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greeks

Calculate option Greeks (delta, gamma, theta, vega) and implied volatility for specific options. Use when user asks about Greeks, delta, gamma, theta, vega, IV, or option sensitivity analysis.

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查看安装方法

包含的文件(2)

  • SKILL.md2.1 KB
  • scripts/greeks.py1.7 KB

SKILL.md(原文)

安装前可以查看交给 AI 代理的指令内容。

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 - Risk-free rate (default: 0.05)

Output

Returns JSON with:

  • spot - Underlying spot price
  • strike - Strike price
  • days_to_expiry - Days until expiration
  • iv - Implied volatility (calculated from market price)
  • greeks - delta, gamma, theta, vega, rho

Examples

# With expiry date and market price (calculates IV)
uv run python scripts/greeks.py --spot 630 --strike 600 --expiry 2026-05-15 --type call --price 72.64

# With DTE directly
uv run python scripts/greeks.py --spot 630 --strike 600 --dte 30 --type call --price 40

# As of a future date
uv run python scripts/greeks.py --spot 630 --strike 600 --expiry 2026-05-15 --date 2026-03-01 --type call --price 50

Explain what each Greek means for the position.

Dependencies

  • scipy

Timezone

All timestamps and time-based calculations must use the America/New_York timezone. All JSON output must include generated_at (NY time string) and data_delay fields.

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