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I have some software that spits out information about an option. Strike, underlying information, etc, but I cannot get the greeks using this software.

Given that these are American options, is there any way I can calculate the greeks using the given information?

I saw this saying that the Black-Scholes model can be used for American options with a few caveats. I'm wondering if I can take the formulas from this model for the greeks and get a reliable number out of it without knowing what technique the brokerage used to price the options. The only other option I can think of is running a model to "re-price" the option and then use those greeks, but that seems excessive. I feel like I should be able to get the greeks from the given information.

Can anyone help? Thanks!

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  • What are you trying to accomplish ?
    – Optionparty
    Feb 11, 2015 at 17:01
  • @Optionparty my software doesn't give me greeks for options chains, so im trying to calculate them myself.
    – Steve
    Feb 12, 2015 at 4:13
  • "Option Oracle" v 1.6.0.0 is Free and calculates Greeks. samoasky.com/optionoracle-image also download the PDF so you will know how to use it. google.com/… Give it some time after adding a symbol as option chains are being downloaded. There may be other Free option analysis software out there.
    – Optionparty
    Feb 12, 2015 at 16:31
  • Option Oracle needs a file called “plugin.xml” added to a Windows hidden folder “C:\Users\USER1\AppData\Roaming\OptionsOracle” “USER1” will be your “user name” on your computer. Download/unzip/copy to folder. Enjoy.
    – Optionparty
    Feb 13, 2015 at 19:02

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It depends on the accuracy you require.

Some of them are intuitive - e.g. the 'delta' is the likelihood the option will expire above or below the strike price of the option. For an at-the-money option, that will be 50%. For an out-of-the money option, that will be close to zero. An in the money option will be close to 100%. 'gamma' is how much the 'delta' will change if the price of the stock moves.

There should be plenty of tools online to give you this information. Your broker may also provide you with tools to do this calculation.

Implementing the Cox-Rubenstein Binomial Option Pricing Model method is not a small task however.

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