options-pricing

Name: options-pricing
Author: agiprolabs

223installs53forks

How to install options-pricing?

agiprolabs/claude-trading-skills/options-pricing

$npx -y skills add agiprolabs/claude-trading-skills --skill options-pricing

Installs into the current project.

Summary

[STUB] Options pricing models including Black-Scholes, binomial trees, Monte Carlo, implied volatility surfaces, and Greeks for crypto options

Files · 1

View on GitHub

SKILL.md

1	# Options Pricing
2
3	> Status: STUB — This skill provides a basic Black-Scholes implementation and an overview of planned capabilities. Full implementation is awaiting community contribution.
4
5	Options pricing is the quantitative foundation of derivatives trading. For crypto markets, options on BTC and ETH trade actively on Deribit, Lyra, and Aevo, while Solana options are emerging on platforms like Zeta Markets and PsyOptions. Understanding pricing models, implied volatility surfaces, and Greeks is essential for hedging, volatility trading, and constructing structured products.
6
7	This skill is informational and analytical only. It does not provide financial advice or trading recommendations.
8
9	---
10
11	## Current Capabilities
12
13	This stub includes a working Black-Scholes calculator with Greeks computation and a basic implied volatility solver. See `scripts/black_scholes.py` for the implementation.
14
15	```python
16	import math
17	from scipy.stats import norm
18
19	def black_scholes_call(S: float, K: float, T: float, r: float, sigma: float) -> float:
20	"""Price a European call option using Black-Scholes.
21
22	Args:
23	S: Current underlying price.
24	K: Strike price.
25	T: Time to expiration in years.
26	r: Risk-free rate (annualized).
27	sigma: Volatility (annualized).
28
29	Returns:
30	Theoretical call option price.
31	"""
32	d1 = (math.log(S / K) + (r + 0.5 * sigma*2) T) / (sigma * math.sqrt(T))
33	d2 = d1 - sigma * math.sqrt(T)
34	return S * norm.cdf(d1) - K * math.exp(-r * T) * norm.cdf(d2)
35	```
36
37	Run the demo:
38
39	```bash
40	python scripts/black_scholes.py --demo
41	```
42
43	---
44
45	## Planned Capabilities
46
47	When fully implemented, this skill will cover:
48
49	### Pricing Models
50
51	\| Model \| Option Style \| Use Case \|
52	\|-------\|-------------\|----------\|
53	\| Black-Scholes \| European \| Vanilla calls/puts, quick Greeks \|
54	\| Binomial Tree \| American \| Early exercise, dividend-paying assets \|
55	\| Monte Carlo \| Exotic \| Path-dependent, barrier, Asian options \|
56	\| Black-76 \| Futures \| Futures options on crypto perpetuals \|
57
58	### Greeks
59
60	\| Greek \| Measures \| Formula Basis \|
61	\|-------\|----------\|---------------\|
62	\| Delta \| Price sensitivity to underlying \| dC/dS \|
63	\| Gamma \| Delta sensitivity to underlying \| d²C/dS² \|
64	\| Theta \| Time decay per day \| dC/dT \|
65	\| Vega \| Sensitivity to volatility \| dC/dσ \|
66	\| Rho \| Sensitivity to interest rates \| dC/dr \|
67
68	### Implied Volatility
69
70	- Newton-Raphson and bisection IV solvers
71	- Volatility smile and skew analysis
72	- IV surface construction (strike x expiry)
73	- IV term structure analysis
74	- Vol-of-vol estimation
75
76	### Crypto Options Platforms
77
78	\| Platform \| Chain \| Assets \| Style \|
79	\|----------\|-------\|--------\|-------\|
80	\| Deribit \| Off-chain \| BTC, ETH \| European \|
81	\| Lyra \| Optimism/Arbitrum \| ETH, BTC \| European \|
82	\| Aevo \| Ethereum L2 \| BTC, ETH, alts \| European \|
83	\| Zeta Markets \| Solana \| SOL, BTC \| European \|
84	\| PsyOptions \| Solana \| SOL, various \| American \|
85
86	### Structured Products
87
88	- Covered calls and protective puts
89	- Straddles and strangles for volatility trading
90	- Vertical spreads for directional exposure
91	- Iron condors for range-bound markets
92	- Calendar spreads for term structure trades
93
94	---
95
96	## Prerequisites
97
98	```bash
99	# Core (for full implementation)
100	uv pip install numpy scipy
101
102	# Optional (for visualization)
103	uv pip install matplotlib
104	```
105
106	The included `scripts/black_scholes.py` uses only the Python standard library (`math` module) and runs without any dependencies.
107
108	---
109
110	## Use Cases
111
112	### Hedging
113	Compute delta-neutral hedge ratios for crypto spot positions using options. Calculate the number of put contracts needed to protect a portfolio against downside moves.
114
115	### Volatility Trading
116	Compare implied volatility to realized volatility to identify over/underpriced options. When IV significantly exceeds realized vol, selling premium may be favorable (and vice versa).
117
118	### Structured Products
119	Price structured products that combine options at different strikes and expirations. Analyze payoff profiles and breakeven points before execution.
120
121	### Risk Assessment
122	Use Greeks to understand portfolio-level exposure to price moves (delta), acceleration (gamma), time decay (theta), and volatility changes (vega).
123
124	---
125
126	## Quick Reference: Black-Scholes Formulas
127
128	Call price:
129	```
130	C = S * N(d1) - K * e^(-rT) * N(d2)
131	```
132
133	Put price:
134	```
135	P = K * e^(-rT) * N(-d2) - S * N(-d1)
136	```
137
138	Where:
139	```
140	d1 = [ln(S/K) + (r + σ²/2) * T] / (σ * √T)
141	d2 = d1 - σ * √T
142	```
143
144	Put-call parity:
145	```
146	C - P = S - K * e^(-rT)
147	```
148
149	---
150
151	## Files
152
153	\| File \| Description \|
154	\|------\|-------------\|
155	\| `references/planned_features.md` \| Planned features, formulas, data sources, and implementation priorities \|
156	\| `scripts/black_scholes.py` \| Black-Scholes calculator with Greeks and implied vol solver \|
157
158	---
159
160	## Contributing
161
162	This skill is a stub awaiti

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options-pricing

223installs53forks

View on GitHub

How to install options-pricing?

agiprolabs/claude-trading-skills/options-pricing

$npx -y skills add agiprolabs/claude-trading-skills --skill options-pricing

Installs into the current project.

Summary

[STUB] Options pricing models including Black-Scholes, binomial trees, Monte Carlo, implied volatility surfaces, and Greeks for crypto options

Files · 1

View on GitHub

SKILL.md

1	# Options Pricing
2
3	> Status: STUB — This skill provides a basic Black-Scholes implementation and an overview of planned capabilities. Full implementation is awaiting community contribution.
4
5	Options pricing is the quantitative foundation of derivatives trading. For crypto markets, options on BTC and ETH trade actively on Deribit, Lyra, and Aevo, while Solana options are emerging on platforms like Zeta Markets and PsyOptions. Understanding pricing models, implied volatility surfaces, and Greeks is essential for hedging, volatility trading, and constructing structured products.
6
7	This skill is informational and analytical only. It does not provide financial advice or trading recommendations.
8
9	---
10
11	## Current Capabilities
12
13	This stub includes a working Black-Scholes calculator with Greeks computation and a basic implied volatility solver. See `scripts/black_scholes.py` for the implementation.
14
15	```python
16	import math
17	from scipy.stats import norm
18
19	def black_scholes_call(S: float, K: float, T: float, r: float, sigma: float) -> float:
20	"""Price a European call option using Black-Scholes.
21
22	Args:
23	S: Current underlying price.
24	K: Strike price.
25	T: Time to expiration in years.
26	r: Risk-free rate (annualized).
27	sigma: Volatility (annualized).
28
29	Returns:
30	Theoretical call option price.
31	"""
32	d1 = (math.log(S / K) + (r + 0.5 * sigma*2) T) / (sigma * math.sqrt(T))
33	d2 = d1 - sigma * math.sqrt(T)
34	return S * norm.cdf(d1) - K * math.exp(-r * T) * norm.cdf(d2)
35	```
36
37	Run the demo:
38
39	```bash
40	python scripts/black_scholes.py --demo
41	```
42
43	---
44
45	## Planned Capabilities
46
47	When fully implemented, this skill will cover:
48
49	### Pricing Models
50
51	\| Model \| Option Style \| Use Case \|
52	\|-------\|-------------\|----------\|
53	\| Black-Scholes \| European \| Vanilla calls/puts, quick Greeks \|
54	\| Binomial Tree \| American \| Early exercise, dividend-paying assets \|
55	\| Monte Carlo \| Exotic \| Path-dependent, barrier, Asian options \|
56	\| Black-76 \| Futures \| Futures options on crypto perpetuals \|
57
58	### Greeks
59
60	\| Greek \| Measures \| Formula Basis \|
61	\|-------\|----------\|---------------\|
62	\| Delta \| Price sensitivity to underlying \| dC/dS \|
63	\| Gamma \| Delta sensitivity to underlying \| d²C/dS² \|
64	\| Theta \| Time decay per day \| dC/dT \|
65	\| Vega \| Sensitivity to volatility \| dC/dσ \|
66	\| Rho \| Sensitivity to interest rates \| dC/dr \|
67
68	### Implied Volatility
69
70	- Newton-Raphson and bisection IV solvers
71	- Volatility smile and skew analysis
72	- IV surface construction (strike x expiry)
73	- IV term structure analysis
74	- Vol-of-vol estimation
75
76	### Crypto Options Platforms
77
78	\| Platform \| Chain \| Assets \| Style \|
79	\|----------\|-------\|--------\|-------\|
80	\| Deribit \| Off-chain \| BTC, ETH \| European \|
81	\| Lyra \| Optimism/Arbitrum \| ETH, BTC \| European \|
82	\| Aevo \| Ethereum L2 \| BTC, ETH, alts \| European \|
83	\| Zeta Markets \| Solana \| SOL, BTC \| European \|
84	\| PsyOptions \| Solana \| SOL, various \| American \|
85
86	### Structured Products
87
88	- Covered calls and protective puts
89	- Straddles and strangles for volatility trading
90	- Vertical spreads for directional exposure
91	- Iron condors for range-bound markets
92	- Calendar spreads for term structure trades
93
94	---
95
96	## Prerequisites
97
98	```bash
99	# Core (for full implementation)
100	uv pip install numpy scipy
101
102	# Optional (for visualization)
103	uv pip install matplotlib
104	```
105
106	The included `scripts/black_scholes.py` uses only the Python standard library (`math` module) and runs without any dependencies.
107
108	---
109
110	## Use Cases
111
112	### Hedging
113	Compute delta-neutral hedge ratios for crypto spot positions using options. Calculate the number of put contracts needed to protect a portfolio against downside moves.
114
115	### Volatility Trading
116	Compare implied volatility to realized volatility to identify over/underpriced options. When IV significantly exceeds realized vol, selling premium may be favorable (and vice versa).
117
118	### Structured Products
119	Price structured products that combine options at different strikes and expirations. Analyze payoff profiles and breakeven points before execution.
120
121	### Risk Assessment
122	Use Greeks to understand portfolio-level exposure to price moves (delta), acceleration (gamma), time decay (theta), and volatility changes (vega).
123
124	---
125
126	## Quick Reference: Black-Scholes Formulas
127
128	Call price:
129	```
130	C = S * N(d1) - K * e^(-rT) * N(d2)
131	```
132
133	Put price:
134	```
135	P = K * e^(-rT) * N(-d2) - S * N(-d1)
136	```
137
138	Where:
139	```
140	d1 = [ln(S/K) + (r + σ²/2) * T] / (σ * √T)
141	d2 = d1 - σ * √T
142	```
143
144	Put-call parity:
145	```
146	C - P = S - K * e^(-rT)
147	```
148
149	---
150
151	## Files
152
153	\| File \| Description \|
154	\|------\|-------------\|
155	\| `references/planned_features.md` \| Planned features, formulas, data sources, and implementation priorities \|
156	\| `scripts/black_scholes.py` \| Black-Scholes calculator with Greeks and implied vol solver \|
157
158	---
159
160	## Contributing
161
162	This skill is a stub awaiti

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