Theoretical Options Prices, Greeks, Volatilities



Benzinga offers arb-free theoretical option price calculations based on real-time or historical data. Option markets often lack liquidity in certain strikes, and the task of determining the market price or a fair settlement price of a certain security is not always trivial. Benzinga derives the best possible option prices from whatever market data is available.

Data type:

  • Arb-free theoretical option prices

Key benefits:

  • Smooth price and volatility curves
  • Prices are arbitrage free across the option class
  • Best fits the market prices available
  • Works well on low liquidity and high liquidity markets as well as in crash scenarios
  • Fast enough to be used in real time

We offer:

  • Efficient high-performance hosted calculation
  • Efficient in-transit wire data compression
  • 24x7x365 monitoring and support
Learn More
  • Web API
  • Streaming

Theoretical Options Prices, Greeks, Volatilities

By Benzinga

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