gnagel / 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?

greeks's Issues

Not getting the greeks other than IV

Hi,

I am using Math::Greeks::Calculator.new(...) to calculate the greeks, as in your example, but I am not getting any greeks in the result object (delta, gamma, etc...), I am only getting IV.
Could you explain how to retrieve the rest of the greeks.

Thank you in advance,
Didier

Specs with Rantly

Specs seem to be working and the output is:

Finished in 0.2302 seconds
344 examples, 0 failures, 4 pending

I commented out the following in the spec helper.

require 'rantly/property'
require 'rantly/rspec_extensions'

Is Rantly being used?

I was able to run the specs under Ruby 2.1.0. Is that the latest that it runs under?

Publish V2 of the Greeks library with performance optimizations and specs

• Relates to PR #2

Readme has strange values

The values I get from the example in the Readme are different, with the exception of IV:

irb(main):003:0* calc = Math::Greeks::Calculator.new(
irb(main):004:1* :stock_price                   => 4.07,
irb(main):005:1* :stock_dividend_rate           => 0.00,
irb(main):006:1* :federal_reserve_interest_rate => 0.01,
irb(main):007:1* :option_expires_in_days        => 35.0,
irb(main):008:1* :option_strike                 => 4.50,
irb(main):009:1* :option_type                   => :call,
irb(main):010:1* :option_price                  => 0.16,
irb(main):011:1* )
=> #<Math::Greeks::Calculator:0x007fc7d28c33a8 @stock_price=4.07, @stock_dividend_rate=0.0, @option_type=:call, @option_price=0.16, @option_strike=4.5, @option_expires_in_days=35.0, @federal_reserve_interest_rate=0.01, @federal_reserve_interest_rate_f=0.0001, @stock_dividend_rate_f=0.0, @option_expires_pct_year=0.09863013698630137, @option_expires_pct_year_sqrt=0.3140543535541282, @option_volume=nil, @option_open_interest=nil, @price_vs_rate_vs_expires=4.07, @rate_vs_expires=1.0, @strike_vs_fed_vs_expires=4.499955616657234, @price_ratio_log_less_rates=-0.10042453430807177>
irb(main):014:0* hash = calc.to_hash # Convert the values for display/consumption
=> {:federal_reserve_interest_rate=>0.01, :stock_dividend_rate=>0.0, :stock_price=>4.07, :option_expires_in_days=>35.0, :option_type=>:call, :option_strike=>4.5, :option_price=>0.16, :option_volume=>nil, :option_open_interest=>nil, :premium_value=>0.0, :time_value=>0.16, :annualized_premium_value=>35.42, :annualized_time_value=>35.42, :iv=>61.92, :delta=>8.59, :gamma=>5.57, :vega=>1.81, :rho=>0.75, :theta=>-2.51, :delta_vs_theta=>-3.42, :break_even=>21.38}
irb(main):015:0> hash[:iv]         # => 61.93 (Implied Volatility %)
=> 61.92
irb(main):016:0> hash[:delta]      # => -4.57 (Delta %/%)
=> 8.59
irb(main):017:0> hash[:gamma]      # => -2.84 (Gamma pp/pp)
=> 5.57
irb(main):018:0> hash[:vega]       # =>  0.49 (Vega %/pp)
=> 1.81
irb(main):019:0> hash[:rho]        # => -0.55 (Rho %/pp)
=> 0.75
irb(main):020:0> hash[:theta]      # => -0.68 (Theta %/day)
=> -2.51
irb(main):021:0> hash[:break_even] # => 45.66 (Chance of Breakeven)
=> 21.38

Not sure if this is due to upgrading to Ruby 2.4.0. However, I get the same results on Ruby 2.2.0