Requires Python version 3.5 or later

The Black-Scholes option pricing calculator is a command line tool used to calculate the price and corresponding Greek values of a financial derivative, provided a few inputs. If these inputs are not provided as arguments when first executing the program, you will be prompted for them.

• Required

  • A CSV file with the following two fields:
    • Date
    • Close
  • Target strike price
  • The expiration date of the derivative in YYYY-MM-DD format.

  Arbitrarily, at least 100 days' worth of historical data should be provided for the model to be assumed accurate.
  A CSV downloaded from Yahoo Finance under the 'Historical Data' tab can be used without further change

• Optional

  • Option Type - 'c' for Call and 'p' for Put
    • A 'c' or 'p' can be postfixed to the strike price input - EG: s 100c OR s 100p. However, the option type flag will take precedence if both are included
    • Defaults to Call if no option type is provided
  • Risk-Free Rate
    • See Limitations for information about defaulted Risk-Free Rates
  • Name or Ticker Symbol - Can be any way you want to identify the information you're calculating

• There are an average of 253 trading days per year
• Rounding is done only before display with a precision of 4
• Risk free rate is defaulted to the yield of a 3-month Treasury Bill as of 1/14/2022 (.13%)

• The model is only accurate for European option contracts, due to the nature of how time to expiration is calculated
• The model does not take into account dividend yield.
  • Dividend paying stocks can be modeled, however its pricing and corresponding Greeks should not be considered accurate

• Historical Data - Masimo Corporation (MASI)

  py main.py -f PATH\TO\CSV\MASI.csv -s 220c -x 2022-02-18

  ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
  |              Company              | Underlying Price |  Target Strike  | Risk Free Rate  | Expiration Date | Expected Call Price |
  |                N/A                | $    217.91      | $    220.0      |     0.0013    % |   2022-02-18    | $      5.5349       |
  ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
  ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
  |              Greeks               |      Delta      |      Gamma       |      Theta      |      Vega       |         Rho         |
  |               Call                |     0.4644      |      0.0244      |     -0.1841     |     0.2284      |       0.0666        |
  ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
  

  py main.py

  Please enter a historical data file to build the Black-Scholes model (Rerun with flag -h or --help to for more information): PATH\TO\CSV\MASI.csv
  Please enter a targeted strike price (Rerun with flag -h or --help to for more information): 220
  Please enter an expiration date of the contract in format (Rerun with flag -h or --help to for more information): 2022-02-18

  ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
  |              Company              | Underlying Price |  Target Strike  | Risk Free Rate  | Expiration Date | Expected Call Price |
  |                N/A                | $    217.91      | $    220.0      |     0.0013    % |   2022-02-18    | $      5.534        |
  ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
  ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
  |              Greeks               |      Delta      |      Gamma       |      Theta      |      Vega       |         Rho         |
  |               Call                |     0.4644      |      0.0244      |     -0.1841     |     0.2284      |       0.0665        |
  ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
  

  py main.py -f PATH\TO\CSV\MASI.csv -s 215p -x 2022-02-18 --name MASI

  ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
  |              Company              | Underlying Price |  Target Strike  | Risk Free Rate  | Expiration Date | Expected Put Price |
  |               MASI                | $    217.91      | $    215.0      |     0.0013    % |   2022-02-18    | $      5.0827       |
  ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
  ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
  |              Greeks               |      Delta      |      Gamma       |      Theta      |      Vega       |         Rho         |
  |                Put                |     -0.4134     |      0.024       |     -0.1795     |     0.2238      |       -0.0662       |
  ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
  

• -s, --strike_price {ARG}
• -f, --file {ARG}
• -x, --expiration_date {ARG}
• -o, --option_type {ARG}
• -r, --risk_free {ARG}
• -n, --name {ARG}
• -h, --help

• Add support for modeling of American option contracts
• Add support for Dividend yielding securities
• Improve how calculations are displayed