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vollib
Option prices, implied volatility and greeks in Python
What it is
A Python library for calculating option prices, implied volatility and greeks using Black, Black-Scholes, and Black-Scholes-Merton formulae. At its core is Peter Jäckel's LetsBeRational algorithm, which obtains Black's implied volatility from option prices with high speed and accuracy, reaching maximum attainable precision in as little as two iterations. The library provides both analytical and numerical greeks for each pricing formula. Quant developers should be aware that tests and documentation are still incomplete in the initial release, and installation requires Python, pip, and SWIG beforehand.
At a glance
Worth watchingOur rating, based on popularity, maintenance and how ready it is for real use.
| Best for | Professional quants |
|---|---|
| Used for | Data analysis, Strategy research |
| Markets | Multi-market |
| Stack | Python |
| Learning curve | Moderate learning curve |
| Practical value | Medium practical value |
| Cost | Free and open source |
| Hardware | No GPU needed |
| Maintenance | No commits in over six months |
GitHub stars, last 30 days
Daily snapshots since 2026-09-12 (up to 30 days): +8 over the period, now 1,030. Gaps mean no snapshot was taken that day.
vollib is a python library for calculating option prices, implied volatility and greeks.
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