": 7,
  "symbols_filter": ["NVDA", "WMT"],
  "spreads": [
    {
      "symbol": "NVDA",
      "account": "Uxxxxxxxx",
      "qty": 10,
      "underlying_price": 201.46,
      "leaps_expiry": "20260918",
      "earnings": {
        "date": "2026-05-20",
        "timing": "AMC",
        "warning_short": false,
        "warning_roll_indices": [1, 2, 3]
      },
      "long": {
        "strike": 180.0, "expiry": "20260918", "dte": 141,
        "avg_cost": 35.51, "current_price": 36.20,
        "iv_pct": 42.1, "ib_delta": 0.7821, "ib_iv_pct": 41.8
      },
      "short": {
        "strike": 210.0, "expiry": "20260618", "dte": 49,
        "premium_received": 6.88, "current_price": 5.10,
        "iv_pct": 38.5, "delta": 0.3421, "assignment_prob_pct": 28.4,
        "ib_delta": 0.3415, "ib_iv_pct": 38.2
      },
      "daily_pnl": [
        {"date": "2026-04-30", "days_to_short_expiry": 49.0, "optimal_spot": 215.20, "pnl": 1234.56},
        {"date": "2026-05-01", "days_to_short_expiry": 48.0, "optimal_spot": 214.80, "pnl": 1289.10}
      ],
      "roll_candidates": [
        {
          "strike": 215.0, "expiry": "20260717", "dte": 78,
          "price": 5.80, "delta": 0.2910, "assignment_prob": 22.5,
          "iv_pct": 37.2, "net_credit": 0.70, "profit_per_day": 0.0744,
          "pnl_if_assigned": 3580.0, "bid": 5.60, "ask": 6.00
        }
      ],
      "comparison": {
        "current":  {"strike": 210, "expiry": "20260618", "dte": 49, "delta": 0.3421, "assignment_prob": 28.4, "profit_per_day": 0.1404, "pnl_if_assigned": 1880.0},
        "roll_1":   {"strike": 215, "expiry": "20260717", "dte": 78, "delta": 0.2910, "assignment_prob": 22.5, "profit_per_day": 0.0744, "pnl_if_assigned": 3580.0}
      }
    }
  ]
}

Key Fields

• symbols_filter — list of uppercase symbols when --symbols was used; null means full portfolio
• data_delay — "real-time" if live quotes available, "stalled - using last price" if IBKR quotes unavailable
• generated_at — NY timezone timestamp
• leaps_expiry — expiry of the long leg (YYYYMMDD); all roll candidates are capped at or before this date
• earnings.date — next earnings date (YYYY-MM-DD) from Yahoo Finance; null for ETFs
• earnings.timing — "BMO" (before open) or "AMC" (after close)
• earnings.warning_short — true if earnings fall within the last 7 calendar days before short expiry
• earnings.warning_roll_indices — 1-based indices of roll candidates whose expiry window contains the earnings date
• delta / ib_delta — BS-calculated vs. IBKR model Greeks (both reported when available)
• iv_pct / ib_iv_pct — IV in percent; BS-calculated from option price vs. IBKR model Greeks
• assignment_prob_pct — N(d2): risk-neutral probability the short expires ITM
• net_credit — credit received when rolling (negative = debit); rolls with debit > $0.10/share excluded
• pnl_if_assigned — P&L if underlying finishes above short_strike at expiry: (short_strike - long_strike - long_cost + total_premium) × 100
• daily_pnl[].optimal_spot — spot price that maximises exit P&L on that day (found via numerical optimisation); increases as theta decays the short leg
• daily_pnl[].pnl — total dollars (qty × 100 contracts) at the optimal spot on that day

Roll Selection Criteria

Candidates must satisfy both:

1. Lower delta than current short (less assignment risk)
2. Net credit ≥ -$0.10/share (not a large debit)

Ranked by: delta improvement (highest weight) → net credit → DTE extension.

Example Usage

# All accounts, live port
uv run python .claude/skills/ib-pmcc-advisor/scripts/pmcc_advisor.py --port 7496

# Specific account, 14-day minimum roll DTE, last-price mode
uv run python .claude/skills/ib-pmcc-advisor/scripts/pmcc_advisor.py --port 7496 --account Uxxxxxxxx --min-roll-dte 14 --price-mode last

# Analyze only specific symbols
uv run python .claude/skills/ib-pmcc-advisor/scripts/pmcc_advisor.py --port 7496 --symbols NVDA WMT

Architecture

All logic lives in src/trading_skills/broker/pmcc_advisor.py:

• Analytics functions (top half, no IBKR imports): get_option_price, calc_iv, calc_delta, calc_assignment_prob, calc_bs_price, calc_daily_pnl_table, check_earnings_warning, find_best_rolls, build_comparison_table, score_roll_candidate
• Data layer (bottom half, uses IBKR + Yahoo Finance): get_pmcc_data, _identify_pmcc_spreads, _fetch_single_option_quote, _fetch_option_quotes_batch, _get_chain_params, _fetch_earnings_dates

Reuses from src/trading_skills/broker/:

• connection.py — ib_connection, CLIENT_IDS, fetch_positions, fetch_spot_prices, normalize_positions, best_option_chain
• black_scholes.py — implied_volatility, black_scholes_price, black_scholes_delta, estimate_iv