option_greeks
Calculate option Greeks (delta, gamma, theta, vega) using Black-Scholes. Obtain implied volatility from market price when provided.
Instructions
Calculate option Greeks (delta, gamma, theta, vega) using Black-Scholes.
Computes implied volatility from market price if provided.
Args: spot: Current underlying price strike: Option strike price option_type: 'call' or 'put' expiry: Expiration date (YYYY-MM-DD) - use this OR dte dte: Days to expiration (alternative to expiry) market_price: Option market price (for IV calculation) volatility: Override volatility (decimal, e.g., 0.30) rate: Risk-free rate (default 0.05)
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| dte | No | ||
| rate | No | ||
| spot | Yes | ||
| expiry | No | ||
| strike | Yes | ||
| volatility | No | ||
| option_type | Yes | ||
| market_price | No |