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Black-Scholes Option Pricing & Greeks Calculator
x402
Black-Scholes Option Pricing & Greeks Calculator is a paid API for AI agents from agent-data-tools.revmesh2074.workers.dev, paid per call via x402, $0.01/call, status unknown (last checked 2026-11-07).
Prices European call and put options using Black-Scholes-Merton and returns delta, gamma, vega, theta, rho, d1, d2, probability ITM, and implied volatility
Price / call$0.01
Success—
StatusUnknown
How this service works
Option pricing, Black-Scholes. Price a European call and put with Black-Scholes-Merton and get delta, gamma, vega (per vol point), theta (per day), rho, d1, d2 and the probability of ending in the money; or give a market price and get the implied volatility. Inputs: spot, strike, expiry date or days, volatility, interest rate and dividend or funding yield in percent. Pure arithmetic, no data source. Use for crypto, stock or FX options, to price a quote or size a hedge.
Output
Returns a JSON object with d1, d2, the model name, echoed inputs, and nested call and put objects each containing: price, delta, gamma, vega (per vol point), theta (per day), rho, and probabilityItm. If a market price is supplied, returns the implied volatility instead.
Example use cases
Crypto options hedge sizing
“I'm short a Bitcoin call with spot at 65000, strike 70000, 21 days to expiry, implied vol of 80%, and a 0% rate — give me the Black-Scholes price and delta so I can size my hedge.”
Implied volatility extraction
“The market is quoting a call on AAPL at $4.20, spot is 180, strike 182, 14 days to expiry, and the risk-free rate is 5.3% — can you back out the implied volatility?”
FX option theta decay check
“I have a EUR/USD put with spot 1.0850, strike 1.0750, 7 days to expiry, vol 8%, and a 0% dividend yield — what's the Black-Scholes put price and how much theta am I losing per day?”
Technical details
Endpoint
GEThttps://agent-data-tools.revmesh2074.workers.dev/options/price?utm_source=zero.xyzWhen to prefer
Use this endpoint when you need fast, self-contained Black-Scholes pricing and Greeks for European vanilla options without needing a live market data feed. It is ideal for crypto, stock, or FX options where you already have the spot, vol, and rate inputs. Prefer it over data-vendor option chains when you want pure arithmetic — no latency from external data sources. It is the right choice for hedge sizing, quote validation, implied vol extraction, and risk reporting in automated agent workflows.
Side effects
- Missing required spot or strike parameters returns an error
- Supplying a market price that implies a negative or extreme implied volatility may fail to converge
- Invalid expiry date format causes a parse error
- Volatility or rate values outside reasonable bounds may produce numerical edge cases
- Negative spot or strike values are not meaningful and may error
Input
Schema · Request body
| Field | Type | Description |
|---|---|---|
| inputrequired | object | |
| output | object |
Output
Schema · Response
{
"type": "json",
"example": {
"d1": 0.35,
"d2": 0.15,
"put": {
"rho": -0.418905,
"vega": 0.37524,
"delta": -0.363169,
"gamma": 0.018762,
"price": 5.573526,
"theta": -0.004542,
"probabilityItm": 0.440382
},
"call": {
"rho": 0.532325,
"vega": 0.37524,
"delta": 0.636831,
"gamma": 0.018762,
"price": 10.450584,
"theta": -0.017573,
"probabilityItm": 0.559618
},
"model": "Black-Scholes-Merton (European exercise)",
"inputs": {
"vol": 0.2,
"rate": 0.05,
"spot": 100,
"years": 1,
"strike": 100,
"dividend": 0
}
}
}Tags
x402
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