GetLastQuoteOptionGreek : Returns Last Traded Option Greek values of Single Symbol (detailed)
Supported parameters
| Exchange | String value like NFO | Mandatory parameter.Name of supported exchange. How to get list of supported exchanges you can find here |
| Token | Token number of instrument | How to get list of available token numbers of instruments you can find here |
| detailedInfo | [true]/[false], default = [false] | Optional parameter. By default function will return limited fields in response, function will return additional fields in response when this parameter is set as true. |
What is returned ?
| Exchange, Token(TokenNumber of Symbol), Timestamp, IV, Delta, Theta, Vega, Gamma, IVVwap, Vanna, Charm, Speed, Zomma, Color, Volga, Veta, ThetaGammaRatio, ThetaVegaRatio, DTR |
Sample request(JavaScript)
{
MessageType: "GetLastQuoteOptionGreeks",
Exchange: "NFO",
Token: "74241"
};
var message = JSON.stringify(request);
websocket.send(message);
Example of returned data in JSON format
{
"Exchange":"NFO",
"Token":"74241",
"Timestamp":1777888199,
"IV":0.3248942792415619,
"Delta":0.008018498308956623,
"Theta":-1.100000023841858,
"Vega":0.2815832793712616,
"Gamma":5.273253918858245E-05,
"IVVwap":0.28445038199424744,
"Vanna":0.001736388192512095,
"Charm":-0.008018498308956623,
"Speed":3.0339859335981595E-07,
"Zomma":8.013773367565591E-06,
"Color":-5.273253918858245E-05,
"Volga":0.05277629569172859,
"Veta":-0.2815832793712616,
"ThetaGammaRatio":-20859.986328125,
"ThetaVegaRatio":-3.906481981277466,
"DTR":-0.0072895437479019165,
"MessageType":"LastQuoteOptionGreeksResult"
}
FAQ
| We are receiving these values directly from NSE. Here are some FAQs which you may find useful : 1. Which model is used to compute Implied Volatility ? Is it Black Scholes or Black 76 ? Response: Black Scholes Model 2. If it is Black Scholes model, what is the interest rate assumed ? Response: Black Scholes Model, underlying, is taken as Futures or Synthetic futures( in case of expiries where future is not available). Thus Spot Price and Interest rate as a parameter gets removed |
