DeltaCalc.OptionLadder (DeltaCalc v0.3.0)

Pure rolling option ladder calculations for perp-funded option strategies.

This module keeps scheduling and execution outside DeltaCalc. Callers pass option chain snapshots, position state, funding receipts, and strategy preferences as plain values; the functions return deterministic decisions and Decimal amounts.

API Functions

Function	Arity	Description	Param Kinds
`iv_adjusted_size`	2	Adjust position size from IV percentile: increase below 40, reduce above 70, otherwise unchanged.	`base_size: value`, `opts: value`
`sync_with_funding`	2	Compare funding income with roll and spread costs to decide whether a roll can execute.	`roll: value`, `opts: value`
`select_strikes`	2	Build a strike ladder from spot price, IV percentile, risk profile, and option type.	`params: value`, `opts: value`
`check_roll_conditions`	2	Evaluate phase 7 rolling rules from days to expiry, PnL percent, momentum, and spread.	`position: value`, `market: value`
`optimal_expiries`	2	Select liquid expiries across front, middle, and back buckets and normalize allocations.	`expiries: value`, `opts: value`

Summary

Types

expiry()

expiry_bucket()

expiry_result()

funding_result()

roll_decision()

size_result()

strike_result()

Functions

check_roll_conditions(position, market)

Return the roll action for a single option position.

iv_adjusted_size(base_size, opts \\ [])

Return the IV-adjusted position size and action.

optimal_expiries(expiries, opts \\ [])

Return selected expiry buckets with normalized allocation percentages.

select_strikes(params, opts \\ [])

Return an IV-aware strike ladder quantized to the caller's increment and rounding mode.

sync_with_funding(roll, opts \\ [])

Return whether funding covers the roll, whether margin is used, or whether to skip/defer.

Types

expiry()

@type expiry() :: %{
  expiry: String.t(),
  days_to_expiry: pos_integer(),
  liquidity: DeltaCalc.Decimal.input(),
  bid_ask_spread: DeltaCalc.Decimal.input()
}

expiry_bucket()

@type expiry_bucket() :: %{
  bucket: :front | :middle | :back,
  expiry: String.t(),
  days_to_expiry: pos_integer(),
  allocation: Decimal.t(),
  liquidity: Decimal.t(),
  bid_ask_spread: Decimal.t()
}

expiry_result()

@type expiry_result() :: %{buckets: [expiry_bucket()], total_allocation: Decimal.t()}

funding_result()

@type funding_result() :: %{
  funding_received: Decimal.t(),
  positions_to_roll: non_neg_integer(),
  roll_cost: Decimal.t(),
  spread_cost: Decimal.t(),
  total_cost: Decimal.t(),
  excess_funding: Decimal.t(),
  margin_used: Decimal.t(),
  status: :executed | :skipped | :deferred,
  reason: atom() | nil
}

roll_decision()

@type roll_decision() ::
  %{action: :roll, target: :next_weekly}
  | %{action: :close_only, reason: String.t()}
  | %{action: :partial_roll, take_profit: Decimal.t(), roll_up: Decimal.t()}
  | %{action: :roll_to_atm}
  | %{action: :hold}

size_result()

@type size_result() :: %{
  base_size: Decimal.t(),
  adjusted_size: Decimal.t(),
  multiplier: Decimal.t(),
  action: :increase_size | :normal_size | :reduce_size,
  reason: String.t()
}

strike_result()

@type strike_result() :: %{
  risk_profile: atom(),
  option_type: :call | :put,
  spot_price: Decimal.t(),
  iv_adjustment: size_result(),
  strikes: [map()]
}

Functions

check_roll_conditions(position, market)

@spec check_roll_conditions(map(), map()) :: roll_decision()

Return the roll action for a single option position.

iv_adjusted_size(base_size, opts \\ [])

@spec iv_adjusted_size(
  DeltaCalc.Decimal.input(),
  keyword()
) :: size_result()

Return the IV-adjusted position size and action.

optimal_expiries(expiries, opts \\ [])

@spec optimal_expiries(
  [expiry()],
  keyword()
) :: expiry_result()

Return selected expiry buckets with normalized allocation percentages.

select_strikes(params, opts \\ [])

@spec select_strikes(
  map(),
  keyword()
) :: strike_result()

Return an IV-aware strike ladder quantized to the caller's increment and rounding mode.

sync_with_funding(roll, opts \\ [])

@spec sync_with_funding(
  map(),
  keyword()
) :: funding_result()

Return whether funding covers the roll, whether margin is used, or whether to skip/defer.