greeks
Calculate option Greeks (delta, gamma, theta, vega) and implied volatility for specific options. Use when user asks about Greeks, delta, gamma, theta, vega, IV, or option sensitivity analysis.
pinned to #cc30858updated 2 weeks ago
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288
Last commit
2 weeks ago
Latest release
published
- #ai-trading
- #claude
- #claude-skills
- #mcp-server
- #option-trading
- #options-trading
About this skill
Pulled from SKILL.md at publish time.
Calculate Greeks for options using Black-Scholes model. Computes IV from market price via Newton-Raphson.
Evaluation report
WarningsAutomated checks the publisher passed at publish time — structure, docs, safety, and whether the artifact behaves as claimed.cc30858· 2 weeks ago
Kind-specific
31Skill: SKILL.md present
found at .claude/skills/greeks/SKILL.md · frontmatter source: SKILL.md
Skill: body content present
291 words · 1,892 chars · 6 sections · 2 code blocks
Skill: triggers declaredwarn
No `trigger` phrases in SKILL.md frontmatter
Add `trigger:` lines so Claude knows when to activate this skill — e.g. `when building MCP servers` or `for diagram creation`.
Skill: allowed-tools scope
no allowed-tools restriction (Claude may use anything)
Release history
1- releasecurrentcc30858warn2 weeks ago
Contents
Calculate Greeks for options using Black-Scholes model. Computes IV from market price via Newton-Raphson.
Instructions
Note: If
uvis not installed orpyproject.tomlis not found, replaceuv run pythonwithpythonin 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 pricestrike- Strike pricedays_to_expiry- Days until expirationiv- 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
Timezone
All timestamps and time-based calculations must use the America/New_York timezone. All JSON output must include generated_at (NY time string) and data_delay fields.
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mh install skills/greeks