Alphagbm Greeks

Greeks dashboard for any option contract or multi-leg position. Covers first-order Greeks (Delta, Gamma, Theta, Vega, Rho) and second-order Greeks (Charm, Vanna, Volga). Returns individual and position-level Greeks with scenario heatmaps. Use when: checking option sensitivities, managing position risk, understanding theta decay, analyzing gamma exposure, hedging a portfolio. Triggers on: "Greeks for AAPL 220 call", "position Greeks", "theta decay analysis", "gamma exposure NVDA", "delta of my position", "vega risk SPY straddle".

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:

text

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:

text

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

json

{
  "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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