options-greeks

Computes portfolio Greeks and validates GreeksProfile contracts for options positions.

Updated Jun 27, 2026
One-click install
npx skills add https://github.com/HKUST-QUANT-SOCIETY/quantcode --skill options-greeks-hkust-quant-society
Or copy as Structured Prompt for Agent
Please help me install this Agent Skill.
Skill: options-greeks
Source: https://github.com/HKUST-QUANT-SOCIETY/quantcode/tree/main/.opencode/groups/options/skills/options-greeks
Command: npx skills add https://github.com/HKUST-QUANT-SOCIETY/quantcode --skill options-greeks-hkust-quant-society

SYSTEM DOCUMENTATION & REQUIREMENTS

What problem does it solve? Options traders and risk teams need consistent, contract-compliant Greeks calculations for their positions, plus a reliable way to verify that authoritative pricing components are actually connected rather than silently falling back to stub data. ## Core Features & Use Cases - Greeks Calculation: Calls the authoritative calc_greeks tool to produce a GreeksProfile with portfolio-level delta, gamma, vega, and theta for a given underlying and as-of date. - Threshold Validation: Checks whether portfolio delta exceeds brainstorm-defined constraints before results are accepted. - Optional Backtesting: Runs the authoritative options backtest component when available, using run_options_backtest_stub only for explicit fixture validation and never as production PnL. - Use Case: After a volatility surface is built by the upstream skill, refresh Greeks for a GC options position, verify delta stays within limits, and persist results to artifacts/options/{strategy_name}/greeks.json for the risk group. ## Quick Start Calculate the Greeks for my GC options position as of 2026-06-27 with the current spot price and check whether the portfolio delta exceeds the configured threshold.

Frequently Asked Questions about options-greeks

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

FAQPage Schema
How do I calculate portfolio Greeks for an options position?

Provide the underlying symbol, as-of date, spot price, and position size, and the skill calls calc_greeks to produce a GreeksProfile with portfolio delta, gamma, vega, and theta. A VolSurfaceResult from the upstream vol-surface step can optionally be supplied as input.

What is the GreeksProfile schema for options risk reporting?

GreeksProfile contains underlying, as_of_date, portfolio_greeks (delta, gamma, vega, theta as numeric values), leg_greeks, and currency. All four portfolio Greek fields must be numeric to pass acceptance criteria.

Can I use the backtest stub results as production PnL?

No. run_options_backtest_stub is only for fixture-based schema validation when the user explicitly requests it and the directory allows it. Stub results prove the sample contract shape, not business connectivity, and must never be reported as production PnL.

What happens when the authoritative pricing component is not connected?

The skill explicitly reports the gap rather than fabricating results. It does not replace missing pricing or backtest components with self-built models, and the task record distinguishes real component execution from unconnected surfaces or Greeks.

How does the delta threshold check work in options Greeks validation?

After calc_greeks returns, the skill compares the absolute portfolio delta against the constraint defined during the brainstorm phase. Positions exceeding the threshold are flagged before results are accepted or persisted.