The optionpy package makes # of option contracts and calculating the Greeks fast.
- Calculate the quantities, like:
- Fair Value : Fair value calculated with the BSM model and the volatility of the underlying (
sigma) - ITM : A bool that indicates if the option in In The Money.
- IV : Implied volatility
- Delta, Vega, Theta, Rho, Epsilon, Gamma : The greeks.
- Nd1, Nd2 : The probability of the event that the underlying price is over the strike price (
$S_t≥K$ ) in the risk-neutral world.
- Fair Value : Fair value calculated with the BSM model and the volatility of the underlying (
- All function are vectorized.
- An advanced search and selection routine.