App that calculates the value of Bybit's BTC options by using the Black-Scholes Model.
You can learn more about the model here: https://www.investopedia.com/terms/b/blackscholes.asp.
To run:
cd cmd/app
go run . -riskFreeRate=0.04
The riskFreeRate parameter is an optional floating point type input. This can be set to a fixed rate investment you have access to, such as your bank's interest rate. When not provided, it defaults to 0.05, the Bank of England rate @ 2nd August 2023.
Below is a sample of the table that is output @ 15th May 2024.
+----------------------+-----------+------------+----------+----------+---------------+
| SYMBOL | STRIKE | UNDERLYING | BEST ASK | BEST BID | BLACK SCHOLES |
+----------------------+-----------+------------+----------+----------+---------------+
| BTC-18MAY24-63000-C | 63000.00 | 66202.26 | 3600.00 | 3195.00 | 3409.52 |
| BTC-18MAY24-63000-P | 63000.00 | 66202.26 | 245.00 | 215.00 | 189.42 |
| BTC-18MAY24-63250-C | 63250.00 | 66202.26 | 3275.00 | 2980.00 | 3196.12 |
| BTC-18MAY24-63250-P | 63250.00 | 66202.26 | 280.00 | 255.00 | 225.94 |
| BTC-18MAY24-63500-C | 63500.00 | 66202.26 | 3195.00 | 2770.00 | 2988.03 |
| BTC-18MAY24-63500-P | 63500.00 | 66202.26 | 325.00 | 285.00 | 267.79 |
| BTC-18MAY24-63750-C | 63750.00 | 66202.26 | 2940.00 | 2570.00 | 2785.72 |
| BTC-18MAY24-63750-P | 63750.00 | 66202.26 | 375.00 | 335.00 | 315.40 |
| BTC-18MAY24-64000-C | 64000.00 | 66202.26 | 2775.00 | 2355.00 | 2589.62 |
| BTC-18MAY24-64000-P | 64000.00 | 66202.26 | 435.00 | 395.00 | 369.24 |
| BTC-18MAY24-64500-C | 64500.00 | 66202.26 | 2380.00 | 2040.00 | 2217.71 |
| BTC-18MAY24-64500-P | 64500.00 | 66202.26 | 565.00 | 530.00 | 497.18 |
+----------------------+-----------+------------+----------+----------+---------------+
This software is for educational purposes only and should not be used for trading purposes. All financial decisions are solely your responsibility.