Options-related calculation helpers.
Pure functions for calculating days to expiry and moneyness for options contracts. Useful for options trading strategies and filtering.
Example
# Days until option expires
expiry_ms = 1_735_689_600_000 # 2025-01-01 00:00:00 UTC
ZenQuant.Helpers.Greeks.days_to_expiry(expiry_ms)
# => 5.5 (days from now)
# Determine moneyness
ZenQuant.Helpers.Greeks.moneyness(50_000.0, 48_000.0, :call)
# => :itm (in the money)Summary
Functions
Calculates days until expiry from a timestamp in milliseconds.
Calculates days until expiry from now to a given DateTime.
Determines the moneyness of an option.
Types
Functions
Calculates days until expiry from a timestamp in milliseconds.
Returns a float representing the number of days (can be fractional). Negative values indicate the option has already expired.
Examples
# 1 day in the future
future_ms = System.system_time(:millisecond) + 86_400_000
ZenQuant.Helpers.Greeks.days_to_expiry(future_ms)
# => ~1.0
# Already expired (returns negative)
past_ms = System.system_time(:millisecond) - 86_400_000
ZenQuant.Helpers.Greeks.days_to_expiry(past_ms)
# => ~-1.0@spec days_to_expiry_from_datetime(DateTime.t()) :: float()
Calculates days until expiry from now to a given DateTime.
Example
expiry = ~U[2025-01-01 00:00:00Z]
ZenQuant.Helpers.Greeks.days_to_expiry_from_datetime(expiry)Determines the moneyness of an option.
Returns :itm (in the money), :atm (at the money), or :otm (out of the money).
ATM threshold: spot price within 0.1% of strike is considered at-the-money.
Call Options
- ITM: spot > strike
- OTM: spot < strike
Put Options
- ITM: spot < strike
- OTM: spot > strike
Examples
iex> ZenQuant.Helpers.Greeks.moneyness(50_000.0, 48_000.0, :call)
:itm
iex> ZenQuant.Helpers.Greeks.moneyness(50_000.0, 52_000.0, :call)
:otm
iex> ZenQuant.Helpers.Greeks.moneyness(50_000.0, 48_000.0, :put)
:otm
iex> ZenQuant.Helpers.Greeks.moneyness(50_000.0, 52_000.0, :put)
:itm
iex> ZenQuant.Helpers.Greeks.moneyness(50_000.0, 50_000.0, :call)
:atm