volg 0.1.4

A Python package for calculating option Greeks and implied volatility.

volg

A Python package for calculating option Greeks and implied volatility.

Installation

pip install volg

Features

• Calculate implied volatility (IV) using binary search method
• Compute option Greeks (Delta, Gamma, Vega, Theta, etc.)
• Calculate exposures (Delta exposure, Gamma exposure, etc.)
• Support for both call and put options

Usage

import volg

# Calculate implied volatility
iv = volg.greek.iv(spot_price, strike_price, interest_rate, days_to_expiry, option_price, flag='C')

# Calculate Greeks
greeks = volg.greek.greeks(spot_price, strike_price, interest_rate, days_to_expiry, option_price, flag='C')

# Process a dataframe with option data
df = volg.greek.compute_greeks_vectorized(df)
df = volg.greek.compute_exposure(df)

Alternative import style:

from volg import greek

# Calculate implied volatility
iv = greek.iv(spot_price, strike_price, interest_rate, days_to_expiry, option_price, flag='C')

# Calculate Greeks
greeks = greek.greeks(spot_price, strike_price, interest_rate, days_to_expiry, option_price, flag='C')

License

MIT License