# Greeks

> Calculate option Greeks (delta, gamma, theta, vega) and implied volatility for specific options.

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.

- Page: https://ss33.ai/skills/staskh/greeks-6060957553
- Publisher: staskh
- Category: [Finance & Markets](https://ss33.ai/skills/category/finance-and-markets-gri5ar) › [Trading & market analysis](https://ss33.ai/skills/category/finance-and-markets-gri5ar/trading-and-market-analysis-e7prsg)
- License: MIT
- Source: https://github.com/staskh/trading_skills/blob/b71a74fe327b12e314fc96618d7131dca4638ab3/.claude/skills/greeks/SKILL.md

## Skill

SKILL.md: https://ss33.ai/api/v1/ss33/download/staskh/greeks-6060957553

# 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.

```bash
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

```bash
# 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.