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greek-scenario-risk-attribution

Decompose option book PnL into Greek sensitivities under stress scenarios.

Updated Feb 10, 2026
Search Tags:#stress testing#risk attribution#options#greeks#pnl#scenario analysis
One-click install
npx skills add https://github.com/GhostOf0days/codex-quant-skills --skill greek-scenario-risk-attribution
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: greek-scenario-risk-attribution
Source: https://github.com/GhostOf0days/codex-quant-skills/tree/main/greek-scenario-risk-attribution
Command: npx skills add https://github.com/GhostOf0days/codex-quant-skills --skill greek-scenario-risk-attribution

SYSTEM DOCUMENTATION & REQUIREMENTS

💡 This Skill requires pandas, argparse, json, and includes scripts (resource) and references (resource) components.

What problem does it solve?

This Skill addresses the complexity of understanding option book profitability by breaking down Profit and Loss (PnL) into its constituent Greek sensitivities and stress scenarios.

Core Features & Use Cases

  • Greek Decomposition: Attributes PnL to delta, gamma, vega, theta, and higher-order Greeks.
  • Scenario Analysis: Evaluates risk and PnL under various stress scenarios, including jumps and skew.
  • Use Case: When a portfolio experiences unexpected PnL swings, this Skill can identify whether the movement was primarily driven by changes in delta, vega, or other Greeks, and quantify the impact of specific market shocks.

Quick Start

Run the python script to generate diagnostics for the greek scenario risk attribution using input.csv.

Frequently Asked Questions about greek-scenario-risk-attribution

High-intent search queries and answers about installing and using this skill.

FAQPage Schema
How do I attribute option PnL to greeks like delta, gamma, and vega?▼

Option PnL attribution decomposes profitability into delta, gamma, vega, theta, and higher-order greek effects. This Skill uses deterministic decomposition frameworks to quantify each sensitivity's impact under various market movements.

What is stress testing for an options trading book?▼

Stress testing evaluates option risk and PnL under simulated market shocks, including jumps and skew. It generates diagnostic summaries and reconciliation reports to facilitate scenario governance for trading desks.

How do I decompose unexpected PnL swings in my options portfolio?▼

Decomposing unexpected PnL swings requires identifying whether movements are driven by changes in delta, vega, or other greeks. This Skill quantifies the specific impact of market shocks and attributes PnL accordingly.

Does this scenario analysis require specific input data formats?▼

Scenario analysis requires deterministic greek and scenario decomposition frameworks. You provide input data via a CSV file, and the Python script generates diagnostic summaries and reconciliation reports.

What is the best way to run greek risk attribution using pandas?▼

Running greek risk attribution with pandas involves executing a Python script that processes your input CSV. The framework outputs diagnostic summaries and reconciliation reports for risk explainability.

Can I use this for higher-order greek decomposition and risk explainability?▼

Higher-order greek decomposition attributes PnL beyond standard delta and vega sensitivities. This Skill facilitates risk explainability by quantifying these effects under stress scenarios for options trading desks.

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