greeks-package 0.2.1

Compute first-, second-, and third-order option Greeks.

greeks-package

Black-Scholes option Greeks made easy

Compute first-, second-, and third-order Greeks for European options in a single line of code. A tiny helper fetches an option chain from Yahoo! Finance, and pure-Python utilities give you Δ, Γ, Vega, Vanna, Color, and more – no external Greeks library required.

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Installation

# From PyPI (when published)
pip install greeks-package

# From local source (editable mode)
cd GreeksFolderJune
pip install -e .

Requires Python ≥ 3.9 and pulls in NumPy, Pandas, SciPy, yfinance, and Plotly automatically.

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Quick-start

import greeks_package as gp

# 1️⃣  Pull a filtered option chain (calls within ±5 % moneyness, ≤30 d expiry)
chain = gp.download_options("AAPL", opt_type="c", max_days=30,
                            lower_moneyness=0.95, upper_moneyness=1.05)

# 2️⃣  Compute all Greeks for each row in one shot
all_greeks = chain.apply(gp.greeks, axis=1, ticker="AAPL")

# 3️⃣  Combine & inspect
full = chain.join(all_greeks)
print(full.head())

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Public API – top-level helpers

Helper	Description
download_options	Fetch & filter option chain from Yahoo! Finance
first_order	Δ, Vega, Θ, Rho
second_order	Γ, Vanna, Volga, Veta, Charm
third_order	Color, Speed, Ultima, Zomma
greeks	Convenience = first + second + third
help	Interactive cheat-sheet (gp.help())

All six names above are re-exported in the package root:

from greeks_package import download_options, first_order, second_order,
                          third_order, greeks, help

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Low-level building blocks

Need finer control? Import directly from greeks_package.core:

from greeks_package.core import (
    compute_d1, compute_d2, compute_d1_d2,   # Black-Scholes internals
    vanna, volga, charm, veta,               # second-order Greeks
    color, speed, ultima, zomma,             # third-order Greeks
)

Each function follows the same signature (row, ticker, r=0.05, option_type='c', epsilon=1e-9) and returns a float.

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Interactive help

import greeks_package as gp

gp.help()                       # prints cheat-sheet & quick-start

gp.help(gp.second_order)        # deep-dive on a specific helper

For an in-depth tutorial covering edge cases, recipes, and API stability, see USAGE.md.

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© 2025 JR Concepcion. Licensed under the MIT License.

import greeks_package as gp

# pull a filtered option chain
chain = gp.download_options("AAPL", opt_type="c")

# compute all greeks for each row
full = chain.join(chain.apply(gp.greeks, axis=1, ticker="AAPL"))
print(full.head())

Built with NumPy, Pandas, SciPy, yfinance, and Plotly.