Greeks
Bases: Object
Defines the greeks
delta: float
Gets the delta.
Delta measures the rate of change of the option value with respect to changes in the underlying asset'sprice. (∂V/∂S)
gamma: float
Gets the gamma.
Gamma measures the rate of change of Delta with respect to changes in the underlying asset'sprice. (∂²V/∂S²)
vega: float
Gets the vega.
Vega measures the rate of change of the option value with respect to changes in the underlying's volatility. (∂V/∂σ)
theta: float
Gets the theta.
Theta measures the rate of change of the option value with respect to changes in time. This is commonly known as the 'time decay.' (∂V/∂τ)
rho: float
Gets the rho.
Rho measures the rate of change of the option value with respect to changes in the risk free interest rate. (∂V/∂r)
Lambda: float
Gets the lambda.
Lambda is the percentage change in option value per percentage change in the underlying's price, a measure of leverage. Sometimes referred to as gearing. (∂V/∂S ✕ S/V)
lambda_: float
Gets the lambda.
Lambda is the percentage change in option value per percentage change in the underlying's price, a measure of leverage. Sometimes referred to as gearing. (∂V/∂S ✕ S/V)
theta_per_day: float
Gets the theta per day.
Theta measures the rate of change of the option value with respect to changes in time. This is commonly known as the 'time decay.' (∂V/∂τ)