# Get your dedicated static IPv6 + SOCKS5 credentials free:
#   https://comm.servloci.in/register        (or /auth/google?free=1 for an instant trial)
# Your api_key / api_secret pair shows up in the portal after signup:
#   https://comm.servloci.in/user
!pip install -q "requests[socks]"
!curl -sL https://comm.servloci.in/sdk/servloci.py -o servloci.py

import os
from servloci import ServLoci

SERVLOCI_API_KEY = os.environ.get("SERVLOCI_API_KEY", "dhan:1000000001")   # broker:client_id
SERVLOCI_API_SECRET = os.environ.get("SERVLOCI_API_SECRET", "")            # from the portal — leave blank to run this notebook in demo mode

sl = None
if SERVLOCI_API_SECRET:
    sl = ServLoci(api_key=SERVLOCI_API_KEY, api_secret=SERVLOCI_API_SECRET)
    print("ServLoci configured:", sl.host, sl.port)
else:
    print("SERVLOCI_API_SECRET not set — running in demo mode (no live proxy calls).")

from scipy.stats import norm
import math

def bs_price(opt_type, spot, strike, t_years, vol, rate=0.065):
    if t_years <= 0 or vol <= 0:
        return max(spot - strike, 0) if opt_type == "CE" else max(strike - spot, 0)
    d1 = (math.log(spot / strike) + (rate + vol * vol / 2) * t_years) / (vol * math.sqrt(t_years))
    d2 = d1 - vol * math.sqrt(t_years)
    if opt_type == "CE":
        return spot * norm.cdf(d1) - strike * math.exp(-rate * t_years) * norm.cdf(d2)
    return strike * math.exp(-rate * t_years) * norm.cdf(-d2) - spot * norm.cdf(-d1)

def greeks(opt_type, spot, strike, t_years, vol, rate=0.065):
    if t_years <= 0 or vol <= 0:
        return {"delta": 0, "gamma": 0, "theta": 0, "vega": 0}
    d1 = (math.log(spot / strike) + (rate + vol * vol / 2) * t_years) / (vol * math.sqrt(t_years))
    d2 = d1 - vol * math.sqrt(t_years)
    nd1 = norm.pdf(d1)
    delta = norm.cdf(d1) if opt_type == "CE" else norm.cdf(d1) - 1
    gamma = nd1 / (spot * vol * math.sqrt(t_years))
    vega = (spot * nd1 * math.sqrt(t_years)) / 100  # per 1% vol move
    term1 = -(spot * nd1 * vol) / (2 * math.sqrt(t_years))
    if opt_type == "CE":
        theta = (term1 - rate * strike * math.exp(-rate * t_years) * norm.cdf(d2)) / 365
    else:
        theta = (term1 + rate * strike * math.exp(-rate * t_years) * norm.cdf(-d2)) / 365
    return {"delta": delta, "gamma": gamma, "theta": theta, "vega": vega}

spot, strike, t_years, vol = 24000, 24000, 7 / 365, 0.13
print("CE price:", round(bs_price("CE", spot, strike, t_years, vol), 2))
print("CE greeks:", {k: round(v, 4) for k, v in greeks("CE", spot, strike, t_years, vol).items()})

Black-Scholes Pricing & Greeks¶

Setup¶