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options-pricing

Calculate European option prices and Greeks with the Black-Scholes model.

266|54|Updated Mar 11, 2026
Search Tags:#pricing#options#volatility#greeks#crypto#black-scholes
One-click install
npx skills add https://github.com/agiprolabs/claude-trading-skills --skill options-pricing
Or copy as Structured Prompt for Agent▼
Please help me install this Agent Skill.
Skill: options-pricing
Source: https://github.com/agiprolabs/claude-trading-skills/tree/main/skills/options-pricing
Command: npx skills add https://github.com/agiprolabs/claude-trading-skills --skill options-pricing

SYSTEM DOCUMENTATION & REQUIREMENTS

💡 This Skill includes scripts (resource) and references (resource) components.

What problem does it solve?

This Skill provides tools to price European options on cryptocurrencies using the Black-Scholes model and analyze key risk metrics (Greeks), helping users understand and quantify option risks.

Core Features & Use Cases

  • Black-Scholes Pricing: Calculate theoretical call and put option prices.
  • Greeks Calculation: Compute Delta, Gamma, Theta, Vega, and Rho for risk management.
  • Implied Volatility Solver: Estimate implied volatility from market prices.
  • Use Case: A trader wants to understand the risk of a BTC call option. They can use this skill to get its theoretical price, its sensitivity to BTC price changes (Delta), and its sensitivity to volatility changes (Vega).

Quick Start

Calculate the price and Greeks for a European call option with a spot price of 65000, strike of 70000, 30 days to expiry, 5% risk-free rate, and 80% volatility.

Frequently Asked Questions about options-pricing

High-intent search queries and answers about installing and using this skill.

FAQPage Schema
How do I calculate crypto option prices using the Black-Scholes model?▼

Calculate crypto option prices using the Black-Scholes model by providing spot price, strike, days to expiry, risk-free rate, and volatility to compute theoretical European call and put values for cryptocurrency derivatives.

How do I compute Greeks for crypto options to manage risk?▼

Compute Greeks for crypto options to quantify risk sensitivities including Delta, Gamma, Theta, Vega, and Rho, measuring exposure to underlying price, time decay, volatility, and interest rate changes.

What is implied volatility and how do I solve for it from market prices?▼

Implied volatility is the expected price fluctuation embedded in an option's market price. The skill solves for implied volatility by reverse-engineering the Black-Scholes formula using observed market prices.

Does this Black-Scholes pricing tool support American options or only European options?▼

This Black-Scholes pricing tool supports only European options, which are exercisable at expiration. American options are not currently supported, though binomial tree extensions are planned for future implementation.

Can I use Python scripts to price BTC and crypto derivatives?▼

Yes, you can use Python scripts to price BTC and crypto derivatives. The skill provides Python scripts for European option pricing, Greek computation, and implied volatility solving for cryptocurrency derivatives.

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