Resources · Quant · Greeks
Quant Trader guide
Monte Carlo tail-risk, book-level Greeks exposure, and delta-scoped scans — wired through Quant Trader desk, xOptions chain/strategy Greeks, and the quant-trader xChat persona. Copy prompts below; review before Send.
Platform features using Greeks
xFinance treats Greeks as first-class desk inputs — not decorative chain columns. Black–Scholes (European) powers chain marks, strategy summaries, payoff overlays, portfolio proxies, and the Quant Trader exposure heatmap.
Quant Trader desk (`/xoptions/quant-trader`)
Monte Carlo tail-risk across owned portfolios — 1D VaR/CVaR (95%), P(drawdown > threshold), drawdown gates, and a per-symbol Greeks exposure heatmap (Δ/Γ notional, Θ/day, vega per IV point). Export CSV/PDF or hand off to xChat.
Greeks exposure rollup (book level)
After each simulation, holdings are rolled up into delta-notional, gamma-notional, daily theta USD, and vega-per-IV-point — color-coded for quick long/short and decay reads. Same engine backs the monte_carlo_tail_risk tool in xChat.
xOptions chain & strategy Greeks
In the strategy builder, chain rows show per-contract delta (and toggled Greeks on mobile). When you pick a leg, the footer Greek summary shows net delta (shares), net theta/day, net vega/1% IV, and net gamma with a gamma-risk flag above threshold.
Payoff chart + Black–Scholes reference
Single-leg payoff overlays use the same European Black–Scholes model as desk Greeks. Expand the Greek explainer on contract steps for Δ, Γ, Θ, and vega formulas when you need to sanity-check chain marks.
xChat quant-trader persona + tools
Select the quant-trader persona (multi-agent, heavy reasoning). Server preflight injects workspace summary and book snapshot; tools include monte_carlo_tail_risk, strategy_recommendations, options_scan (delta/IV/OI filters), and yahoo_finance.
Portfolio holdings Greeks proxy
Portfolio desk rows can surface Black–Scholes desk proxies on options holdings — aligned with the quant-trader exposure rollup when you reconcile book-level risk outside xOptions.
Not financial advice. Greeks and simulations are model-based; verify against your custodian and compliance policy.
Suggested workflow
- Quant Trader desk — run MC with IV rank + drawdown gates; read VaR/CVaR and Greeks heatmap.
- xOptions — drill into legs; confirm net delta/theta/vega on the structure footer and payoff chart.
- xChat (quant-trader) — paste prompts for narrative, scans, methodology, or structure ranking; export PDF/CSV from desk for records.
- Strategy job — save validated structures when your deployment enables Hardcore jobs.
Monte Carlo & tail risk
Start here for book-level VaR, CVaR, and drawdown gates.
#1
Run a Monte Carlo tail-risk simulation on my 45-day wheel and covered-call book across all portfolios. IV rank > 60%, max 15% drawdown, 12,000 paths. Use each portfolio's desk risk profile.
Expected high-value output
MONTE CARLO TAIL-RISK — COMBINED BOOK (illustrative) Scope: 3 owned portfolios · horizon 45d · paths 12,000 · IV rank floor 60% Combined (weighted) • 1D VaR (95%): 2.8% • 1D CVaR (95%): 4.1% • P(drawdown > 20%): 6.2% Per portfolio Book VaR 1D CVaR 1D P(DD>20%) Gate Taxable 3.1% 4.5% 7.1% Pass IRA growth 2.2% 3.4% 4.8% Pass Spec sleeve 4.6% 6.8% 11.3% Review Greeks exposure (top symbols) Symbol Δ notional Γ notional Θ/day Vega/IV pt MEGA +$42,100 +$8,200 −$186 +$1,240 ORBIT −$18,400 +$3,100 +$92 +$680 Educational model output — verify at custodian before sizing.
Stack note: Mirrors the Quant Trader desk defaults. Preflight workspace JSON should list portfolio ids — no need to paste holdings. Pair with Export PDF on the desk for committee packets.
#2
Stress my active workspace portfolio only: 30-day horizon, conservative risk tier, max 10% drawdown, min IV rank 50%. Show per-path drawdown gate and combined Greeks rollup.
Expected high-value output
SINGLE-BOOK STRESS — CONSERVATIVE (illustrative) Active: Taxable growth · horizon 30d · tier conservative Tail metrics • 1D VaR (95%): 1.9% · CVaR: 2.7% • Drawdown gate (10% max): P(DD > 10%) = 3.4% → Pass Greeks rollup highlights • Net short-vol theta: +$214/day (premium collection sleeve) • Largest vega: LEAP call overlay on LYRA (+$2.1k / IV pt) Next: if gate fails, trim concentrated short puts or add defined-risk spreads.
Stack note: Use when the workspace cookie points at one book. Explicit conservative tier overrides per-portfolio desk mapping.
#3
Compare tail risk across my portfolios side by side. Same 45-day horizon and IV rank floor, but show which book fails a 15% drawdown gate and why.
Expected high-value output
CROSS-BOOK COMPARE — DRAWdown GATE (illustrative) | Book | VaR 1D | CVaR 1D | P(DD>15%) | Gate | Driver | |-------------|--------|---------|-----------|--------|---------------------------------| | Taxable | 2.4% | 3.6% | 5.1% | Pass | Diversified CC + CSP ladder | | Roth | 1.8% | 2.5% | 2.9% | Pass | Lower beta, less short vol | | Spec | 5.2% | 7.9% | 18.4% | Fail | Stacked short puts on 2 names | Committee read: Spec sleeve concentrates gamma/short vol — consider defined-risk rolls or hedge overlay.
Stack note: Forces portfolioScope: all with perPortfolioRisk. Ask for methodology citation if numbers look surprising.
Greeks & exposure
Book-level and leg-level — tie prompts to heatmaps and chain context.
#4
Summarize my current options Greeks exposure across all holdings: net delta in share equivalents, daily theta P&L, vega to a +5 vol point shock, and flag any gamma concentration above desk threshold.
Expected high-value output
GREEKS EXPOSURE SUMMARY (illustrative) Book-level (options + stock delta proxy) • Net Δ: +1,240 sh equivalent (~+0.31 β-adjusted notional vs $4.0M book) • Θ/day: +$318 (short premium sleeve dominates) • Vega (+5 vol pts): −$4,850 (net long vol via LEAPs) Concentration flags • ORBIT short puts: Γ notional elevated — roll or define risk before expiry week • VECT LEAP + short call: positive Θ, negative vega into earnings Threshold note: gamma-risk warning when |net Γ/share| > 0.05 on a leg cluster.
Stack note: Pulls from monte_carlo_tail_risk greeksExposure and/or holdings rollup. Cross-check leg picks in xOptions Greek summary before sending orders.
#5
For my TSLA wheel position: show net delta, theta, and vega after adding a 0.25-delta short put at 45 DTE. Include payoff sketch and breakeven vs current spot.
Expected high-value output
WHEEL LEG — GREEKS WHAT-IF (illustrative) Underlying: TSLA @ $248 (example) New leg: short put 45 DTE, |Δ| ≈ 0.25, credit $4.10 Net after leg (book slice) • Δ: +820 sh eq → +620 sh eq • Θ/day: +$142 → +$198 • Vega/1% IV: −$890 → −$1,240 Payoff (short put only) • Max profit: premium · breakeven ≈ strike − credit • Max loss: strike − credit (assignment path) Open in xOptions to confirm chain mid and spread before entry.
Stack note: Combines yahoo_finance quote with structure reasoning. Append “Open in xOptions” for handoff to payoff chart + Greek summary footer.
#6
Which symbols in my book are driving negative theta or positive vega this week? Rank by absolute daily theta USD and note any earnings within 7 days.
Expected high-value output
THETA / VEGA DRIVERS — 7D WINDOW (illustrative) | Symbol | Θ/day USD | Vega/IV pt | Earnings ≤7d | Note | |--------|-----------|------------|--------------|-------------------| | PULSE | +$96 | −$420 | Yes (Apr 24) | Short strangle | | ARC | −$88 | +$1,100 | No | Long LEAP call | | NEXUS | +$54 | −$310 | No | CSP ladder | Action draft: reduce gamma into PULSE event or convert to defined-risk iron condor.
Stack note: Uses greeksExposure rows sorted by magnitude. Name symbols explicitly if you want cleaner tool grounding.
Delta-scoped chain scans
xChat options_scan understands delta, DTE, IV, OI, and bid filters.
#7
Run an options_scan on RDW: CSP puts, DTE <= 7, delta 0.15–0.30, IV > 40%, OI > 500, bid > 0.10. Rank by capital efficiency and conflict with my holdings.
Expected high-value output
OPTIONS_SCAN — RDW PUTS (illustrative) | Expiry | Strike | Δ | IV | OI | Bid | Collateral/sh | |--------|--------|-------|-------|------|------|---------------| | Apr 26 | $12 | −0.22 | 48% | 1.2k | 0.18 | ~$1,200 | | May 03 | $11 | −0.18 | 44% | 890 | 0.14 | ~$1,100 | Holdings conflict: none on RDW short puts. Capital note: size to ≤5% book per IPS.
Stack note: Natural-language query maps to structured filters in options_scan. Delta band is the primary strike selector for income desks.
#8
Scan my watchlist for covered call candidates: 30–45 DTE, call delta 0.25–0.35, names I already own > 200 shares. Show premium yield on shares and assignment risk into ex-div.
Expected high-value output
CC SCAN — OWNED NAMES (illustrative) | Symbol | Shares | Call strike | Δ | DTE | Credit | Yield* | Ex-div flag | |--------|--------|-------------|------|-----|--------|---------|-------------| | LYRA | 400 | $48 | 0.28 | 38 | $1.05 | ~2.3% | None | | VANT | 300 | $135 | 0.31 | 42 | $3.80 | ~2.9% | May 12 | *Yield ≈ credit / spot for window — not annualized guarantee.
Stack note: Requires watchlist + positions in preflight. Delta band keeps calls OTM enough for income but not lottery tickets.
Methodology & handoff
Transparency, structure ranking, and desk → xChat → strategy jobs.
#9
How did you calculate the 1D VaR and CVaR in the last Monte Carlo run? Explain the shock model, path count, correlation assumptions, and IV sourcing.
Expected high-value output
METHODOLOGY — monte_carlo_tail_risk (illustrative summary) Engine • Student-t shocks (ν≈6) with base correlation ρ≈0.35; stress slice ρ→0.85 • Poisson jumps λ≈1.5 · 10k–12k paths · horizon from request • IV from Yahoo chains; IV rank gate applied pre-simulation Metrics • VaR/CVaR reported as positive loss magnitudes at 95% • Drawdown prob from path-wise peak-to-trough vs threshold Cite: quant-trader RAG segment (monte-carlo-engine.md) when file_search is enabled.
Stack note: quant-trader persona should retrieve category=quant-trader KB docs — not invent parameters. Run after prompt #1–3 for audit trails.
#10
After tail-risk passes, rank wheel and bull put spread structures on my top watchlist names for balanced outlook, 45 DTE, matching my desk risk profile. Include expected theta and max defined risk per structure.
Expected high-value output
STRUCTURE RANKING — POST-MC (illustrative) | Rank | Symbol | Structure | Max risk | Θ/day est | Thesis | |------|--------|------------------|----------|-----------|---------------| | 1 | MEGA | CSP 0.25Δ | $4.2k | +$18 | Neutral-bull | | 2 | ORBIT | Bull put spread | $1.8k | +$11 | Support hold | | 3 | NEXUS | Skip | — | — | Earnings 5d | Handoff: Save as Strategy Job or open xOptions Hardcore builder for leg review.
Stack note: Calls strategy_recommendations after monte_carlo_tail_risk when gates pass. Numbers must come from tool JSON only.
Pro tips
- Select the quant-trader persona in xChat before pasting — preflight + tool routing differ from generic advisor.
- Start on the Quant Trader desk for a visual distribution chart and Greeks heatmap, then use Apply to xChat for narrative follow-ups.
- Always state portfolio scope: “all portfolios” vs active workspace — avoids clarification loops.
- Delta bands in prompts (0.15–0.30 puts, 0.25–0.35 calls) align with options_scan and desk conventions.
- After any MC run, ask for methodology if you need audit-grade transparency for committees.
- Reconcile Greek summaries to custodian marks — chain IV and mids move intraday.
Open Quant Trader desk → · Open xChat →
Options involve substantial risk. Prompts and simulations do not guarantee outcomes; verify every recommendation against your mandate and custodian records.