Pricer

• Super-fast and robust pricing of European and American vanillas, with accurate handling of cash dividends.
• Prices the whole US options universe on one box in a fraction of a second (without a table method!).
• Choice of several dividend pricing models actually used by the most successful options trading firms.
• Covers options on stocks, ETFs, futures, and indices.
• Handles large borrow costs and any number of cash dividends.
• Has all greeks: delta, gamma, vega, volga, vanna, rho, rhoBorrow, theta, fugit.
• Smart delta and gamma account for how vol moves when spot moves (the Skew Stickiness Ratio). The correction to Black-Scholes delta can be several percentage points for index options.
• Two thetas, reported separately: vol-time theta (how much optionality decays) and calendar-time theta (how much interest accrues). A straddle has mostly vol-time theta; a box has only calendar-time theta. They are different risks.
• Configurable time conventions: calendar days, trading days, event-adjusted — match your existing desk framework.
• Discrete one-day theta: the actual P&L from holding overnight, accounting for weekends, holidays, and events.
• Fast and accurate implied vol calculation for any dividend model.

Greeks as a Function of Strike