Options Analytics Tool
Black-Scholes options pricing, Greeks, implied volatility, Monte Carlo simulation, and strategy P&L analysis
Tool ID
options-analytics
Credential Required
No
Input Properties
| Property | Type | Required | Default | Description |
|---|---|---|---|---|
mode |
string | Yes | price | Analysis mode: price (Black-Scholes + Greeks), iv (implied volatility), montecarlo (Monte Carlo simulation), strategy (multi-leg strategy P&L) |
spotPrice |
string | Yes | — | Current underlying price (e.g. 150.00) |
strikePrice |
string | Yes | — | Strike price (e.g. 155.00). For strategy mode, comma-separated strikes for each leg |
timeToExpiry |
string | Yes | — | Time to expiration in years (e.g. 0.25 for 3 months, or 30d for 30 days) |
volatility |
string | No | 0.25 | Annualized volatility as decimal (e.g. 0.25 for 25%). Required for all modes except iv |
riskFreeRate |
string | No | 0.05 | Risk-free interest rate as decimal (e.g. 0.05 for 5%) |
dividendYield |
string | No | 0.0 | Continuous dividend yield as decimal (e.g. 0.02 for 2%) |
optionType |
string | No | call | Option type: call or put. For strategy mode, comma-separated per leg (e.g. call,put,call,put) |
marketPrice |
string | No | — | Observed market price of the option (required for iv mode) |
simulations |
string | No | 100000 | Number of Monte Carlo simulations (montecarlo mode) |
strategy |
string | No | — | Strategy legs as action,type,strike,premium per leg separated by semicolons (e.g. buy,call,150,5.20;sell,call,160,2.10) |
priceRange |
string | No | — | Price range for P&L analysis as min,max,step (e.g. 130,170,1). Defaults to +/-20% of spot |
outputFile |
string | No | — | File path to write results to (optional) |
Execution Steps
- analyze (
python) — python - save-output (
condition) — if {{input.outputFile}}
Published Outputs
summary— {{analyze.summary}}results— {{analyze.results}}mode— {{analyze.mode}}
Vendor
Blue Isle Software