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

Timezone

All timestamps and time-based calculations must use the America/New_York timezone. All JSON output must include generated_at (NY time string) and data_delay fields.