Playground

import {
  getIVSurfaces,
  calculateGammaVannaCharmExposures,
  OptionChain,
  NormalizedOption,
} from "@fullstackcraftllc/floe";

// Sample option data (normally from your broker API)
const sampleOptions: NormalizedOption[] = [
  {
    strike: 445,
    expiration: "2024-01-19",
    expirationTimestamp: Date.now() + 30 * 24 * 60 * 60 * 1000,
    optionType: "call",
    bid: 8.50,
    ask: 8.70,
    mark: 8.60,
    last: 8.55,
    volume: 1500,
    openInterest: 25000,
    impliedVolatility: 0.18,
  },
  {
    strike: 445,
    expiration: "2024-01-19",
    expirationTimestamp: Date.now() + 30 * 24 * 60 * 60 * 1000,
    optionType: "put",
    bid: 3.20,
    ask: 3.40,
    mark: 3.30,
    last: 3.25,
    volume: 2000,
    openInterest: 30000,
    impliedVolatility: 0.19,
  },
  {
    strike: 450,
    expiration: "2024-01-19",
    expirationTimestamp: Date.now() + 30 * 24 * 60 * 60 * 1000,
    optionType: "call",
    bid: 5.80,
    ask: 6.00,
    mark: 5.90,
    last: 5.85,
    volume: 3000,
    openInterest: 45000,
    impliedVolatility: 0.17,
  },
  {
    strike: 450,
    expiration: "2024-01-19",
    expirationTimestamp: Date.now() + 30 * 24 * 60 * 60 * 1000,
    optionType: "put",
    bid: 5.50,
    ask: 5.70,
    mark: 5.60,
    last: 5.55,
    volume: 2500,
    openInterest: 35000,
    impliedVolatility: 0.18,
  },
];

// Bundle into an OptionChain
const chain: OptionChain = {
  symbol: "SPY",
  spot: 448.50,
  riskFreeRate: 0.05,
  dividendYield: 0.015,
  options: sampleOptions,
};

// Build IV surfaces
const ivSurfaces = getIVSurfaces("blackscholes", "totalvariance", chain);
console.log("IV Surfaces:", ivSurfaces);

// Calculate exposures
const exposures = calculateGammaVannaCharmExposures(chain, ivSurfaces);

for (const exp of exposures) {
  console.log("\nExpiration:", new Date(exp.expiration).toDateString());
  console.log("  Gamma Exposure:", exp.totalGammaExposure.toLocaleString());
  console.log("  Vanna Exposure:", exp.totalVannaExposure.toLocaleString());
  console.log("  Charm Exposure:", exp.totalCharmExposure.toLocaleString());
}