Option pricing, Greeks & implied vol API

Price European (Black-Scholes) or American (binomial tree, early exercise) options with full Greeks (delta/gamma/vega/theta/rho), or solve for implied volatility from a market price. Answers 'price this American put', 'what are the greeks', 'implied volatility for this option', 'delta of this call'.

Price$0.03per request

MethodPOST

Route/v1/quant/option-pricing

StatusLive

MIME typeapplication/json

Rate limit60/minute

CacheNo cache

quantoptionsblack-scholesamericangreeksimplied-volatilityderivativespricing

API URLhttps://x402.hexl.dev/v1/quant/option-pricing

Integration docs

Example request

{
  "style": "american",
  "type": "put",
  "spot": 100,
  "strike": 100,
  "timeToExpiry": 1,
  "rate": 0.05,
  "volatility": 0.2
}

Example response

{
  "style": "american",
  "type": "put",
  "price": 6.09,
  "greeks": {
    "delta": -0.37,
    "gamma": 0.019,
    "vega": 0.37,
    "theta": -0.012,
    "rho": -0.42
  },
  "inputs": {}
}

Input schema

{
  "type": "object",
  "required": [
    "type",
    "spot",
    "strike",
    "timeToExpiry",
    "rate"
  ],
  "properties": {
    "style": {
      "type": "string",
      "enum": [
        "european",
        "american"
      ],
      "default": "european"
    },
    "type": {
      "type": "string",
      "enum": [
        "call",
        "put"
      ]
    },
    "spot": {
      "type": "number"
    },
    "strike": {
      "type": "number"
    },
    "timeToExpiry": {
      "type": "number",
      "description": "years"
    },
    "rate": {
      "type": "number",
      "description": "decimal"
    },
    "volatility": {
      "type": "number",
      "description": "decimal; required for pricing"
    },
    "dividendYield": {
      "type": "number",
      "default": 0
    },
    "steps": {
      "type": "number",
      "default": 200
    },
    "op": {
      "type": "string",
      "enum": [
        "price",
        "impliedVol"
      ],
      "default": "price"
    },
    "marketPrice": {
      "type": "number",
      "description": "required for impliedVol"
    }
  }
}

Output schema

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