calculate_greeks
Calculate option Greeks (delta, gamma, theta, vega, rho) for single options or portfolios using Black-Scholes (European) or binomial (American) models.
Instructions
Calculate option Greeks (delta, gamma, theta, vega, rho) for individual options or an options portfolio. Uses Black-Scholes for European, binomial for American style. Paid tier only.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| options | Yes | Array of option positions to calculate Greeks for. 1-100 options. Results include per-option Greeks and aggregated portfolio Greeks. | |
| risk_free_rate | No | Annualized risk-free rate as a decimal, e.g. 0.05 = 5%. Used in Black-Scholes and binomial pricing models. Default: 0.05. |