{"uid":"cap_WknESTY8hp6IjEliDZWh6","slug":"derivatives-pricer-portfolio-net-greeks-52a89ca4","name":"Derivatives Pricer – Portfolio Net Greeks","description":"x402-paid Black-Scholes European option pricing, Greeks, IV surfaces, price/scenario on submitted smiles (TV bilinear), portfolio risk, free demo, and MCP. USDC exact on Solana (PayAI) and/or Base (CDP when configured). Receive wallets appear only in HTTP 402, never on free discovery.","url":"https://derivatives-pricer-production.up.railway.app/v1/portfolio/greeks?utm_source=zero.xyz","method":"POST","headers":{},"bodySchema":{"type":"object","properties":{"rate":{"type":"number"},"positions":{"type":"array","items":{"type":"object","required":["underlying","strike","timeToExpiry","optionType","quantity","volatility"],"properties":{"strike":{"type":"number","exclusiveMinimum":0},"quantity":{"type":"number","description":"Position size; >0 long, <0 short; must be non-zero"},"optionType":{"enum":["call","put"],"type":"string"},"underlying":{"type":"number","description":"Underlying S for this leg","exclusiveMinimum":0},"volatility":{"type":"number","description":"Annualized vol σ for this leg","exclusiveMinimum":0},"timeToExpiry":{"type":"number","minimum":0}},"additionalProperties":false},"maxItems":100,"minItems":1},"optionStyle":{"enum":["european","american"],"type":"string","default":"european","description":"Exercise style (default \"european\")."},"dividendYield":{"type":"number","minimum":0},"includeDollarGreeks":{"type":"boolean","description":"If true, include cash delta/gamma and per-point vega/theta/rho scalings"}}},"responseSchema":{"type":"json","example":{"net":{"mtm":47.16439511,"greeks":{"rho":858.77721991,"vega":176.68540458,"delta":9.05941615,"gamma":0.09736793,"theta":-58.62185203},"dollarGreeks":{"deltaCash":905.941615,"gammaCash":486.8396,"rhoPerPoint":8.5877722,"thetaPerDay":-0.16060781,"vegaPerPoint":1.76685405}},"legs":[{"index":0,"price":10.45057562,"greeks":{"rho":532.32483426,"vega":375.24034692,"delta":6.3683059,"gamma":0.18762017,"theta":-64.1402764},"strike":100,"quantity":10,"optionType":"call","underlying":100,"volatility":0.2,"contribution":104.50575619,"timeToExpiry":1},{"index":1,"price":11.46827222,"greeks":{"rho":326.45238565,"vega":-198.55494233,"delta":2.69111025,"gamma":-0.09025225,"theta":5.51842437},"strike":110,"quantity":-5,"optionType":"put","underlying":100,"volatility":0.22,"contribution":-57.34136108,"timeToExpiry":1}],"requestId":"00000000-0000-4000-8000-000000000004","computedAt":"2026-01-01T00:00:00.000Z","positionCount":2}},"example":null,"exampleRequest":null,"tags":["x402"],"displayCostAmount":"0.15","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":"$0.15/call","primary":{"kind":"static","protocol":"x402","network":"base","amountUsd":"0.15","per":"call","confidence":"exact"},"accepted":[{"kind":"static","protocol":"x402","network":"base","amountUsd":"0.15","per":"call","confidence":"exact"}]},"paymentMethods":[{"uid":"pm_2npek-5Qv6df4w1Y3QhEu","protocol":"x402","methodType":"crypto","chain":"base","mode":"charge","costAmount":"0.15","costPer":"request","priority":0,"asset":"EPjFWdd5AufqSSqeM2qN1xzybapC8G4wEGGkZwyTDt1v","unit":"request","depositMicros":null,"planRef":null}],"brandName":null,"brandSlug":null,"brandBaseUrl":null,"brandDocsUrl":null,"whatItDoes":"Computes aggregate (net) Black-Scholes Greeks and mark-to-market for a multi-leg options portfolio, with optional dollar-scaled Greeks, paid per-call via USDC on Solana or Base.","exampleAgentPrompt":"Can you calculate the net portfolio Greeks for two positions: long 10 calls on a $100 underlying with $100 strike, 1 year to expiry, and 20% vol; plus short 5 puts on the same underlying with $110 strike, 1 year to expiry, and 22% vol? Use a 0% risk-free rate and include dollar Greeks.","exampleUseCases":[{"title":"Straddle risk dashboard","prompt":"I'm holding a long straddle — 5 at-the-money calls and 5 at-the-money puts on an underlying trading at $150, both struck at $150 with 6 months to expiry and 25% implied vol. What are the net delta, gamma, vega, and theta for the whole position at a 4% risk-free rate?"},{"title":"Iron condor net Greeks check","prompt":"I have an iron condor: long 1 put at $90 strike, short 1 put at $95, short 1 call at $105, long 1 call at $110 — all with the underlying at $100, 3 months to expiry, 18% vol, and a 5% risk-free rate. Give me the combined Greeks and total MtM for the book."},{"title":"Dollar-scaled Greeks for hedging","prompt":"I need dollar Greeks for my book: long 20 calls struck at $200 on a $205 underlying with 45 days to expiry and 30% vol, and short 10 calls struck at $210 same underlying same expiry at 32% vol. Risk-free rate is 5% — please include cash delta and gamma-cash so I know my actual dollar exposure."}],"resultDescription":"Returns a JSON object with net portfolio MtM and net Greeks (delta, gamma, vega, theta, rho), optionally dollar-scaled Greeks (deltaCash, gammaCash, thetaPerDay, vegaPerPoint, rhoPerPoint), plus a per-leg breakdown with each leg's price, Greeks, and portfolio contribution. Includes a requestId and computedAt timestamp.","failureModes":["Missing required per-leg fields (underlying, strike, timeToExpiry, optionType, quantity, volatility) returns 400 validation error","Zero quantity or zero strike rejected by schema exclusiveMinimum constraints","Payment failure (insufficient USDC balance or unsupported chain) returns 402 Payment Required","More than 100 positions in the array returns 400 (maxItems exceeded)","Very short timeToExpiry (approaching 0) may produce numerically unstable Greeks near expiry","Non-positive underlying or volatility values rejected by exclusiveMinimum constraints"],"whenToPreferThis":"Choose this endpoint when you need aggregated, portfolio-level Greeks and MtM across multiple option legs simultaneously rather than pricing each leg individually. It handles netting (longs and shorts offset each other correctly via signed quantities) in a single call. Prefer it over the single-premium endpoint when you have 2+ legs and need net risk sensitivities for hedging or margin calculations. The dollar Greeks option makes it especially useful when translating theoretical Greeks into cash exposures for practical risk management.","instructions":null,"reviewSummary":null,"reviewSummaryHighlights":null,"reviewSummaryConcerns":null,"reviewSummaryGeneratedAt":null,"activationCount":0,"lastUsedAt":null,"lastSuccessfullyRanAt":null,"lastHealthCheckAt":"2026-10-11T06:34:10.294Z","isFirstParty":false,"canonicalSlug":"derivatives-pricer-portfolio-net-greeks-52a89ca4"}