greeks
Calculate Black-Scholes option risk sensitivities for one option and re-solve implied volatility from market price if provided.
Instructions
Black-Scholes greeks for one option.
Args:
spot: underlying spot price
strike: option strike
t_days: calendar days to expiry
iv: annualized implied volatility as a decimal (0.26 = 26%)
right: 'C' for call, 'P' for put
market_price: if given, IV is re-solved from this price instead of using iv
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| iv | Yes | ||
| spot | Yes | ||
| right | No | C | |
| strike | Yes | ||
| t_days | Yes | ||
| market_price | No |