Option Greeks
workflow.run_option_greeksFirst and second order Greeks of a European option from Black-Scholes-Merton, manual inputs only (no live data): everything workflow.run_black_scholes returns (price, delta, gamma, vega, theta, rho) plus the higher-order Greeks vanna, vomma (volga), charm, veta, speed, zomma and color, with an optional continuous dividend yield for stocks and ETFs. Edge cases: daysToExpiry 0.001 to 36500, volatilityPct 0.01 to 1000, spot and strike above zero, riskFreeRatePct and dividendYieldPct 0 to 100; inputs so extreme that a Greek is not a finite number (a strike far from the spot for the volatility and time) are an error, not a null. Not covered: early exercise (use workflow.run_american_option), discrete dividends, a volatility smile (one flat volatility), negative rates, Greeks of coin-settled options; Greeks are USD Black-Scholes Greeks. Use when the user asks how delta changes when volatility or time moves (vanna, charm), how vega changes (vomma, veta) or how gamma changes (speed, zomma, color), or for an "option greeks calculator". Units: vannaPerVolPct = change of delta per 1 volatility point; vommaPerVolPct = change of vegaPerPct per 1 volatility point; charmCallPerDay/charmPutPerDay = change of delta when one calendar day passes; vetaPerDay = change of vegaPerPct when one calendar day passes; speedPerUsd = change of gamma per 1 unit of spot; zommaPerVolPct = change of gamma per 1 volatility point; colorPerDay = change of gamma when one calendar day passes. Time Greeks are the change as time passes (the derivative with respect to time to expiry, sign flipped); one input moves, the others stay fixed. Vanna, vomma, veta, speed, zomma and color are the same for the call and the put; charm differs by the dividend term only. A calendar day is 1/365 year.
Tool call template
Replace each placeholder with a value matching the input schema. Only required parameters are included; add optional parameters as needed.
{
"id": 1,
"jsonrpc": "2.0",
"method": "tools/call",
"params": {
"arguments": {
"spot": "<spot>",
"strike": "<strike>",
"daysToExpiry": "<daysToExpiry>",
"volatilityPct": "<volatilityPct>"
},
"name": "workflow.run_option_greeks"
}
}Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| spot | Yes | Underlying spot price | |
| strike | Yes | Strike price, same units as spot | |
| daysToExpiry | Yes | Calendar days until expiry (can be fractional), 0.001 to 36500 | |
| volatilityPct | Yes | Annualized implied volatility in percentage points, e.g. 60 for 60%, 0.01 to 1000 | |
| riskFreeRatePct | No | Risk-free rate in percentage points, 0 to 100. Default 0. | |
| dividendYieldPct | No | Continuous dividend yield in percent per year, 0 to 100. Default 0. |