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

Options Pricing Status: STUB — This skill provides a basic Black Scholes implementation and an overview of planned capabilities. Full implementation is awaiting community contribution. 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. This skill is informational and analytical only. It does not provide financial advice or trading recommendations. Current Capabilities 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. Run the demo: Planned Capabilities When fully implemented, this skill will cover: Pricing Models Model Option Style Use Case Black Scholes European Vanilla calls/puts, quick Greeks Binomial Tree American Early exercise, dividend paying assets Monte Carlo Exotic Path dependent, barrier, Asian options Black 76 Futures Futures options on crypto perpetuals Greeks Greek Measures Formula Basis Delta Price sensitivity to underlying dC/dS Gamma Delta sensitivity to underlying d²C/dS² Theta Time decay per day dC/dT Vega Sensitivity to volatility dC/dσ Rho Sensitivity to interest rates dC/dr Implied Volatility Newton Raphson and bisection IV solvers Volatility smile and skew analysis IV surface construction (strike x expiry) IV term structure analysis Vol of vol estimation Crypto Options Platforms Platform Chain Assets Style Deribit Off chain BTC, ETH European Lyra Optimism/Arbitrum ETH, BTC European Aevo Ethereum L2 BTC, ETH, alts European Zeta Markets Solana SOL, BTC European PsyOptions Solana SOL, various American Structured Products Covered calls and protective puts Straddles and strangles for volatility trading Vertical spreads for directional exposure Iron condors for range bound markets Calendar spreads for term structure trades Prerequisites The included scripts/black scholes.py uses only the Python standard library ( math module) and runs without any dependencies. Use Cases Hedging 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. Volatility Trading 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). Structured Products Price structured products that combine options at different strikes and expirations. Analyze payoff profiles and breakeven points before execution. Risk Assessment Use Greeks to understand portfolio level exposure to price moves (delta), acceleration (gamma), time decay (theta), and volatility changes (vega). Quick Reference: Black Scholes Formulas Call price: Put price: Where: Put call parity: Files File Description references/planned features.md Planned features, formulas, data sources, and implementation priorities scripts/black scholes.py Black Scholes calculator with Greeks and implied vol solver Contributing This skill is a stub awaiting full implementation. To contribute: 1. Implement binomial tree pricing for American style options 2. Add Monte Carlo simulation for exotic payoffs 3. Build IV surface construction from market quotes 4. Integrate Deribit API for live options chain data 5. Add portfolio Greeks aggregation See references/planned features.md for the full feature list and implementation priorities. This skill provides analytical tools and mathematical models for informational purposes only. It does not constitute financial advice. Options trading involves substantial risk of loss.

options-pricing