Pricing Model
Rails prices options with the Black-76 model, which values an option from the forward price of the underlying (its expected price at expiry) and an annualized risk-free rate. Each contract publishes three prices, one per side of the market:| Field | Meaning |
|---|---|
markPrice | Fair value from mark IV — used for margin and PnL |
bidPrice | Buy-side reference price, from bid IV |
askPrice | Sell-side reference price, from ask IV |
Implied Volatility
Implied volatility is the market’s expectation of future movement, backed out of an option’s price. It is published per side asmarkIV, bidIV, and askIV (annualized
decimals — 0.55 = 55%). The Get Contract Pricing
endpoint works in reverse: give it a candidate price and it returns the implied volatility
and Greeks for that price.
Greeks
Greeks describe how an option’s value responds to changing conditions:| Greek | Sensitivity to… |
|---|---|
delta | a 1 move in the underlying price |
gamma | the rate of change of delta as the underlying moves |
vega | a change in implied volatility |
theta | the passage of time (time decay) |
rho | a change in the risk-free rate |
Greeks are normalized to match market convention before publishing: vega is per 1% IV
change, theta is daily decay, and rho is per 1% rate change. See
Normalization for the exact
conversions.
Where to Get the Numbers
- Live: subscribe to the Contracts Stream for mark price, IV, and Greeks that update as the market moves.
- For a specific order: call Get Contract Pricing with your intended side, price, and quantity to preview IV, Greeks, margin, and fees before you submit.