-
Notifications
You must be signed in to change notification settings - Fork 29
New issue
Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.
By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.
Already on GitHub? Sign in to your account
same IV and greeks for all puts and calls #16
Comments
adding that if you use, for example, the 320 call and put values with the individual vectorized_implied_volatility, vectorized_delta, vectorized_gamma, etc functions, the call/put values are not identical, as expected |
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
using py_vollib_vectorized.api.price_dataframe on a dataframe with separated put and call rows, I get identical values for IV and all greeks for the same strike using this code:
this is the resulting dataframe:
I may be dumb and this is a black scholes limitation or something, but in practice, this is of course inaccurate
The text was updated successfully, but these errors were encountered: