Are the greeks obtained in Zorro using the ContractVal function computed numerically or by some explicit formulas? I tried to compute the greeks inserting the implied volatility (called by the ContractVol function in Zorro) explicitly in the Black-Scholes formula and evaluating the corresponding partial derivatives numerically using a small increment of spot price/time/volatility etc and compared these values to those provided by Zorro. Although the theta, gamma, vega and rho greeks exhibit good mutual agreement, this is not the case with delta, which still does not correspond to the value provided by Zorro. Do you have an explanation for that?