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OCX prices options with the Black-76 model applied to an implied-volatility surface fitted to observed market quotes. This is the standard framework for options on futures, and it lets OCX produce a smooth, arbitrage-aware price for every listed strike and expiry — including strikes where the exchange feed is sparse.

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Implied volatility

The single input that isn’t directly observable in an option price is volatility — the market’s expectation of how much the underlying will move. Given an option’s market price, OCX inverts the Black-76 formula to solve for the implied volatility (IV) consistent with that price. IV is the natural currency of options: it is comparable across strikes and expiries in a way that raw premiums are not.

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The volatility smile and surface

If you plot implied volatility against strike for a single expiry, you do not get a flat line — you get a smile (or skew): out-of-the-money options typically trade at different IVs than at-the-money options, because markets price in fat tails and directional risk. Stacking these smiles across every listed expiry produces the volatility surface: IV as a function of both strike and time to maturity. OCX fits a parametric surface to the market’s traded quotes. The fit is performed in a no-arbitrage-aware way, using the most reliable quotes around the money and weighting them by how much they should count. The resulting surface is checked for consistency both across strikes and across expiries:
  • No butterfly arbitrage — the smile stays convex, so the implied risk-neutral distribution is always valid.
  • No calendar arbitrage — longer-dated total variance never falls below shorter-dated, so time value is monotone.
A well-behaved surface means the entire option board is priced coherently rather than each strike drifting on its own.

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Marks come from the surface

Every option’s OCX mark is generated from the fitted surface, not from a single raw quote:
1

Read IV off the surface

OCX reads the option’s implied volatility off the fitted surface at that strike and maturity.
2

Price with Black-76

It plugs that IV — together with the relevant forward (from the futures curve), strike, and time to expiry — into Black-76 to produce a theoretical price.
3

Place bid and ask

Bid and ask are placed symmetrically around that theoretical value, widened by an amount proportional to the option’s vega (its sensitivity to volatility), so quotes are wider where volatility risk is larger.
Because all strikes are priced off one consistent surface and a common forward, the board respects put-call parity and the wings remain sensibly priced even where the underlying market is illiquid. Greeks (delta, vega, and so on) are computed from the same fitted slice the price came from, so an option’s risk metrics are always consistent with its displayed mark. OCX also publishes a volatility index (a DVOL-style measure) summarizing the overall level of implied volatility for an underlying, derived from the same surface — see GET /markets/dvol. The full board, with marks and IVs for every strike and expiry, is available via GET /markets/board and its streaming counterpart GET /markets/board/stream.