canli-mcp / Option pricing

How do I price an option with Black-Scholes in Claude?

canli-mcp's black_scholes tool prices a European call or put and returns its greeks, computed exactly on your machine rather than estimated by the model. implied_volatility, american_option and option_strategy_payoff cover the rest.

Add to CursorAdd to VS Code

Free and MIT-licensed. No account and no API key. Or run claude mcp add canli -- npx -y canli-mcp in Claude Code.

Ask it

Price a six-month call, strike 105, spot 100, 25% volatility.

The agent finds the tool through canli-mcp's find_tool and runs it through run_tool. This is the call:

{
  "name": "black_scholes",
  "arguments": {
    "type": "call",
    "spot": 100,
    "strike": 105,
    "years": 0.5,
    "rate": 0.04,
    "volatility": 0.25
  }
}

What came back

Recorded from canli-mcp 0.11.1 on 2026-10-25, with no API key set. The model read 328 characters.

The result black_scholes sent back
{
  "ref": "r20",
  "price": 5.77994,
  "delta": 0.470317,
  "gamma": 0.0225051,
  "vega": 28.1314,
  "theta": -8.68291,
  "rho": 20.6259,
  "vanna": 0.399827,
  "volga": 2.10551,
  "charm": -0.189977,
  "speed": -0.00013024,
  "d1": -0.0744734,
  "d2": -0.25125,
  "prob_itm": 0.40081,
  "units": "vega and rho per 1.00 (x0.01 per point); theta per year (/365 per day); charm per year."
}

Prices, filings and statistics are as the sources published them on that day; run the call again for today's. Nothing here is investment advice.

The tools behind the answer

From canli-mcp's tool index
ToolPackWhat it does
black_scholesquantPrice a European option under Black-Scholes-Merton with a dividend yield, with delta, gamma, vega, theta, rho, vanna, volga, charm, speed and the risk-neutral probability of finishing in the money.
implied_volatilityquantSolve for the Black-Scholes-Merton implied volatility of a European option from its price, refusing prices outside no-arbitrage bounds.
american_optionquantPrice an American option with a dividend yield (binomial Black-Scholes with Richardson extrapolation), with the European price and the early-exercise premium.
option_strategy_payoffquantEvaluate a multi-leg options position at expiry (calls, puts, underlying): net premium, payoff and profit at chosen prices, breakevens, and maximum profit and loss.

Add canli-mcp

Claude Code
claude mcp add canli -- npx -y canli-mcp
Cursor, Claude Desktop or any MCP client
{ "mcpServers": { "canli": { "command": "npx", "args": ["-y", "canli-mcp"] } } }
claude.ai, ChatGPT or any client that takes a URL
https://canlicapital.com/mcp/canli

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