greeks

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.