glennneiger / greeks

Calculate greeks for options trading (Implied Volatility, Delta, Gamma, Vega, Rho, and Theta)

greeks

Calculate greeks for options trading (Implied Volatility, Delta, Gamma, Vega, Rho, and Theta)

Examples

What are the Greeks for Calls & Puts for AMD ($4.07 @ 35days)?

AMD stock = $4.07 Option Strike = $4.50 Option Expires = 35 days

Fed Rate = 0.01% Dividend Rate = 0%

Call Bid = $0.16 Put Bid = $0.59

# Calculate the Greeks for the Stock & Option Contract
calc = Math::Greeks::Calculator.new(
	:stock_price                   => 4.07,
	:stock_dividend_rate           => 0.00,
	:federal_reserve_interest_rate => 0.01,
	:option_expires_in_days        => 35.0,
	:option_strike                 => 4.50,
	:option_type                   => :call,
	:option_price                  => 0.16,
)

# What are the display values?
hash = calc.to_hash # Convert the values for display/consumption
hash[:iv]         # => 61.93 (Implied Volatility %)
hash[:delta]      # => -4.57 (Delta %/%)
hash[:gamma]      # => -2.84 (Gamma pp/pp)
hash[:vega]       # =>  0.49 (Vega %/pp)
hash[:rho]        # => -0.55 (Rho %/pp)
hash[:theta]      # => -0.68 (Theta %/day)
hash[:break_even] # => 45.66 (Chance of Breakeven)

# What are the raw values?
calc.break_even # What is the raw Break Even odds (0.000 to 1.000)
calc.iv         # What is the raw IV value (0.000 to 1.000)
calc.delta      # What is the raw Delta $/$?
calc.gamma      # What is the raw Gamma $/$?
calc.vega       # What is the raw Vega $/pp?
calc.rho        # What is the raw Rho $/pp?
calc.theta      # What is the raw Theta $/day?