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