AugmentClaude
ML

Option Greeks Calculator

By staskh· staskh/trading_skills· 0

Calculate delta, gamma, theta, vega, and implied volatility for options.

Installation

  1. Make sure Claude is on your device and in your terminal.

    Skills load from ~/.claude/skills/ when Claude Code starts up — so you need it on your machine first. If you don't have it yet, install it once with the command below, then run claude in any terminal to verify.

    One-time setup
    npm i -g @anthropic-ai/claude-code

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  2. Paste into Claude Code or into your terminal.
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    This copies the whole skill folder into ~/.claude/skills/greeks-staskh/ — the SKILL.md plus any scripts, reference docs, or templates the skill ships with. Safe default: works for every skill.

    Faster alternative (instruction-only skills)

    Skips the clone and grabs only the SKILL.md file. Don't use this if the skill ships Python scripts, reference markdowns, or asset templates — they won't be downloaded and the skill will fail when it tries to load them.

    Quick install (SKILL.md only)
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  3. Restart Claude Code.

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  4. Just ask Claude.

    Skills auto-activate when your request matches the skill's description — no slash command needed. Trigger phrases live in the skill's own frontmatter; you can read them in the “What this skill does” section above.

Prefer to read the source first? Open on GitHub.

When Claude uses it

Calculate option Greeks (delta, gamma, theta, vega) and implied volatility for specific options. Use when user asks about Greeks, delta, gamma, theta, vega, IV, or option sensitivity analysis.

What this skill does

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]

Arguments

  • --spot - Underlying spot price (required)
  • --strike - Option strike price (required)
  • --type - Option type: call or put (required)
  • --expiry - Expiration date YYYY-MM-DD (use this OR --dte)
  • --dte - Days to expiration (alternative to --expiry)
  • --date - Calculate as of this date instead of today (YYYY-MM-DD)
  • --price - Option market price (for IV calculation)
  • --vol - Override volatility as decimal (e.g., 0.30 for 30%)
  • --rate - Risk-free rate (default: 0.05)

Output

Returns JSON with:

  • spot - Underlying spot price
  • strike - Strike price
  • days_to_expiry - Days until expiration
  • iv - Implied volatility (calculated from market price)
  • greeks - delta, gamma, theta, vega, rho

Examples

# With expiry date and market price (calculates IV)
uv run python scripts/greeks.py --spot 630 --strike 600 --expiry 2026-05-15 --type call --price 72.64

# With DTE directly
uv run python scripts/greeks.py --spot 630 --strike 600 --dte 30 --type call --price 40

# As of a future date
uv run python scripts/greeks.py --spot 630 --strike 600 --expiry 2026-05-15 --date 2026-03-01 --type call --price 50

Explain what each Greek means for the position.

Dependencies

  • scipy

Timezone

All timestamps and time-based calculations must use the America/New_York timezone. All JSON output must include generated_at (NY time string) and data_delay fields.

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