Option Greeks Data

Options & Futures
1

For the implementation of options strategies using greeks in Indian Markets, will it be better to calculate greeks ourselves or to buy option greeks data from a 3rd party vendor?

Also, let me know if there is any good 3rd party source to get greeks data.

Thank you

2

Hi Abhishek,



It is better to calculate greeks rather than buying the data. There are two main reasons for that - 

  1. You will have to double-check the logic behind the calculations done by the vendor before trusting the data.
  2. It might happen that you won't require data for all the greeks, but getting the data for all the greeks from the vendor might occupy unnecessary space.



    Hope this helps!



    Thanks,

    Akshay
3

Hi Akshay,



Thank you for the reply.



 

4

Hi Akshay,



Can you tell me how to calculate greeks dynamically if we are doing strategies where dynamic delta hedging is required.



Thanks,

Abhishek

 

5

Hi Abhishek,



You can use the mibian library. You can also refer to the following blog for the same.



https://blog.quantinsti.com/basics-options-trading/#:~:text=Python%20Library%20%2D%20Mibian



Hope this helps!



Thanks,

Akshay