Calculating Option Greeks using Black-Scholes with Python

[@ricomajestic]

Would love to see a video on you calculating the higher order greeks like Vomma, Vanna, Charm, etc.

[@trashboongcarnt]

This is actually good. I need a way to automate Greeks calculations for volatility modeling and this video provides just that. Liked and subscribed.

[@matthowell6230]

Have been following you for a while and your content has been great. I think if you made a video showing how the greek's sensitivity changes as time approaches the options maturity date would make for an interesting video. It would provide more intuitive reasoning as to how/how much the greeks change over time.

[@QuantPy]

Great suggestion 👍 will make this a priority

[@cooltraderf]

just what I was looking for, excellent, thank you

[@wajihchtiba34]

funny that i could break into the industry only thank to videos like these on the internet. Great content !

[@gian_piano]

Amazing as always!

[@josephwehby9313]

great video! I implemented it in c++ instead of python but enjoyed!

[@nishu761]

Criminally undersubscribed, mate.

[@George-hc8ox]

Great video. Thank you.

[@gusinthecloud]

What a great video!!

[@tirthb]

Thanks a lot for this helpful video. Can you guide me on how to calculate sigma? Do I need the daily closing prices for the past year?

[@MlleNnCo]

Yes thanks! Once again doing God’s work 😉.

[@kaiwang2924]

Beautiful

[@scientificapproach6578]

Is is possible to calculate the option Greeks, with just the following inputs: stock price, strike, option price, days till exp, risk free rate, dividend payment? If it is possible can you please make a video showing how to do this in Excel. Thank you in advance!

[@JimCunninghamjam]

dude awesome video, how are you deriving sigma?

[@Rothbardo]

Will you ever post your Jupyter notebooks? Perhpas in a GitHub repo?

[@talisb7883]

Thank you!

[@indumathi9567]

what is that number T = 240/365, cannot understand how to get this? Thanks

[@QuantPy]

No problem, time is in years. This is 240days out of 365 days in a year

[@scottlery5421]

How about code for Charm?

[@kirbi8864]

Has anyone tried to test this formula at real market prices with real coefs ? I did, I can't explain, but the difference is really frustrating ..