Derivatives Pricer

Endpoints (7 live)

• POST /v1/option/price — When to use: you already have model inputs (S or forward mark, K, T, r, σ) and need fair value + hedge ratios — not market-premium IV. European BSM price + analytic Greeks (delta, gamma, vega, theta, rho). Works for equity spots and power/commodity forwards (use the maturity mark as spot). USDC exact on Solana/Base. Free fixed sample: GET /v1/demo/option-price. (0.01 USDC on Base)
• POST /v1/volatility/surface — When to use: book of market premiums → need IV grid + per-quote Greeks (not a single contract). Shared rate/yield; each row has its own underlying (power/commodity forwards by maturity). Returns strike×maturity IV surface, fit quality, solve stats. USDC exact on Solana/Base. Prefer single IV endpoint for one premium. (0.1 USDC on Solana)
• POST /v1/option/scenario-from-surface — When to use: book reval on an IV surface under F/rate/time/vol shocks with sticky moneyness|strike|fixed_vol. Vol order: interpolate → volAbs → volRel → smileTwist*k. Greeks are sticky-σ BS Greeks (not smile bump deltas). USDC exact on Solana/Base. Prefer scalar /v1/portfolio/scenario for per-leg scalar σ books. (0.15 USDC on Base)
• POST /v1/portfolio/greeks — When to use: multi-leg European book → need net MTM + net Greeks (long/short via signed quantity). Shared rate/yield; each leg has underlying, strike, T, type, quantity, vol. Optional dollar Greeks. Prefer scenario endpoint for what-if P&L. USDC exact on Solana/Base. (0.15 USDC on Base)
• POST /v1/option/implied-vol — When to use: one market premium → need σ̂ + Greeks; cheaper/faster than a full surface. Solves Black-Scholes IV then prices Greeks at the solved σ. Same engine as the surface endpoint (fastImpliedVol). Prefer surface when you have a multi-strike/maturity book. USDC exact on Solana/Base. (0.03 USDC on Solana)
• POST /v1/option/price-from-surface — When to use: you already have an IV surface (k,T,σ) and need to price options on it — not invert premiums and not scalar σ. Interpolates total variance w=σ²T bilinear in log-moneyness k=ln(K/F); wingRule=flat_vol. Returns price, interpolated σ, k, F, BS Greeks. USDC exact on Solana/Base. Prefer /v1/option/price when σ is a single scalar. (0.08 USDC on Base)
• POST /v1/portfolio/scenario — When to use: what-if P&L under relative spot/vol shocks and calendar time decay on a European book. Returns base MTM+Greeks and per-scenario shocked MTM, MTM change, full Greeks. Single-option or multi-leg. USDC exact on Solana/Base. (0.25 USDC on Base)

MCP tools (8)

x402 Derivatives Desk https://derivatives-pricer-production.up.railway.app/mcp

• implied_vol — Solve implied volatility from a single market premium (European BSM or American CRR), then return σ̂ and Greeks. Greek units (raw): vega per 1.0 vol, theta per year, rho per 1.0 rate. When to call: one quote (premium known); not a full book. Markets: equity or commodity/power forward mark as underlying. NOT for: multi-quote surfaces (use implied_vol_surface) or local-vol calibration. Payment: $0.03 USDC exact may be required. Same engine as POST /v1/option/implied-vol.
• implied_vol_surface — Build an implied-vol smile/term structure from a strip of market premiums (European or American). When to call: multi-strike multi-maturity premiums; optional shared forwardStart/expiration window. NOT for: single-premium IV (use implied_vol), scalar-σ pricing (use price_option), or local-vol PDE. Payment: $0.10 USDC exact may be required. Same engine as POST /v1/volatility/surface.
• portfolio_greeks — Net MTM + Greeks for a multi-leg book (signed quantity: +long / −short). optionStyle european|american. Optional dollar Greeks. When to call: multi-leg risk aggregation with per-leg scalar σ. NOT for: smile/surface books (use price_from_surface / scenario_from_surface). Payment: $0.15 USDC exact may be required. Same engine as POST /v1/portfolio/greeks.
• portfolio_scenario — Reprice a multi-leg book under relative spot/vol shocks and calendar time decay (per-leg scalar σ). Supports optionStyle. When to call: what-if P&L on a scalar-σ book. NOT for: sticky smile scenarios (use scenario_from_surface). Payment: $0.25 USDC exact may be required. Same engine as POST /v1/portfolio/scenario.
• price_from_surface — Price options on a submitted IV surface (total-variance bilinear in log-moneyness k=ln(K/F); wingRule=flat_vol). Supports optionStyle european|american. When to call: you already have a smile/surface grid and need prices + Greeks at interpolated σ. NOT for: inventing Dupire/SABR/local vol; scalar σ (use price_option); inverting premiums (use implied_vol_surface). Payment: $0.08 USDC exact may be required. Same engine as POST /v1/option/price-from-surface.
• price_option — Price a European BSM, Black-76 (forward), or American CRR option and return Greeks. model=bsm (default) or black76; greekConvention=raw (vega/1.0 vol, theta/year, rho/1.0 rate) or trading (vega/1%, theta/day, rho/bp). Optional forwardStart/expiration ISO-8601 window: vol accrues only in τ = years(effectiveStart, expiration). When to call: model inputs (spot or forward, strike, T, r, σ, call/put, optionStyle). NOT for: swing/multi-exercise, barrier/local-vol PDE, or inverting premiums (use implied_vol). Payment: $0.01 USDC exact may be required. Same engine as POST /v1/option/price.
• scenario_from_surface — Book reval on an IV surface: base vs scenario with sticky moneyness|strike|fixed_vol and optional F/rate/time/vol/smileTwist shocks. Supports optionStyle. When to call: need MTM change on a smile under shocks. NOT for: scalar-σ portfolio scenarios (use portfolio_scenario); static pricing only (use price_from_surface). Payment: $0.15 USDC exact may be required. Same engine as POST /v1/option/scenario-from-surface.
• service_info — Free discovery: prices, networks, HTTP paths, MCP tools. Call first to learn how to use this derivatives desk. No USDC required.