扩展指标

2026-07-09 05:08:16 +08:00
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+# Options and Implied Volatility
+
+`ferro-ta` exposes options analytics from `ferro_ta.analysis.options`.
+
+## Scope
+
+The module now covers both classic IV-series helpers and model-based option
+analytics:
+
+- `iv_rank`, `iv_percentile`, `iv_zscore`
+- Black-Scholes-Merton pricing
+- Black-76 pricing
+- Delta, gamma, vega, theta, rho
+- Implied volatility inversion
+- Smile metrics and chain helpers
+
+Heavy computation runs in Rust through the `_ferro_ta` extension.
+
+## IV-series helpers
+
+The original rolling helpers remain available and keep their public names:
+
+```python
+import numpy as np
+from ferro_ta.analysis.options import iv_rank, iv_percentile, iv_zscore
+
+iv = np.array([18.5, 22.3, 19.1, 25.0, 30.2, 27.8, 21.4, 19.0])
+rank = iv_rank(iv, window=5)
+pct = iv_percentile(iv, window=5)
+z = iv_zscore(iv, window=5)
+```
+
+These helpers accept a 1-D IV series and return rolling statistics with
+`NaN` during the warmup period.
+
+## Pricing and Greeks
+
+```python
+from ferro_ta.analysis.options import greeks, implied_volatility, option_price
+
+price = option_price(100.0, 100.0, 0.05, 1.0, 0.20, option_type="call")
+iv = implied_volatility(price, 100.0, 100.0, 0.05, 1.0, option_type="call")
+g = greeks(100.0, 100.0, 0.05, 1.0, 0.20, option_type="call")
+```
+
+Conventions:
+
+- Volatility is decimal annualized volatility: `0.20` means 20%.
+- Rates are decimal annualized rates: `0.05` means 5%.
+- `time_to_expiry` is measured in years.
+- `model="bsm"` uses spot as the underlying input.
+- `model="black76"` uses forward as the underlying input.
+
+## Smile and chain helpers
+
+```python
+from ferro_ta.analysis.options import label_moneyness, select_strike, smile_metrics
+
+strikes = [80, 90, 100, 110, 120]
+vols = [0.30, 0.25, 0.20, 0.22, 0.27]
+
+metrics = smile_metrics(strikes, vols, 100.0, 0.5)
+labels = label_moneyness(strikes, 100.0, option_type="call")
+atm = select_strike(strikes, 100.0, selector="ATM")
+delta_strike = select_strike(
+    strikes,
+    100.0,
+    selector="DELTA0.25",
+    option_type="call",
+    volatilities=vols,
+    time_to_expiry=0.5,
+)
+```
+
+## Related futures analytics
+
+See `ferro_ta.analysis.futures` and
+[`docs/derivatives-analytics.md`](./derivatives-analytics.md) for synthetic
+forwards, basis, carry, curve, and roll analytics.