Hi @rakeshr@sujith I gone through couple of discussions on options chain greeks and realized no direct data provided by zerodha but those are way back discussions. Just wanted to know any progress in that area, any API from Zerodha or Sensibull or any provider?
My strategy is purely dependent on greeks, to be precise gamma. Tried to calculate manually using Black 76 and conventional Black Scholes models in Python but results are not matching with sensibull, any help would be greatly appreciated.
thanks for the response @SRIJAN , tried with available formula and code snippets but not matching with Sansibull, any inputs or python code snippets for calculations ?
Hi @karthikeyan, I am interested in finding a way to calculate the greeks. I did find some libraries, but all of them require me to pass in the volatility which I am not sure how to calculate. I can code the solution that you found. Let me know how we can proceed. Thanks
You have to calculate them at your side.
https://github.com/yassinemaaroufi/MibianLib
Or search on the internet,you will find some articles with python code to calculate greeks.