Strategy builder

STRATEGY, the builder

Open the STRATEGY panel and pick a symbol. The panel has three sections: a leg list at the top, a P&L chart in the middle, and an aggregate-greeks summary at the bottom.

Add legs one at a time. Each leg specifies:

• Direction (long / short)
• Type (call / put)
• Strike
• Expiry
• Size (number of contracts)

The panel reads live IV off the chain for each leg, prices it via Black-Scholes, and computes the aggregate position. The P&L chart renders the payoff curve at expiry by default; you can toggle to show P&L at intermediate dates so you can see the time-decay shape.

Common pre-built structures: long call, long put, vertical spread, calendar spread, butterfly, iron condor, straddle, strangle. Save constructions to come back to via the panel's local save list.

Reading the P&L curve

• Above zero on the curve = profit at that spot price at expiry.
• Below zero = loss.
• Breakevens = where the curve crosses zero. Marked on the chart.
• Max profit / max loss = the curve's global extremes. For some structures (long calls, short puts) one is unbounded.

HEDGE, delta-neutral sizing

The HEDGE panel takes the strategy you've built and computes the spot or perp position you'd need to neutralise its delta. Output: number of contracts (or coins) to short or long, and the resulting position-level greeks after hedging.

Useful when you want pure exposure to a non-directional greek (volatility via vega, or pin via gamma) without picking direction. The hedge calc tells you exactly how much spot or perp to flatten the delta on.

SCENARIO, the 2D P&L heatmap

The P&L curve in the strategy builder is a 1D slice (price axis only). The SCENARIO panel is the 2D version: P&L plotted across spot × time, rendered as a heatmap.

Reading it:

• X-axis = time, from now to expiry.
• Y-axis = spot price.
• Colour = aggregate position P&L at that time × spot cell. Green = profitable, red = losing.

The heatmap surfaces the position's entire risk surface in one image. Common reads:

• Long premium positions, green clusters at the wings, red along the middle (the "valley" between strikes). Profitable on big moves either way.
• Short premium positions, green band along the middle (decay collected), red at the wings (max-loss tail risk).
• Calendar spreads, diagonal P&L bands because the back-month leg holds value while the front-month decays.

The full workflow: price each leg in BS, drop them into STRATEGY for the curve, hit HEDGE for the delta-neutral size, open SCENARIO for the full risk surface.