| Name | volg JSON |
| Version |
0.1.6
JSON |
| download |
| home_page | None |
| Summary | A Python package for calculating option Greeks and implied volatility. |
| upload_time | 2025-07-20 08:41:18 |
| maintainer | None |
| docs_url | None |
| author | Vinod Bhadala |
| requires_python | >=3.8 |
| license | MIT |
| keywords |
|
| VCS |
 |
| bugtrack_url |
|
| requirements |
No requirements were recorded.
|
| Travis-CI |
No Travis.
|
| coveralls test coverage |
No coveralls.
|
# volg
A Python package for calculating option Greeks and implied volatility.
## Installation
```bash
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
```python
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:
```python
from volg import greek
# Calculate implied volatility
iv = greek.iv(spot_price, strike_price, interest_rate, days_to_expiry, option_price, flag='C')
# Calculate implied volatility using vectorized method on df columns
df['iv'] = greek.iv_vectorized(df['sfut_price'], df['strike_price'], 0, df['dte'], df['close_ce'], flag='C')
# Calculate Greeks
greeks = greek.greeks(spot_price, strike_price, interest_rate, days_to_expiry, option_price, flag='C')
#Option to calculate greeks in vectorized on dataframe
column_mapping = {
"sfut_price": "future_price",
"strike_price": "strike_price",
"dte": "dte",
"count": "count",
"ce_ltp": "close_ce",
"pe_ltp": "close_pe"
}
greek_df = greek.compute_greeks_vectorized(df, columns=column_mapping)
```
## License
MIT License
Raw data
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