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Options Analytics

Theoretical Option Pricer

Cboe's Theoretical Option Pricer delivers a real-time theoretical price and full Greeks for listed, FLEX, and hypothetical options, without the cost or complexity of building an in-house pricing model.

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Key Features

Everything You Need In One Response

Multi-model volatility surfaces

Built from a multi-model framework with real-time parameter calibration — including SABR, Merton Jump-Diffusion, and Mixture Models — to capture the full complexity of market dynamics. Detailed methodology documentation available upon request.

Single or multi-contract pricing

Price one or multiple contracts in a single request for a given underlier, including non-executed and hypothetical structures.

RESTful API delivery

Delivered as a RESTful API endpoint that integrates seamlessly into existing workflows and systems with minimal development overhead.

Deep historical coverage

Historical analysis is available dating back to March 2022.

How It Works

From Market Data to an Actionable Price

Step 1

Submit a request

Symbol, strike, expiration, and option type

Step 2

Reference the volatility surface

Continuously calibrated in real time, not a stale end-of-day snapshot

Step 3

Compute the Model Fitted Theo

Cboe's multi-model volatility framework: SABR, Merton Jump-Diffusion, and Mixture Models

Step 4

Get price & Greeks back

Ready to trade, hedge, quote, or report on: for listed, FLEX, or hypothetical options

GETRequest
https://api.cboe.com/analytics/v1/theo-pricer/?symbol=SPX&strike=5000&expiration=2026-12-18&type=call
200 OKResponse
{
  "symbol": "SPX",
  "strike": 5000,
  "expiration": "2026-12-18",
  "type": "call",
  "theoreticalPrice": 142.35,
  "impliedVolatility": 0.184,
  "delta": 0.52,
  "gamma": 0.0021,
  "vega": 18.42,
  "theta": -3.15,
  "timestamp": "2026-08-20T14:32:01.012Z"
}

API Delivery

Delivered as a Single RESTful API Call

No files to move, no batch jobs to schedule. Query the Theoretical Option Pricer directly over REST pass a symbol, strike, expiration, and option type, and get back a real-time value you can act on.

  • Price hypothetical and FLEX contracts the same way you'd price a listed strike or expiry
  • One response covers the theoretical price, implied volatility, and the full Greeks suite delta, gamma, vega, theta, and rho with no separate calls needed
  • Same request shape whether you integrate via streaming, files, or a deployed instance

Use Cases

Who It's For

ETF Issuers

Cost benefit and mark to model analysis to support evaluation of custom FLEX versus listed options, including modeling of return, theta, and volatility exposure where public quotes are unavailable.

Market Makers

Real time theoretical pricing to support FLEX option quoting, delta hedging, and volatility surface calibration in active trading environments.

Asset Managers

Custom hedge evaluation and performance attribution to assess FLEX strategies against listed alternatives, including strategy backtesting and risk and return analysis.

Broker Dealers

Structured product pricing and client advisory to support risk transfer pricing, product structuring, and institutional guidance on FLEX execution.

Hedge Funds

Volatility strategy research and Greeks generation, with custom implied volatility surfaces supporting model driven strategies such as volatility trading, dispersion, and skew positioning.

Exchanges and Clearing Houses

Risk margining and stress testing supported by theoretical pricing models, enabling fair value reporting and robust margin frameworks for FLEX contracts.

Key Resources

Theoretical Option Pricer

Expert Solutions Await

Let us know how we can help and we'll have a Cboe Data Vantage expert reach out to you.

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