Delta Exposure Report - Markdown Template
Format the JSON data into a markdown report saved to sandbox/.
Filename: delta_exposure_report_{YYYYMMDD}_{HHMMSS}.md
JSON Structure
{
"connected": true,
"accounts": ["ACC1", "ACC2"],
"position_count": 25,
"positions": [
{
"account": "ACC1",
"symbol": "AAPL",
"sec_type": "OPT", // OPT, FOP, FUT, STK
"strike": 180.0, // options only
"expiry": "20260321", // options only, YYYYMMDD
"right": "C", // C or P, options only
"qty": -5,
"spot": 185.50,
"delta": -0.35,
"multiplier": 100,
"raw_notional": -92750.0,
"delta_notional": -32462.5
}
],
"summary": {
"total_long_delta_notional": 500000.0,
"total_short_delta_notional": -250000.0,
"net_delta_notional": 250000.0,
"by_account": {
"ACC1": { "long": 300000.0, "short": -150000.0 }
},
"by_underlying": {
"AAPL": { "long": 100000.0, "short": -50000.0, "net": 50000.0 }
}
}
}Report Sections
1. Header
# Delta-Adjusted Notional Exposure Report
**Generated:** YYYY-MM-DD HH:MM:SS
**Accounts:** ACC1, ACC2
**Total Positions:** N2. Portfolio Summary
| Metric | Value |
|---|---|
| Total Long Delta Notional | $X,XXX,XXX |
| Total Short Delta Notional | ($X,XXX,XXX) |
| Net Delta Notional | $X,XXX,XXX |
3. Summary by Account
| Account | Long | Short | Net |
|---|
Calculate net as long + short for each account.
4. Summary by Underlying
| Symbol | Long | Short | Net |
|---|
Sort by absolute net (descending).
5. Top Long Delta Exposures
Top 10 positions sorted by delta_notional (descending, positive only):
| Account | Symbol | Type | Strike | Expiry | Qty | Delta | Spot | Delta Notional |
|---|
6. Top Short Delta Exposures
Top 10 positions sorted by delta_notional (ascending, negative only):
| Account | Symbol | Type | Strike | Expiry | Qty | Delta | Spot | Delta Notional |
|---|
7. Detailed Positions by Account (full report only)
Group by account, then split into long/short subsections with full position tables.
8. Detailed Positions by Symbol (full report only)
Group by symbol with all positions listed.
Formatting Rules
- Currency:
$X,XXX.XXformat, negative values in parentheses:($X,XXX.XX) - Delta: 2 decimal places
- Spot: 2 decimal places
- Expiry: format YYYYMMDD as "Mon DD, YYYY"
- Type: "OPT" -> show strike + right (e.g., "$180 C"), "STK" -> "Stock", "FUT" -> "Future"
- Sort tables by absolute delta notional descending unless otherwise specified
Footer
*Report generated by Trading Skills on YYYY-MM-DD HH:MM*