Agent Skills
› staskh/trading_skills
› greeks
greeks
GitHub基于Black-Scholes模型计算期权希腊字母（Delta、Gamma等）及隐含波动率。支持指定标的价格、行权价、到期日及市场报价，通过Newton-Raphson算法反推IV，并输出JSON格式结果及术语解释。
触发场景
用户询问期权希腊字母（如delta, gamma, theta, vega）
需要计算隐含波动率(IV)
进行期权敏感性分析
安装
npx skills add staskh/trading_skills --skill greeks -g -y
SKILL.md
Frontmatter
{
"name": "greeks",
"description": "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.",
"dependencies": [
"trading-skills"
]
}
Option Greeks
Calculate Greeks for options using Black-Scholes model. Computes IV from market price via Newton-Raphson.
Instructions
Note: If
uvis not installed orpyproject.tomlis not found, replaceuv run pythonwithpythonin 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 pricestrike- Strike pricedays_to_expiry- Days until expirationiv- 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.
版本历史
- cc30858 当前 2026-07-05 11:04
依赖关系
-
required
trading-skills
