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[Bug]Option greeks not displaying correct values #3660

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4x opened this issue Nov 30, 2022 · 1 comment · Fixed by #3690
Closed

[Bug]Option greeks not displaying correct values #3660

4x opened this issue Nov 30, 2022 · 1 comment · Fixed by #3690
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@4x
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4x commented Nov 30, 2022

I am getting unreasonable values for option greeks
$SPY option greeks are all zero (or at least way to close to 0 and displayed that way).

To Reproduce

/stocks/options
load -t spy --source Tradier
exp 10
greeks -m 409 -M 411

Screenshot
image

Here are the results from a couple other sources, as a sanity check
image
chrome_Env9Cj52Jl

Desktop (please complete the following information):
OS: Windows 11
OpenBB Terminal 2.0.0 installed today 2022-11-29

@github-actions github-actions bot added the bug Fix bug label Nov 30, 2022
@jmaslek
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jmaslek commented Nov 30, 2022

Hey thanks for reporting this.

I found a couple issues with our implementation . Including that we are taking .seconds() and not total_seconds(), meaning that the time to expiration is off and will never exceed 1 day. There may also be an issue with normalizing the volatility in our units.

@northern-64bit and I will look through this and try to get it sorted out in the next few days.

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3 participants