greeks

What problem does it solve?

This Skill calculates the five key option Greeks (Delta, Gamma, Vega, Theta, Rho) using the Black-Scholes model, providing crucial insights into an option's sensitivity to market changes.

Core Features & Use Cases

• Black-Scholes Greeks Calculation: Computes all five Greeks for European call or put options.
• Market Sensitivity Analysis: Helps traders and risk managers understand how option prices will react to changes in underlying price, volatility, time, and interest rates.
• Use Case: A trader wants to understand how much their option position will lose value per day due to time decay (Theta) and how much it will gain if the underlying stock price increases by $1 (Delta).

Quick Start

Calculate the Greeks for a European call option with a current asset price of €100, strike price of €105, 30 days to expiry, a risk-free rate of 3%, and implied volatility of 20%.