Option Greeks

Calculate Greeks for options using Black-Scholes model. Computes IV from market price via Newton-Raphson.

Instructions

Note: If uv is not installed or pyproject.toml is not found, replace uv run python with python in all commands below.

uv run python scripts/greeks.py --spot SPOT --strike STRIKE --type call|put [--expiry YYYY-MM-DD | --dte DTE] [--price PRICE] [--date YYYY-MM-DD] [--vol VOL] [--rate RATE]

Arguments

• --spot

• Underlying spot price (required)

• --strike

• Option strike price (required)

• --type

• Option type: call or put (required)

• --expiry

• Expiration date YYYY-MM-DD (use this OR --dte)

• --dte

• Days to expiration (alternative to --expiry)

• --date

• Calculate as of this date instead of today (YYYY-MM-DD)

• --price

• Option market price (for IV calculation)

• --vol

• Override volatility as decimal (e.g., 0.30 for 30%)

• --rate

• Risk-free rate (default: 0.05)

Output

Returns JSON with:

• spot

• Underlying spot price

• strike

• Strike price

• days_to_expiry

• Days until expiration

• iv

• Implied volatility (calculated from market price)

• greeks

• delta, gamma, theta, vega, rho

Examples

With expiry date and market price (calculates IV)

uv run python scripts/greeks.py --spot 630 --strike 600 --expiry 2026-05-15 --type call --price 72.64

With DTE directly

uv run python scripts/greeks.py --spot 630 --strike 600 --dte 30 --type call --price 40

As of a future date

uv run python scripts/greeks.py --spot 630 --strike 600 --expiry 2026-05-15 --date 2026-03-01 --type call --price 50

Explain what each Greek means for the position.

Dependencies

• scipy