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Every contract carries a mark price, implied volatility (IV), and a full set of Greeks, published live on the Contracts Stream. This guide explains what they mean; for the underlying math see the Pricing & Greeks formulas.

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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:

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Implied Volatility

Implied volatility is the market’s expectation of future movement, expressed as the volatility input to the Black-76 model — it’s what markPrice, bidPrice, and askPrice are computed from. It is published per side as markIV, bidIV, and askIV (annualized decimals — 0.55 = 55%). Going the other way — from a candidate price to its implied volatility and Greeks — is the Black-76 inversion described in the Pricing & Greeks Formulas.

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Greeks

Greeks describe how an option’s value responds to changing conditions:
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.

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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 price: compute IV and Greeks yourself with the Black-76 Formulas.