AlphaGBM AlphaGBM Greeks
Prerequisites
- API Key: Set env
ALPHAGBM_API_KEY(formatagbm_xxxx...). - Base URL: Default
https://alphagbm.zeabur.app. Override with envALPHAGBM_BASE_URL.
What This Skill Does
Provides a comprehensive Greeks dashboard for any single option contract or multi-leg position. Calculates first-order and second-order sensitivities, and generates scenario heatmaps showing how Greeks change as price and IV move.
Greeks Covered
| Greek | Order | What It Measures |
|---|---|---|
| Delta | 1st | Price sensitivity -- how much does the option move per $1 in the underlying? |
| Gamma | 1st | Delta sensitivity -- how fast does delta change? (acceleration) |
| Theta | 1st | Time decay -- how much value does the option lose per day? |
| Vega | 1st | IV sensitivity -- how much does the option move per 1% change in IV? |
| Rho | 1st | Interest rate sensitivity -- how much does the option move per 1% rate change? |
| Charm | 2nd | Delta decay -- how does delta change as time passes? (delta-theta cross) |
| Vanna | 2nd | Delta-vol cross -- how does delta change as IV moves? |
| Volga | 2nd | Vega convexity -- how does vega change as IV moves? |
Position-Level Analysis
For multi-leg positions, the skill aggregates Greeks across all legs and shows:
- Net Greeks: Total delta, gamma, theta, vega for the combined position
- Greeks per unit of capital: Normalized by margin requirement or net debit
- Risk concentration: Which leg contributes most to each Greek
API Endpoints
Greeks Calculator
Calculate Greeks for a single option from basic parameters:
POST /api/options/tools/greeks
Content-Type: application/json
{
"spot": 150,
"strike": 155,
"expiry_days": 30,
"iv": 0.25,
"option_type": "call"
}
Parameters:
- spot (required): Current underlying price
- strike (required): Option strike price
- expiry_days (required): Days to expiration
- iv (required): Implied volatility as decimal (e.g., 0.25 for 25%)
- option_type (required):
"call"or"put"
Implied Volatility Calculator
Reverse-solve for IV given market price:
POST /api/options/tools/implied-volatility
Content-Type: application/json
{
"market_price": 4.50,
"spot": 150,
"strike": 155,
"expiry_days": 30,
"option_type": "call"
}
Parameters:
- market_price (required): Current market price of the option
- spot (required): Current underlying price
- strike (required): Option strike price
- expiry_days (required): Days to expiration
- option_type (required):
"call"or"put"
How to Use
Input
- Required: Ticker + strike + expiry + type (for single contract), OR a position definition (list of legs)
- Optional: Underlying price override, IV override, date override (for forward-looking)
Output Structure
{
"ticker": "AAPL",
"price": 218.45,
"position": [
{
"leg": "AAPL 2026-04-18 220C",
"quantity": 1,
"greeks": {
"delta": 0.52,
"gamma": 0.035,
"theta": -0.18,
"vega": 0.32,
"rho": 0.08,
"charm": -0.003,
"vanna": 0.012,
"volga": 0.005
}
}
],
"net_greeks": {
"delta": 0.52,
"gamma": 0.035,
"theta": -0.18,
"vega": 0.32,
"rho": 0.08
},
"heatmap": {
"price_axis": [200, 205, 210, 215, 220, 225, 230, 235],
"iv_axis": [20, 25, 30, 35, 40],
"delta_grid": [
[0.12, 0.15, 0.20, 0.28, 0.38, 0.50, 0.62, 0.73],
[0.14, 0.18, 0.24, 0.32, 0.42, 0.52, 0.63, 0.74],
[0.16, 0.20, 0.27, 0.35, 0.45, 0.55, 0.65, 0.75],
[0.18, 0.23, 0.30, 0.38, 0.48, 0.57, 0.67, 0.76],
[0.20, 0.25, 0.32, 0.40, 0.50, 0.59, 0.68, 0.77]
],
"pnl_grid": "..."
},
"insights": [
"Position is net long delta (0.52) -- profits if stock rises",
"Theta of -0.18 means $18/day time decay per contract",
"Gamma of 0.035 means delta shifts ~3.5 for a $1 move"
]
}
Example Queries
| User Says | What Happens |
|---|---|
| "Greeks for AAPL 220 call" | Full Greeks for single contract + scenario heatmap |
| "Position Greeks" | Aggregated Greeks for a previously defined multi-leg position |
| "Theta decay analysis NVDA" | Theta over time chart showing acceleration near expiry |
| "Gamma exposure NVDA" | Gamma across strikes, highlighting gamma risk zones |
| "Delta of my iron condor" | Net delta for all 4 legs with per-leg breakdown |
| "How does vega change if IV spikes?" | Volga analysis -- second-order vega sensitivity |
Mock Data
Demo tickers available without API key: AAPL, NVDA, SPY, TSLA, META. Greeks calculated from realistic option chain snapshots in mock-data/.
Related Skills
- alphagbm-options-score -- Greeks balance is a scoring factor for contract quality
- alphagbm-pnl-simulator -- Visualize how Greeks translate into actual P&L outcomes
- alphagbm-options-strategy -- See net Greeks for recommended strategies
- alphagbm-vol-surface -- Understand the IV inputs driving vega and vanna
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