Credit spread return on collateral API

Compute collateral / max loss ((width - credit) x 100), max profit (net credit), return on collateral (credit/(width-credit)), annualized to 365 days, and credit-to-width ratio for a defined-risk credit spread. Deterministic ROC math. Answers 'what's my return on a credit spread','what's the annualized yield','how much collateral does this spread tie up'.

Price$0.03per request

MethodPOST

Route/v1/calc/opt-credit-spread-return

StatusLive

MIME typeapplication/json

Rate limit120/minute

CacheNo cache

optionscredit-spreadcalcreturn-on-capitalincomeannualizedderivativestrading

API URLhttps://x402.hexl.dev/v1/calc/opt-credit-spread-return

Integration docs

Example request

{
  "netCredit": 1.5,
  "spreadWidth": 5,
  "daysToExpiry": 30
}

Example response

{
  "netCredit": 1.5,
  "spreadWidth": 5,
  "daysToExpiry": 30,
  "multiplier": 100,
  "collateral": 350,
  "maxProfit": 150,
  "maxLoss": 350,
  "returnOnCollateralPercent": 42.8571,
  "annualizedPercent": 7567.2657,
  "creditToWidthRatio": 0.3
}

Input schema

{
  "type": "object",
  "required": [
    "netCredit",
    "spreadWidth",
    "daysToExpiry"
  ],
  "properties": {
    "netCredit": {
      "type": "number",
      "examples": [
        1.5
      ]
    },
    "spreadWidth": {
      "type": "number",
      "description": "distance between strikes",
      "examples": [
        5
      ]
    },
    "daysToExpiry": {
      "type": "number",
      "examples": [
        30
      ]
    },
    "multiplier": {
      "type": "number",
      "default": 100
    }
  }
}

Output schema

{
  "type": "object",
  "additionalProperties": true
}