Greeks

This calculates option Greeks using the Black-Scholes model and can back out implied volatility from market prices via Newton-Raphson. You give it spot, strike, expiration (either as a date or days to expiry), and optionally a market price to derive IV. It returns delta, gamma, theta, vega, and rho in JSON format. The implementation is straightforward Python with scipy doing the heavy lifting. It's handy when you need quick sensitivity numbers for a specific option position without spinning up a full options platform. Supports both calls and puts, lets you specify historical dates for backtesting, and handles custom volatility or rate assumptions if you want to override the calculations.

skills.sh installs: 128
GitHub stars: 406
last updated: Jun 11, 2026

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Install

$ npx -y skills add staskh/trading_skills --skill greeks --agent claude-code

Installs into .claude/skills of the current project.

Files

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]