Methodology
Portfolio exposure aggregation
Position-level Greeks rolled up across structures: what the Exposure Aggregator does, and what it deliberately does not do.
From single position to portfolio view
Per-structure Greeks are useful but incomplete. A user holding a covered call on one name, a calendar on another, and a credit spread on a third has a portfolio-level exposure that is the sum of the three position-level exposures, not any one of them in isolation. Voleron's Exposure Aggregator rolls up position-level delta, vega, theta, and capital-at-risk across all selected structures and reports the aggregate.
What the aggregator does
The aggregator reads the user's selected structures from the dashboard or scenario builder, computes position-level Greeks for each, and presents the portfolio aggregate alongside the per-position values. The user sees both views simultaneously: how each structure contributes, and what the combined exposure looks like. The aggregator also reports total capital required and total defined-risk loss across the selection.
What the aggregator deliberately does not do
The aggregator does not recommend allocations, does not suggest which structures to add or remove, and does not compute an 'optimal' portfolio. Those are advisory functions. The aggregator's role is exposure measurement: showing the user what they have selected, in clear position-level and aggregate terms. The decision to add, remove, or rebalance any structure remains user-directed.
This is a deliberate scope boundary. Voleron is a quantitative research platform; allocation advice is not within scope. Surfacing exposure clearly enables the user to make their own allocation decisions on a clear basis.
How event risk surfaces in the aggregate
Per-structure event flags are surfaced individually, but the aggregator also reports the count of selected structures with event risk inside their option lives. A portfolio with multiple event-flagged structures concentrated in the same week carries different aggregate event risk than a portfolio of the same size with event flags spread across months — the aggregator surfaces this so the user can see the timing concentration.
Reading the aggregate alongside scanner output
The aggregator and the scanners are complementary tools. Scanners surface candidate structures ranked by composite quality; the aggregator measures the exposure of the user's actual selection. Neither tool prescribes a portfolio. Together they support a research workflow where the user can evaluate candidates, select structures, and immediately see the resulting aggregate exposure.