Calculate Kelly Sizing
calculate_kellyCompute Kelly criterion optimal position sizing for an option trade. Uses BSM expected value vs premium to find edge-maximizing bet size.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| mu | Yes | Expected annual return of underlying as decimal (0.10 = 10%) | |
| dte | Yes | Days to expiration | |
| spot | Yes | Current stock price | |
| type | Yes | 'call' or 'put' | |
| sigma | Yes | Implied volatility as decimal (0.20 = 20%) | |
| apiKey | No | FlashAlpha API key. Omit when calling via /mcp-oauth (OAuth flow); required on /mcp. | |
| strike | Yes | Strike price | |
| premium | Yes | Option premium paid |