Black-Scholes options pricing, Greeks, implied volatility, Monte Carlo simulation, and strategy P&L analysis

Provided free and as is, without warranty of any kind — including merchantability, fitness for a particular purpose, and the accuracy or completeness of any result. See the licence. You are responsible for checking what this produces before relying on it.

Options Analytics Tool

Name: Options Analytics
Author: Blue Isle

Black-Scholes options pricing, Greeks, implied volatility, Monte Carlo simulation, and strategy P&L analysis

Tool ID

options-analytics

Credential Required

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

Publishes

The keys a later task may reference as {{taskName.key}}. Referencing anything not listed here resolves to nothing at run time.

mode
results
summary

Input Properties

Every property this tool accepts, from its own tool.iml.

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)