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