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?