Alphagbm Greeks

AlphaGBM Greeks

Prerequisites

• API Key: Set env ALPHAGBM_API_KEY (format agbm_xxxx...).
• Base URL: Default https://alphagbm.zeabur.app. Override with env ALPHAGBM_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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Source & license

This open-source skill is cataloged on AgentStack and links to its original source — we do not rehost the code.

• Author: AlphaGBM
• Source: AlphaGBM/skills
• License: MIT
• Homepage: https://www.alphagbm.com/skills

Install and usage instructions live in the source repository linked above.