IB PMCC Advisor

Analyzes all PMCC (diagonal call spread) positions in the IB portfolio and provides actionable advice on the short leg: assignment risk, P&L projections per day, and ranked roll recommendations.

IB Connection

TWS or IB Gateway must be running locally with API enabled:

• Paper trading — port 7497
• Live trading — port 7496

Port fallback: If the configured port fails, automatically retry on the other port. If the retry succeeds, save to memory which account type worked (live/paper) and reuse it for all IB skill calls in this and future sessions — until the user explicitly asks for the other account. If both ports fail, ask the user to verify that TWS or IB Gateway is running with API access enabled.

Instructions

Step 1: Run the report script

uv run python .claude/skills/ib-pmcc-advisor/scripts/pmcc_advisor.py [--port PORT] [--account ACCOUNT] [--min-roll-dte N] [--price-mode mid|last]

The script returns JSON to stdout. Capture it and format the report.

Step 2: Report to user

From the JSON, present inline in the conversation:

• Lead with any red flags (assignment > 40%, DTE < 7, earnings warnings).
• For each spread with a red flag, show the comparison table inline.
• State the top recommendation for each flagged spread.
• For clean positions, a one-line summary is enough.

Do NOT save a file unless the user explicitly asks for a report (e.g. "save a report", "generate a PDF", "write a report").

If a report is requested, read .claude/skills/ib-pmcc-advisor/templates/markdown-template.md for full formatting instructions and save to sandbox/:

• Filename: pmcc_advisor_{ACCOUNT}_{YYYY-MM-DD}_{HHmm}.md
• Use first account ID. Derive date/time from generated_at.

The report must include all sections per spread:

1. Red flags summary — assignment > 40%, DTE < 7, no rolls, earnings warnings
2. Spread structure table — both legs: strike, expiry, DTE, cost, current price, IV
3. Short leg risk — delta (BS + IB), assignment probability with risk label
4. Daily P&L projections — all rows: date, days to expiry, best exit spot, max P&L (mark the peak row)
5. Roll candidates table — strike, expiry, DTE, delta, assign%, IV, net credit, $/day, P&L if assigned, bid/ask
6. Comparison table — current vs roll_1/2/3 side by side
7. Recommendation — hold/roll/close with reasoning

Arguments

JSON Output Structure

{
  "generated_at": "2026-04-30 10:25 ET",
  "data_delay": "real-time",
  "accounts": ["Uxxxxxxxx"],
  "price_mode": "mid",
  "min_roll_dte": 7,
  "symbols_filter": ["NVDA", "WMT"],
  "spreads": [
    {
      "symbol": "NVDA",
      "account": "Uxxxxxxxx",
      "qty": 10,
      "underlying_price": 201.46,
      "leaps_expiry": "20260918",
      "earnings": {
        "date": "2026-05-20",
        "timing": "AMC",
        "warning_short": false,
        "warning_roll_indices": [1, 2, 3]
      },
      "long": {
        "strike": 180.0, "expiry": "20260918", "dte": 141,
        "avg_cost": 35.51, "current_price": 36.20,
        "iv_pct": 42.1, "ib_delta": 0.7821, "ib_iv_pct": 41.8
      },
      "short": {
        "strike": 210.0, "expiry": "20260618", "dte": 49,
        "premium_received": 6.88, "current_price": 5.10,
        "iv_pct": 38.5, "delta": 0.3421, "assignment_prob_pct": 28.4,
        "ib_delta": 0.3415, "ib_iv_pct": 38.2
      },
      "daily_pnl": [
        {"date": "2026-04-30", "days_to_short_expiry": 49.0, "optimal_spot": 215.20, "pnl": 1234.56},
        {"date": "2026-05-01", "days_to_short_expiry": 48.0, "optimal_spot": 214.80, "pnl": 1289.10}
      ],
      "roll_candidates": [
        {
          "strike": 215.0, "expiry": "20260717", "dte": 78,
          "price": 5.80, "delta": 0.2910, "assignment_prob": 22.5,
          "iv_pct": 37.2, "net_credit": 0.70, "profit_per_day": 0.0744,
          "pnl_if_assigned": 3580.0, "bid": 5.60, "ask": 6.00
        }
      ],
      "comparison": {
        "current":  {"strike": 210, "expiry": "20260618", "dte": 49, "delta": 0.3421, "assignment_prob": 28.4, "profit_per_day": 0.1404, "pnl_if_assigned": 1880.0},
        "roll_1":   {"strike": 215, "expiry": "20260717", "dte": 78, "delta": 0.2910, "assignment_prob": 22.5, "profit_per_day": 0.0744, "pnl_if_assigned": 3580.0}
      }
    }
  ]
}

Key Fields

• symbols_filter — list of uppercase symbols when --symbols was used; null means full portfolio
• data_delay — "real-time" if live quotes available, "stalled - using last price" if IBKR quotes unavailable
• generated_at — NY timezone timestamp
• leaps_expiry — expiry of the long leg (YYYYMMDD); all roll candidates are capped at or before this date
• earnings.date — next earnings date (YYYY-MM-DD) from Yahoo Finance; null for ETFs
• earnings.timing — "BMO" (before open) or "AMC" (after close)
• earnings.warning_short — true if earnings fall within the last 7 calendar days before short expiry
• earnings.warning_roll_indices — 1-based indices of roll candidates whose expiry window contains the earnings date
• delta / ib_delta — BS-calculated vs. IBKR model Greeks (both reported when available)
• iv_pct / ib_iv_pct — IV in percent; BS-calculated from option price vs. IBKR model Greeks
• assignment_prob_pct — N(d2): risk-neutral probability the short expires ITM
• net_credit — credit received when rolling (negative = debit); rolls with debit > $0.10/share excluded
• pnl_if_assigned — P&L if underlying finishes above short_strike at expiry: (short_strike - long_strike - long_cost + total_premium) × 100
• daily_pnl[].optimal_spot — spot price that maximises exit P&L on that day (found via numerical optimisation); increases as theta decays the short leg
• daily_pnl[].pnl — total dollars (qty × 100 contracts) at the optimal spot on that day

Roll Selection Criteria

Candidates must satisfy both:

1. Lower delta than current short (less assignment risk)
2. Net credit ≥ -$0.10/share (not a large debit)

Ranked by: delta improvement (highest weight) → net credit → DTE extension.

Example Usage

# All accounts (paper, default)
uv run python .claude/skills/ib-pmcc-advisor/scripts/pmcc_advisor.py

# Live account, 14-day minimum roll DTE, last-price mode
uv run python .claude/skills/ib-pmcc-advisor/scripts/pmcc_advisor.py --port 7496 --account Uxxxxxxxx --min-roll-dte 14 --price-mode last

# Analyze only specific symbols
uv run python .claude/skills/ib-pmcc-advisor/scripts/pmcc_advisor.py --symbols NVDA WMT

Architecture

All logic lives in src/trading_skills/broker/pmcc_advisor.py:

• Analytics functions (top half, no IBKR imports): get_option_price, calc_iv, calc_delta, calc_assignment_prob, calc_bs_price, calc_daily_pnl_table, check_earnings_warning, find_best_rolls, build_comparison_table, score_roll_candidate
• Data layer (bottom half, uses IBKR + Yahoo Finance): get_pmcc_data, _identify_pmcc_spreads, _fetch_single_option_quote, _fetch_option_quotes_batch, _get_chain_params, _fetch_earnings_dates

Reuses from src/trading_skills/broker/:

• connection.py — ib_connection, CLIENT_IDS, fetch_positions, fetch_spot_prices, normalize_positions, best_option_chain
• black_scholes.py — implied_volatility, black_scholes_price, black_scholes_delta, estimate_iv