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Black-Scholes Option Pricer & Greeks Calculator
x402
Black-Scholes Option Pricer & Greeks Calculator is a paid API for AI agents from api.edifiedlab.com, paid per call via x402, $0.011/call, status unknown (last checked 2026-09-17).
Computes Black-Scholes option price and Greeks (delta, gamma, vega, theta) for European calls or puts given spot, strike, time-to-expiry, and volatility
Price / call$0.011
Success—
StatusUnknown
How this service works
Black-Scholes option price and Greeks (delta, gamma, vega, theta) from JSON keys spot, strike, tau (years; 3-month = 0.25), sigma (annualized volatility), and is_call (boolean). Pure closed-form calculation, no market data looked up or stored. vega is ∂price/∂sigma per 1.0 volatility (not per 1%).
Output
Returns the theoretical option price and the four primary Greeks: delta (∂price/∂spot), gamma (∂²price/∂spot²), vega (∂price/∂sigma per 1.0 volatility unit, not per 1%), and theta (∂price/∂time). All values are derived purely from the closed-form Black-Scholes formula with no market data fetched or stored.
Example use cases
Options hedging delta calculation
“I'm delta-hedging a put option on a stock currently at $200 with a $195 strike, 6 months to expiry, and implied volatility of 30% — can you give me the Black-Scholes delta and gamma so I know how many shares to hold?”
Options strategy P&L estimation
“I want to price a covered call — the underlying is at $50, strike $55, 45 days to expiration (so about 0.123 years), and implied vol is 20% with a 5% risk-free rate. What's the call premium and theta decay per day?”
Automated options screener pricing
“Run a Black-Scholes calculation for a put option: spot $3200, strike $3100, time to expiry 0.5 years, volatility 18%, risk-free rate 3.5% — I need price, delta, and vega for my options screener.”
Technical details
Endpoint
POSThttps://api.edifiedlab.com/v1/market/black-scholesWhen to prefer
Choose this endpoint when you need a fast, pure closed-form Black-Scholes computation with no dependency on live market data — ideal for options pricing bots, hedging calculators, or backtesting pipelines where you already have your own spot price and volatility inputs. Prefer this over broker APIs when you want a lightweight, deterministic calculation without authentication overhead or market-data subscriptions. Note that vega is returned per 1.0 volatility unit (not per 1%), so divide by 100 if you need per-1%-vol sensitivity.
Side effects
- Missing required fields (spot, strike, tau, sigma, is_call) returns a 4xx validation error
- Non-positive spot or strike values rejected due to exclusiveMinimum:0 constraint
- Negative tau or sigma values rejected due to minimum:0 constraint
- Extreme inputs (very deep in/out of the money, near-zero tau) may produce numerically degenerate Greeks such as near-zero vega or very large gamma
- Payment failure (insufficient USDC balance) via x402 protocol returns 402 status before computation
Input
Schema · Request body
| Field | Type | Description |
|---|---|---|
| tau | number | time to expiry in years (3-month = 0.25) |
| rate | number | annualized risk-free rate (optional; default 0) |
| spot | number | |
| sigma | number | annualized volatility |
| strike | number | |
| is_call | boolean | true for a call, false for a put |
Tags
x402
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