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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.
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
Screenshot
Here are the results from a couple other sources, as a sanity check
Desktop (please complete the following information):
OS: Windows 11
OpenBB Terminal 2.0.0 installed today 2022-11-29
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