Crack the Sky
Conventions a desk will probe
Greeks units
| Thing | This repo | Usual vendor / desk trap |
|---|---|---|
| Vega | per 1.00 vol | per 1% → multiply vendor vega × 100 to compare |
| Theta | per year of calendar time | per calendar day → × 365; trading-day would be / 252 (available on GreeksConventions, not the default) |
| Delta / gamma | spot (∂/∂S); dual always also filled | forward / dual-only reports |
Pricing inputs
| Thing | This repo | Usual vendor / desk trap |
|---|---|---|
| F | put-call parity on the chain at min |C−P|: F = K + erT(C − P) when the Treasury curve is present (method=parity); undiscounted F = K + C − P otherwise (parity-r0). For VIX this is the VX future of that expiry, not a spot VIX. |
I:SPX print (not entitled) |
| T | ACT/365 to settlement instant on the live path (SPY/SPXW 16:00 ET PM; SPX monthlies and VIX/VIXW 09:30 ET AM). On the day-bar path the day count is a passed object (pricing.daycount); the default is the hybrid — sessions over 252 where the calendar can vouch, ACT/365 past the horizon — and every landed atm_term_structure / vol_surface row stamps which convention produced its t_years (bus/252 or act/365, never the name hybrid). Two quantities are kept apart there: vol time, the T in σ√T, is what the convention decides; money time, the T in e−rT and the Treasury-curve tenor, is always ACT/365 because interest accrues on weekends. |
expiry date at UTC midnight understates T (~108 bp IV at 7 DTE); converting the discount factor and the curve tenor along with σ√T |
| r | Treasury curve via rate_for (scalar --r / DRIFT_CHECK_R override) |
one flat scalar rate for every maturity |
Market data
| Thing | This repo | Usual vendor / desk trap |
|---|---|---|
| Market price | last trade else day close. A last print older than --max-trade-age-min (default 60) is skipped, not fallen back to close. |
NBBO mid (not entitled) |