MLink Live Calculators

SpiderRock provides several live calculators via MLink that allow clients to perform real-time option pricing and risk calculations. These calculators are available through both the MLink/WebSocket API and MLink/REST API.

Overview

MLink calculators enable clients to:

• Calculate option prices and Greeks in real-time
• Override default parameters (volatility, underlying price, rates, etc.)
• Process both Listed and FLEX options
• Perform calculations on individual options, spreads, or baskets

To use these calculators, clients must:

1. Secure an MLink API Key
2. Connect to an MLink/WebSocket or REST server
3. Send appropriate calculation request messages

Available Calculators

1. Option Basket Calculator

The Option Basket Calculator allows clients to send a collection of option definitions (both FLEX and Listed) grouped into a basket for batch calculation. Clients can define baskets, override default values, and request recalculation on demand.

Key Messages

Message	Source	Description
OptionItemDef	Client	Define options in the basket (Listed or FLEX)
GetOptionBasket	Client	Trigger basket calculation
OptionItemCalc	Server	Calculated results for basket items

Workflow

1. Client Sends OptionItemDef Objects:

   • Send multiple OptionItemDef objects to the MLink server
   • Each object represents an option with key details (option key, volatility, underlying price, rate, etc.)
   • Include a basketNumber field to group options into a single basket

2. Client Requests Recalculation with GetOptionBasket:

   • Send GetOptionBasket specifying the basketNumber
   • This triggers server-side calculations for all options in the basket

3. Server Processes the Request:

   • Server recalculates details for each option in the basket
   • Computations based on parameters provided in OptionItemDef objects

4. Server Sends OptionItemCalc Objects:

   • Server responds with multiple OptionItemCalc JSON objects
   • Each contains recalculated option details (Greeks, price, error messages)

Features

• Works with Listed options, FLEX options or mixed baskets
• Override default values (volatility, underlying price, rate, model type)
• Batch processing for portfolio-level analysis
• Available via both WebSocket and REST APIs

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2. Flex Spread Calculator

The FLEX Spread Calculator enables real-time pricing and risk analysis of multi-leg FLEX option strategies. It supports option spreads where the user can set a desired target premium (e.g., for zero-collar spreads), by designating (at most) one leg to have a variable strike that is solved for in order to deliver this target.

Key Messages

Message	Source	Description
GetFlexSpreadPrice	Client	Live spread pricer with variable strike support

GetFlexSpreadPrice

A comprehensive spread pricing calculator that can handle FLEX options with support for setting target spread premiums by way of a variable strike leg.

Input Parameters

General Parameters:

• uPrc: Live underlying price (if not supplied, uses market price)
• fixedPremUPct: Target premium as % of underlying (required if using PctVariable strike; can be negative, 0, or positive)
• incGreeks: Include Greeks calculation (Yes/No)

Leg Definition (repeatable for each leg; underlying ticker must be the same for all legs):

• okey: Option key (OSI format; strike can be zero for variable strike leg)
• side: Buy or Sell
• ratio: Leg ratio (default: 1)
• strikeType: Strike specification type
  • DollarAmt: Fixed dollar strike
  • Percent: Percentage of underlying
  • PctVariable: Variable strike (exactly one leg allowed)
• flexTypeOut: FLEX type decoded from option key

Output Values

Aggregate Spread Results:

• ticker: Underlying ticker (must be same for all legs)
• sprdPrem: Total spread premium ($)
• Spread Greeks: sprdDelta, sprdGamma, sprdTheta, sprdVega, sprdVolga, sprdVanna, sprdRho, sprdPhi
• calcDetail: Calculation details
• error: Overall calculation errors
• timestamp: Calculation timestamp

Per-Leg Calculations:

• vYearsOut: Volatility years to expiry
• dYearsOut: Calendar days to expiry / 365.0
• sdivOut: Continuous dividend yield
• rateOut: Discount rate
• effStrikeOut: Effective strike (implied surface strike if PctVariable)
• sVolOut: Leg surface volatility
• sPrcOut: Leg surface price
• Greeks: deltaOut, gammaOut, thetaOut, vegaOut, volgaOut, vannaOut, rhoOut, phiOut
• errorOut: Per-leg error messages

Key Features

• Works with FLEX options
• Handles multiple legs
• Supports variable strike legs (one per spread)
• Real-time pricing with live market data

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3. Single Option Calculator

The Single Option Calculator provides detailed pricing and risk metrics for individual options, with two primary calculation modes: price-to-volatility and volatility-to-price.

Key Messages

Message	Source	Description
GetOptionPrice	Client	Calculate option price from volatility
GetOptionVolatility	Client	Calculate implied volatility from price

GetOptionPrice

Calculate theoretical option price and Greeks given volatility and other parameters.

Input Parameters

• Option Key: Can be Listed or FLEX
• Override Values:
  • vol: Volatility (uses SR surface if not supplied)
  • uPrc: Underlying price
  • years: Years to expiration
  • sdiv: Continuous dividend yield
  • rate: Discount rate
  • exType: Exercise type (American/European)
  • exTime: Exercise time (AM/PM)
  • holidayCalendar: Holiday calendar code
  • timeMetric: Time metric (D252, D365, etc.)
  • modelType: Calculation model type
  • calcEngine: Numeric engine (FastHybrid, NumericLow/Std/Max)
  • incGreeks: Include Greeks calculation (Yes/No)
  • DiscreteDividend: (optional) if not supplied will be inferred from optionable ticker (if possible)

Calculated Values

• Price: Theoretical option premium
• Greeks: Full set if incGreeks is set to Yes
• Additional Metrics: Effective strike, interest days, dividend Amount + Present Value

GetOptionVolatility

Calculate implied volatility given option price and other parameters.

Input Parameters

• Option Key: Can be Listed or FLEX
• Override Values:
  • price: Option Premium (must be supplied)
  • uPrc: Underlying price
  • years: Years to expiration
  • sdiv: Continuous dividend yield
  • rate: Discount rate
  • exType: Exercise type (American/European)
  • exTime: Exercise time (AM/PM)
  • holidayCalendar: Holiday calendar code
  • timeMetric: Time metric (D252, D365, etc.)
  • modelType: Calculation model type
  • calcEngine: Numeric engine (FastHybrid, NumericLow/Std/Max)
  • incGreeks: Include Greeks calculation (Yes/No)
  • DiscreteDividend: (optional) if not supplied will be inferred from optionable ticker (if possible)

Calculated Values

• Implied Volatility: Calculated from given price
• Greeks: Full set if incGreeks is set to Yes
• Additional Metrics: Effective strike, dividend Amount

Calculation Engines

• FastHybrid: Optimized for listed strikes with SR discrete dividends (fastest)
• NumericLow:
• NumericStd:
• NumericMax: Maximum precision (slowest, most accurate)

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Common Features

Parameter Overrides

All calculators support overriding default values:

• Volatility: Custom implied volatility
• Underlying Price: Alternative spot price
• Interest Rate: Custom risk-free rate
• Dividend Yield: Override dividend assumptions
• Pricing Model: Choose between models

FLEX Options Support

For FLEX options, the calculators use FLEX Volatility Interpolation to calculate appropriate volatility values.

Error Handling

Each calculator response includes:

• Calculation status
• Error codes and messages
• Warnings for edge cases
• Pricing input quality indicators

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Getting Started

1. Review the general MLink/WebSocket API documentation
2. Obtain API credentials via API Keys
3. Test with Postman examples

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Additional Resources

• MLink REST API
• MLink WebSocket
• FLEX Volatility Interpolation