greeks

name	greeks
description	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.
dependencies	["trading-skills"]

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.