Derivatives Analytics

ferro-ta includes a Rust-backed derivatives layer for analytics, research, and simulation workflows. The implementation is analytics-only: there is no broker connectivity, order routing, or execution engine in this package.

What Is Included

Options analytics

  • Rolling IV helpers: iv_rank, iv_percentile, iv_zscore

  • Black-Scholes-Merton pricing

  • Black-76 pricing

  • Greeks: delta, gamma, vega, theta, rho

  • Implied volatility inversion

  • Smile metrics: ATM IV, 25-delta risk reversal, butterfly, skew slope, convexity

  • Chain helpers: moneyness labels and strike selection by offset or delta

Futures analytics

  • Synthetic forwards and parity diagnostics

  • Basis, annualized basis, implied carry, carry spread

  • Continuous contract stitching: weighted, back-adjusted, ratio-adjusted

  • Curve analytics: calendar spreads, slope, contango/backwardation summary

Strategy and payoff helpers

  • Typed strategy schemas for expiry selectors, strike selectors, leg presets, risk controls, and simulation limits

  • Multi-leg payoff aggregation

  • Greeks aggregation across option and futures legs

Conventions

  • model="bsm" expects spot as the underlying input.

  • model="black76" expects forward as the underlying input.

  • Volatility uses decimal annualized units: 0.20 means 20%.

  • Rates and carry use decimal annualized units: 0.05 means 5%.

  • time_to_expiry is expressed in years.

Options Example

from ferro_ta.analysis.options import greeks, implied_volatility, option_price

price = option_price(
    100.0,
    100.0,
    0.05,
    1.0,
    0.20,
    option_type="call",
    model="bsm",
)
iv = implied_volatility(
    price,
    100.0,
    100.0,
    0.05,
    1.0,
    option_type="call",
    model="bsm",
)
g = greeks(
    100.0,
    100.0,
    0.05,
    1.0,
    0.20,
    option_type="call",
    model="bsm",
)

Futures Example

from ferro_ta.analysis.futures import basis, curve_summary, synthetic_forward

front_basis = basis(100.0, 103.0)
synthetic = synthetic_forward(8.0, 5.0, 100.0, 0.02, 0.5)
curve = curve_summary(100.0, [0.1, 0.5, 1.0], [101.0, 102.0, 104.0])

Strategy and Payoff Example

from ferro_ta.analysis.derivatives_payoff import PayoffLeg, aggregate_greeks, strategy_payoff

legs = [
    PayoffLeg(
        instrument="option",
        side="long",
        option_type="call",
        strike=100.0,
        premium=5.0,
        volatility=0.20,
        time_to_expiry=0.5,
    ),
    PayoffLeg(
        instrument="future",
        side="long",
        entry_price=100.0,
    ),
]

payoff = strategy_payoff([90.0, 100.0, 110.0], legs=legs)
portfolio_greeks = aggregate_greeks(100.0, legs=legs)