Request
{
"body": {
"dividendYield": 0,
"interpolation": "total_variance_bilinear",
"positions": [
{
"optionType": "call",
"quantity": 1,
"strike": 100,
"timeToExpiry": 1,
"underlying": 100
}
],
"rate": 0.05,
"scenario": {
"rateBp": 0,
"smileTwist": 0,
"timeDays": 0,
"underlyingRel": 0.1,
"volAbs": 0,
"volRel": 0
},
"sticky": "moneyness",
"surface": [
{
"iv": 0.22,
"k": -0.1,
"timeToExpiry": 0.25
},
{
"iv": 0.2,
"k": 0,
"timeToExpiry": 0.25
},
{
"iv": 0.23,
"k": 0.1,
"timeToExpiry": 0.25
},
{
"iv": 0.21,
"k": -0.1,
"timeToExpiry": 0.5
},
{
"iv": 0.2,
"k": 0,
"timeToExpiry": 0.5
},
{
"iv": 0.22,
"k": 0.1,
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},
{
"iv": 0.205,
"k": -0.1,
"timeToExpiry": 1
},
{
"iv": 0.2,
"k": 0,
"timeToExpiry": 1
},
{
"iv": 0.215,
"k": 0.1,
"timeToExpiry": 1
}
],
"surfaceConvention": "log_moneyness_forward",
"wingRule": "flat_vol"
},
"bodyType": "json",
"method": "POST",
"type": "http"
}
Response
{
"example": {
"book": {
"deltaValue": 7.36197848,
"greeksBase": {
"delta": 0.63683059,
"gamma": 0.01876202,
"rho": 53.23248343,
"theta": -6.41402764,
"vega": 37.52403469
},
"greeksNote": "Greeks are analytic BS Greeks at sticky/scenario \u03c3 \u2014 NOT full smile-recalibrated bump deltas",
"greeksScenario": {
"delta": 0.79160899,
"gamma": 0.01273721,
"rho": 69.26443492,
"theta": -6.69435438,
"vega": 31.55892407
},
"valueBase": 10.45057562,
"valueScenario": 17.8125541
},
"computedAt": "2026-01-01T00:00:00.000Z",
"legs": [
{
"base": {
"contribution": 10.45057562,
"forward": 100,
"greeks": {
"delta": 0.63683059,
"gamma": 0.01876202,
"rho": 53.23248343,
"theta": -6.41402764,
"vega": 37.52403469
},
"impliedVol": 0.2,
"k": 0,
"price": 10.45057562,
"timeToExpiry": 1,
"underlying": 100
},
"deltaValue": 7.36197848,
"index": 0,
"optionType": "call",
"quantity": 1,
"scenario": {
"contribution": 17.8125541,
"forward": 110,
"greeks": {
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"gamma": 0.01273721,
"rho": 69.26443492,
"theta": -6.69435438,
"vega": 31.55892407
},
"impliedVol": 0.20476824,
"k": -0.09531018,
"price": 17.8125541,
"timeToExpiry": 1,
"underlying": 110
},
"strike": 100
}
],
"model": "black-scholes-merton+surface-tv-bilinear",
"optionStyle": "european",
"requestId": "00000000-0000-4000-8000-000000000007",
"scenario": {
"rateBp": 0,
"rateScenario": 0.05,
"smileTwist": 0,
"timeDays": 0,
"underlyingRel": 0.1,
"volAbs": 0,
"volRel": 0
},
"sticky": "moneyness",
"surfaceMeta": {
"convention": "log_moneyness_forward",
"kCount": 3,
"pointCount": 9,
"tCount": 3
},
"warnings": []
},
"type": "json"
}