🧮 Options Pricing Model

How to calculate Mark Price and Risk Premium for Options

To calculate the fair price of a tradable options position, Moby uses the Black-76 model, which assumes that the futures price of a given underlying asset follows a log-normal shape with constant sigma (volatility).

The Black-76 formula is essentially similar to the Black-Scholes formula for pricing options, except that the spot price of the underlying asset is replaced by the discounted futures price.