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Version: Upcoming

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​

MessageSourceDescription
OptionItemDefClientDefine options in the basket (Listed or FLEX)
GetOptionBasketClientTrigger basket calculation
OptionItemCalcServerCalculated 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

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​

MessageSourceDescription
GetFlexSpreadPriceClientLive 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

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​

MessageSourceDescription
GetOptionPriceClientCalculate option price from volatility
GetOptionVolatilityClientCalculate 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)

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

Getting Started​

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

Additional Resources​