greeks
Compute Greeks and implied volatility for options using the Black-Scholes framework. Input spot price, strike, expiration, and market price to derive delta, gamma, theta, vega, and rho—essential metrics for understanding position sensitivity and risk exposure.
greeks calculates option Greeks (delta, gamma, theta, vega) and implied volatility using the Black-Scholes model for risk analysis.
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Install
staskh/trading_skills/greeks · repository language: Python
git clone https://github.com/staskh/trading_skills
cp -r trading_skills/.claude/skills/greeks ~/.claude/skills/greeksnpx skillfed install staskh/trading_skills/greeksFrequently asked questions
AI-generated answers based on this skill's SKILL.md and metadata
How do I calculate option greeks delta gamma theta vega?
greeks computes all major option Greeks using Black-Scholes methodology. Input your spot price, strike price, time to expiration, risk-free rate, and volatility to obtain delta (price sensitivity), gamma (delta sensitivity), theta (time decay), vega (volatility sensitivity), and rho (rate sensitivity). These metrics quantify how your option position responds to market changes.
What is implied volatility for this option?
greeks derives implied volatility by inverting the Black-Scholes model against observed market prices. Provide the option's market price, spot price, strike, expiration, and risk-free rate; greeks solves for the volatility level that reconciles theory with market reality. This IV reveals what volatility the market is pricing in.
How to calculate option greeks for trading decisions?
greeks generates all Greeks needed for trading: delta shows directional exposure per $1 spot move, gamma indicates how fast delta changes, theta quantifies daily time decay, vega measures volatility risk, and rho captures interest-rate sensitivity. Use these to size positions, hedge risk, and understand your portfolio's behavior under different market scenarios.
Can greeks compute delta for call and put options?
Yes. greeks calculates delta for both calls and puts using Black-Scholes. Call delta ranges from 0 to 1 (positive exposure), while put delta ranges from -1 to 0 (negative exposure). Combined with gamma, theta, vega, and rho, you get a complete sensitivity profile for either option type.
What does option greek sensitivity analysis reveal?
greeks' sensitivity analysis shows how your option's value and Greeks respond to changes in underlying price, time, and volatility. Gamma tells you how delta shifts as the spot moves; theta quantifies daily erosion; vega shows volatility impact. This helps traders anticipate P&L swings and adjust hedges proactively.
How does greeks calculate IV from market price?
greeks inverts the Black-Scholes pricing formula to extract implied volatility from observed market prices. Feed in the option's market price, spot, strike, expiration, and risk-free rate; greeks numerically solves for the volatility input that matches the market quote, revealing the market's volatility expectation.
SKILL.md
rendered from the published skill — quoted content, verbatim
Option Greeks
Calculate Greeks for options using Black-Scholes model. Computes IV from market price via Newton-Raphson.
Instructions
> Note: If uv is not installed or pyproject.toml is not found, replace uv run python with python in all commands below.
uv run python scripts/greeks.py --spot SPOT --strike STRIKE --type call|put [--expiry YYYY-MM-DD | --dte DTE] [--price PRICE] [--date YYYY-MM-DD] [--vol VOL] [--rate RATE]
Arguments
--spot- Underlying spot price (required)--strike- Option strike price (required)--type- Option type: call or put (required)--expiry- Expiration date YYYY-MM-DD (use this OR --dte)--dte- Days to expiration (alternative to --expiry)--date- Calculate as of this date instead of today (YYYY-MM-DD)--price- Option market price (for IV calculation)--vol- Override volatility as decimal (e.g., 0.30 for 30%)--rate-
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