Portfolio Greeks: Beta-Weighting a Book of Options

By Rohan Fernandes, Founder · Updated 2026-08-22 · Educational reference, not investment advice

Why do raw greeks mislead at the portfolio level?

Summing raw deltas treats a dollar of exposure in every stock as interchangeable, but stocks move different amounts for the same market move. Beta scales each position by how much its stock historically moves per 1% move in the index; the beta-weighted sum answers the question a portfolio owner actually has: roughly what happens to this book if the market moves 1% tomorrow? Expressed in dollars per $1 of index move, the number is comparable across accounts, across time, and against a cap.

Which aggregates earn a cap?

• Net beta-weighted delta: the book's directional bet. A premium-selling book that drifts to a large net delta has quietly become a directional fund; a cap, often expressed relative to the theta the book collects, keeps the income engine from morphing into a market call. This ratio is one of the balancing gates in Options Scanner's portfolio logic.
• Net vega: the volatility bet. Ten defined-risk spreads can sum to one large short-volatility position; a vega cap bounds what a single volatility shock hits.
• Net theta: not a risk but a diagnostic; theta against tilt shows whether the book is being paid for the risks it carries.

Why does an aggregate view exist next to per-position rules?

Because concentration hides between positions. Every position can pass its own sizing and delta band while the book stacks the same exposure five times; only the aggregate sees it. The practical pattern is layered: per-position rules bound each trade, aggregate caps bound the book, and a combined view across accounts, agent positions plus manual ones beta-weighted the same way, bounds the whole, since risk does not care which surface opened the position.