Documentation / Delta Monitoring & Alerts

Delta Monitoring & Alerts

Automated email alerts when your position delta breaches configured thresholds

How Delta Monitoring Works

Delta monitoring runs as a background service that periodically calculates the aggregate delta of each monitored trade and checks whether it has breached your configured thresholds.

Aggregate delta calculation:

  • Each open option leg's delta is computed using the BSM model with real-time inputs (underlying price, IV solved from current mid price, time to expiration, risk-free rate)
  • Individual leg deltas are multiplied by their quantity and contract multiplier (100), then summed across all legs
  • Any underlying stock shares in the trade are added directly to the delta sum

Configuring Delta Thresholds

Delta monitoring is configured per-trade in the Trade Detail dialog under the Monitoring section:

  • Enable Delta Monitor: Toggle to activate monitoring for this trade
  • Upper Limit: The maximum delta value before triggering a breach alert
  • Lower Limit: The minimum delta value before triggering a breach alert
  • Tolerance: A buffer around each threshold to prevent flickering alerts on small oscillations (default: 1). A breach is only triggered when delta > upperLimit + tolerance or delta < lowerLimit - tolerance.
  • Monitor window: Set start and end times (HH:MM ET) to restrict monitoring to specific hours (e.g., 9:30 to 16:00)
  • Monitor interval: How often the background job checks delta (in minutes)

Email Alerts & Deduplication

When a threshold is breached, the system sends an email alert to your account email address:

  • Alert on Breach: Sends an email when delta first moves outside the threshold (with tolerance applied)
  • Alert on Return: Sends an email when delta moves back inside the threshold

Deduplication: Each trade tracks its current alert state ("normal" or "breached"). A breach alert is only sent when the state transitions from normal → breached, and a return alert only when breached → normal. This ensures you receive exactly one email per event, not a flood of repeated alerts on every monitoring cycle.

Data unavailable alerts: If the system cannot calculate delta because market data is missing (e.g., no live quote available), it sends a "Data Unavailable" warning email and flags the trade. When data is restored, a follow-up email is sent and the flag is cleared automatically.

P&L Monitoring

In addition to delta, the system also supports P&L monitoring per trade:

  • Profit Target: Sends an alert when total P&L (unrealized + realized) reaches or exceeds this value
  • Loss Limit: Sends an alert when total P&L falls below this value (enter a negative number, e.g., -500 for a $500 loss limit)

P&L monitoring uses the same deduplication logic as delta monitoring — one alert per breach event, not repeated emails on every monitoring cycle.

Configure P&L monitoring in the Trade Detail dialog under the same Monitoring section as delta thresholds.