Most retail traders trade "Premium". Professional traders trade "Greeks".

If you are manually watching a chart and deciding to sell a Straddle, you are already too slow. In the world of automated market making and volatility arbitrage, algorithms calculate the Black-Scholes value of every option in real-time.

The Library: py_vollib

Python has a powerful library called `py_vollib` that allows you to calculate Greeks instantly.

from py_vollib.black_scholes.greeks.analytical import delta

# Calculate Delta of a Call Option
# S=18000 (Spot), K=18100 (Strike), t=0.1 (Time), r=0.1 (Rate), sigma=0.15 (IV)
call_delta = delta('c', 18000, 18100, 0.1, 0.1, 0.15)
print(call_delta) # Output: 0.35

Delta Neutral Automation

The Holy Grail for many option sellers is remaining Delta Neutral. This means you make money from Theta (Time Decay) regardless of which direction the market moves slightly.

An algorithm can:

1. Calculate the sum of Delta of your entire portfolio.
2. If the Net Delta becomes > 50 (too bullish), automatically sell Futures to bring it back to 0.
3. If the Net Delta becomes < -50 (too bearish), automatically buy Futures.

This is dynamic hedging. It turns trading into a risk management game rather than a prediction game.

Gamma Scalping

Gamma is the rate of change of Delta. When the market moves, Gamma explodes.

A Gamma Scalping algorithm buys volatility when it is cheap and continuously locks in profits as the market oscillates, effectively paying for the cost of the option through active trading. This is impossible for a human to execute manually due to the frequency of calculations required.