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.
Calculate Greeks for options using Black-Scholes model. Computes IV from market price via Newton-Raphson.
Note: If
uvis not installed orpyproject.tomlis not found, replaceuv run pythonwithpythonin 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]
--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)Returns JSON with:
spot - Underlying spot pricestrike - Strike pricedays_to_expiry - Days until expirationiv - Implied volatility (calculated from market price)greeks - delta, gamma, theta, vega, rho# 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.
scipy