{"uid":"cap_56Iv9a4Pj_A7IBIjKoge0","slug":"saylor-innovations-implied-volatility-solver-cb48d476","name":"Saylor Innovations Implied Volatility Solver","description":"Solve implied volatility from an observed option price using Black-Scholes, with delta, vega, a volatility regime label and the pricing error","url":"https://saylorinnovations.com/api/finance/implied-vol?utm_source=zero.xyz","method":"GET","headers":{},"bodySchema":{"type":"object","$schema":"https://json-schema.org/draft/2020-12/schema","required":["input"],"properties":{"input":{"type":"object","required":["type","method"],"properties":{"type":{"type":"string","const":"http"},"method":{"enum":["GET"],"type":"string"},"queryParams":{"type":"object","required":["s","k","t","price"],"properties":{"k":{"type":"string","description":"Strike"},"r":{"type":"string","description":"optional risk-free rate decimal, default 0.04"},"s":{"type":"string","description":"Spot price"},"t":{"type":"string","description":"Years to expiry"},"type":{"type":"string","description":"call (default) or put"},"price":{"type":"string","description":"Observed option price"}}}},"additionalProperties":false},"output":{"type":"object","required":["type"],"properties":{"type":{"type":"string","const":"json"},"example":{"type":"object","required":["inputs","implied_volatility","implied_volatility_percent"],"properties":{"note":{"type":"string","description":"Caveat or context for reading the result"},"delta":{"type":"number","description":"Option delta at the implied volatility"},"inputs":{"type":"object","properties":{"spot":{"type":["number","null"],"description":"Underlying price"},"type":{"type":["string","null"],"description":"Type or kind"},"strike":{"type":["number","null"],"description":"Option strike price"},"market_price":{"type":["number","null"],"description":"Market price"},"dividend_yield":{"type":["number","null"],"description":"Dividend yield"},"risk_free_rate":{"type":["number","null"],"description":"Risk free rate"},"years_to_expiry":{"type":["number","null"],"description":"Years to expiry"}},"description":"Inputs used to solve the implied volatility"},"regime":{"type":"string","description":"Volatility regime label such as low, moderate or high"},"source":{"type":"string","description":"Data source the values come from"},"pricing_error":{"type":"number","description":"Pricing error"},"model_price_at_iv":{"type":"number","description":"Model price at iv"},"implied_volatility":{"type":"number","description":"Implied volatility"},"vega_per_vol_point":{"type":"number","description":"Vega per vol point"},"implied_volatility_percent":{"type":"number","description":"Implied volatility, as a percentage"}}}}}}},"responseSchema":null,"example":null,"exampleRequest":null,"tags":["x402"],"displayCostAmount":"0.01","displayCostAsset":"USDC","priceDynamic":false,"priceHint":null,"priceStatus":"priced","priceSource":"probe","requiresHandshake":false,"reviewCount":0,"rating":{"score":"0.00","successRate":"0.00","reviews":0,"stars":null,"state":"unrated"},"availabilityStatus":"unknown","priceObserved":null,"sessionDeposit":null,"pricing":{"kind":"static","summary":"$0.01/call","primary":{"kind":"static","protocol":"x402","network":"base","amountUsd":"0.01","per":"call","confidence":"exact"},"accepted":[{"kind":"static","protocol":"x402","network":"base","amountUsd":"0.01","per":"call","confidence":"exact"}]},"paymentMethods":[{"uid":"pm_r_8E-AejBeU71RjKXODqk","protocol":"x402","methodType":"crypto","chain":"base","mode":"charge","costAmount":"0.01","costPer":"request","priority":0,"asset":"0x833589fCD6eDb6E08f4c7C32D4f71b54bdA02913","unit":"request","depositMicros":null,"planRef":null}],"brandName":null,"brandSlug":null,"brandBaseUrl":null,"brandDocsUrl":null,"whatItDoes":"Solves implied volatility from an observed option price using Black-Scholes, returning IV, delta, vega, volatility regime label, and pricing error","exampleAgentPrompt":"What's the implied volatility for a call option with a spot price of $150, strike of $155, 0.25 years to expiry, and a market price of $3.80? Also give me the delta, vega, and tell me what volatility regime it's in.","exampleUseCases":[{"title":"Equity option IV check before trade","prompt":"I'm looking at a call on a stock trading at $420, strike $430, expiring in 3 months (0.25 years), priced at $12. Can you solve the implied volatility and tell me what regime we're in — low, moderate, or high?"},{"title":"Put option pricing error analysis","prompt":"I have a put option where the underlying is at $100, strike is $95, time to expiry is 0.5 years, and the market price is $4.50. Solve the implied vol and show me the Black-Scholes pricing error versus the market price."},{"title":"Risk-free rate sensitivity on IV","prompt":"Can you compute implied volatility for a call option: spot $200, strike $205, 0.1 years to expiry, market price $3.20, using a risk-free rate of 5.25%? I want the delta and the volatility regime label too."}],"resultDescription":"Returns a JSON object containing: the solved implied volatility as a decimal and percentage, option delta and vega at the derived IV, a qualitative volatility regime label (e.g. low, moderate, high), a pricing error between the market price and the Black-Scholes model price, the model price at IV, a source field, a note with caveats, and an echo of all inputs used in the calculation.","failureModes":["Option price outside Black-Scholes bounds (e.g. below intrinsic value) causes IV solver to fail to converge","Missing required parameters (s, k, t, price) returns a validation error","Non-numeric string values for numeric fields cause parsing errors","Very short time to expiry (near zero) can produce extreme or undefined IV values","Put/call flag misspecified leads to incorrect IV solve and misleading greeks"],"whenToPreferThis":"Choose this endpoint when you need to back out implied volatility from an observed market option price using the Black-Scholes model, especially when you also want greeks (delta, vega) and a human-readable volatility regime classification alongside the raw IV figure. Prefer this over building your own Newton-Raphson or bisection solver, and when you need a quick per-call computation without maintaining a local options library. Best suited for single-option IV lookups rather than bulk surface fitting.","instructions":null,"reviewSummary":null,"reviewSummaryHighlights":null,"reviewSummaryConcerns":null,"reviewSummaryGeneratedAt":null,"activationCount":0,"lastUsedAt":null,"lastSuccessfullyRanAt":null,"lastHealthCheckAt":"2026-10-18T12:56:29.029Z","isFirstParty":false,"canonicalSlug":"saylor-innovations-implied-volatility-solver-cb48d476"}