MCP For Claude Marketplace
Implied Volatility Calculator

Implied Volatility Calculator MCP Connector for Claude

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Deterministic engine for calculating implied volatility via Newton-Raphson iteration.

3 tools Official Updated Oct 1, 2026 Official Vinkius Partner
More Details Connect to Claude

This MCP server provides high-precision tools for quantitative finance. It uses the Newton-Raphson method to solve for implied volatility by iteratively adjusting estimates based on the Black-Scholes model and Vega. Users can calculate the implied volatility for a single option using calculate_single_iv, map the volatility smile across multiple strikes with calculate_volatility_smile, or analyze the volatility term structure across different expirations using calculate_volatility_term_structure.

optionsblack-scholesvolatilityquantitative-financenewton-raphson

3 tools expose this connector's capabilities to your AI agent.

calculate_single_iv

Calculates the implied volatility for a single European option using the Newton-Raphson method

calculate_volatility_term_structure

Generates a set of implied volatilities across different expiration dates to visualize the volatility term structure

calculate_volatility_smile

Generates a set of implied volatilities across multiple strike prices to visualize the volatility smile

See how to talk to your AI agent using Implied Volatility Calculator.

What is the implied volatility for a call option with a market price of 5.0, underlying price of 100.0, strike of 105.0, 0.5 years to expiration, and a 5% risk-free rate?

The implied volatility for this option is 0.2456.

Calculate the volatility smile for an underlying price of 100.0, 1 year to expiration, 5% risk-free rate, for call options with strikes [90, 100, 110] and market prices [15.0, 7.0, 3.0].

The volatility smile is: strike 90: 0.285, strike 100: 0.221, strike 110: 0.184.

Show me the volatility term structure for a strike of 100.0, underlying price 100.0, 5% risk-free rate, for expirations of 0.2, 0.5, and 1.0 years with market prices [4.5, 6.0, 8.5].

The volatility term structure is: 0.2 years: 0.21, 0.5 years: 0.23, 1.0 years: 0.25.

The engine uses the Newton-Raphson iteration method, which utilizes Vega to converge on the volatility that matches the observed market price.

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