Standardize how MultiClaw computes and uses option Greeks for decision support.
- underlying price/time series
- option chain (strike, expiry, right)
- implied volatility / surface assumptions
- rates/dividend assumptions
delta,gamma,vega,theta,rho- sensitivity surfaces for scenario analysis
- strategy-level aggregate greek exposure
- Pull chain data from LEAN-supported paths.
- Validate chain integrity and session context.
- Compute/store snapshots in
options.greeks_snapshot. - Run scenario shocks (spot/vol/time/rates).
- Expose results in dashboard + API endpoints.
- Keep model assumptions explicit per run.
- Store calculation provenance for reproducibility.
- Prefer conservative defaults for risk reporting.