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.

Install to Claude Code

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