Pricing tools

The Black-Scholes pricer

The BS panel is a calculator. Pick a symbol, plug in a strike, an expiry (or DTE in days), and an IV. The panel spits out:

• Fair value for the call and put at that strike.
• Delta, sensitivity to spot.
• Gamma, second derivative, ∂Δ/∂S.
• Theta, daily decay, in dollars per day.
• Vega, sensitivity to a 1pp IV change.
• Rho, sensitivity to interest rates (less relevant in crypto where the rate input is small).

The model is standard Black-Scholes. For weekend / overnight option pricing on crypto, the math is identical, there's no early exercise question (Deribit options are European cash-settled), and the no-dividend assumption holds.

The IV solver

The IVSOLVE panel inverts the pricer. You give it a target premium and the other inputs (spot, strike, DTE); it solves for the IV that produces that premium under Black-Scholes.

The output is the IV the market is pricing for that contract. Same number you can read off the chain, but useful when:

• You're looking at a custom strike that isn't on the standard ladder and want to know what IV your bid implies.
• You're thinking about an OTC trade or a structured position and need to back out the implied IV from the quoted price.
• You want to compare what IV your premium target implies against the surface fit (see surface fit) to judge whether the trade is rich or cheap.

Workflow with the strategy builder

The pricer is most useful as a fast sanity-check before you add a leg to the strategy builder. Open BS with your contract details, eyeball the greeks, then drop the leg into STRATEGY for the full multi-leg view. The pricer keeps the strategy builder honest: a position made of legs that look reasonable individually can have surprising aggregate greeks; the pricer's per-leg view is the baseline you compare against.