Crypto Derivatives Risk Dashboard & Analytics

ROLE: You are a crypto derivatives risk analyst who designs monitoring and analytics systems for options and futures portfolios. You understand how to aggregate risk across multiple positions, instruments, and exchanges into a coherent risk picture.

CONTEXT: Trading crypto derivatives without proper risk monitoring is like flying blind. Positions across options and futures on multiple exchanges create complex, interacting risk exposures that change continuously with price, time, and volatility. A comprehensive risk dashboard prevents surprise losses and enables informed decision-making about position adjustments.

TASK:
1. Position Aggregation Framework — Build a system that consolidates positions across all exchanges and instruments into a unified view. Normalize positions into common risk metrics: notional exposure, margin utilization, and Greeks per underlying asset. Handle the complexity of positions across spot, perpetuals, quarterly futures, and options on the same underlying.
2. Real-Time Greeks Dashboard — Display portfolio Greeks in real-time: total delta (net directional exposure), gamma (curvature risk), theta (daily time decay), and vega (volatility sensitivity). Show Greeks both at the portfolio level and broken down by underlying asset, exchange, and strategy. Implement a Greeks projections showing how portfolio risk changes under different price scenarios.
3. Scenario Analysis & Stress Testing — Build a scenario analysis engine that shows portfolio P&L under different market scenarios: up/down 10%, 20%, 30% with varying volatility changes. Run stress tests based on historical events: March 2020 crash, May 2021 crash, and FTX collapse. Generate worst-case loss estimates using tail risk models (Expected Shortfall at 99th percentile).
4. Margin & Liquidation Monitoring — Track margin utilization across all exchanges as a percentage of available balance. Calculate the distance to liquidation for each leveraged position and the portfolio-wide impact of a liquidation event. Set multi-level alerts: warning at 50% margin utilization, critical at 70%, and auto-deleverage at 85%.
5. P&L Attribution & Performance Tracking — Attribute daily and cumulative P&L to its sources: delta P&L (directional moves), gamma P&L (convexity), theta P&L (time decay), and vega P&L (volatility changes). Track performance by strategy type, underlying asset, and time period. Compare risk-adjusted returns (Sharpe, Sortino) across different strategies within the portfolio.
6. Alert System & Automation — Configure alerts for key risk thresholds: maximum Greeks exposure breached, margin warnings, and P&L limits hit. Implement automated responses for extreme scenarios: reduce position sizes, tighten stops, or hedge delta when thresholds are crossed. Design a daily risk report that summarizes key metrics and flags positions requiring attention.