GetLastQuoteArrayOptionGreeks: Returns Last Traded Option Greek values of multiple Symbols – max 25 in single call (detailed)

Supported parameters
accessKey Access key according to your subscription Required parameter.
exchange String value like MCX Name of supported exchange. How to get list of supported exchanges you can find here
Tokens Token number of instrument How to get list of available token numbers of instruments you can find here.
detailedInfo [true]/[false], default = [false] How to get list of available token numbers of instruments you can find here.
xml [true]/[false], default = [false] Optional parameter. By default function will return JSON data. Functions will return XML data if set as [true]
Example http://endpoint:port/GetLastQuoteArrayOptionGreeks/?accessKey=0a0b0c&exchange=NFO&tokens=39489+39487&xml=true
What is returned ?
Exchange, Token(TokenNumber of Sysmbol), Timestamp, IV, Delta, Theta, Vega, Gamma, IVVwap, Vanna, Charm, Speed, Zomma, Color, Volga, Veta, ThetaGammaRatio, ThetaVegaRatio, DTR
LastTradeTime, ServerTime : In JSON Response, these values are expressed as no. of seconds since Epoch time (i.e. 1st January 1970). Also known as Unix Time. Please Visit to get formulae to convert human readable time to Epoch and vice versa (scroll to end of their home page)
Example of returned data
[{ “EXCHANGE”: “NFO”, “TOKEN”: “39489”, “TIMESTAMP”: 1625738399000, “IV”: 1.46, “DELTA”: 1, “THETA”: -16.66, “VEGA”: 0, “GAMMA”: 0, “IVVWAP”: 0.12, “VANNA”: -2666.33, “CHARM”: 57226592, “SPEED”: 0, “ZOMMA”: 0, “COLOR”: 4.99, “VOLGA”: 50545.55, “VETA”: 1154302720, “THETAGAMMARATIO”: -719606.5, “THETAVEGARATIO”: -2146264.5, “DTR”: -0.06 }, { “EXCHANGE”: “NFO”, “TOKEN”: “39487”, “TIMESTAMP”: 1625738395000, “IV”: 3.16, “DELTA”: 0.98, “THETA”: -4821.25, “VEGA”: 0.01, “GAMMA”: 0, “IVVWAP”: 0.16, “VANNA”: -1.78, “CHARM”: 12360.09, “SPEED”: 0, “ZOMMA”: 0, “COLOR”: 9.14, “VOLGA”: 43.89, “VETA”: 382011.25, “THETAGAMMARATIO”: -3384442, “THETAVEGARATIO”: -693573.19, “DTR”: 0 }]
<?xml version=”1.0″ encoding=”utf-16″ ?>
<Value Exchange=”NFO” Token=”39489″ IV=”1.4572917222976685″ Delta=”0.999961256980896″ Theta=”-16.663326263427734″ Vega=”7.763873327348847E-06″ Gamma=”2.315616438863799E-05″ IVVwap=”0.12388955056667328″ Vanna=”-2666.33447265625″ Charm=”57226592″ Speed=”-1.3093988854961935E-05″ Zomma=”0.00023227633209899068″ Color=”4.985264301300049″ Volga=”50545.5546875″ Veta=”1154302720″ ThetaGammaRatio=”-719606.5″ ThetaVegaRatio=”-2146264.5″ DTR=”-0.060009703040122986″ Timestamp=”07-08-2021 15:29:59″ />
<Value Exchange=”NFO” Token=”39487″ IV=”3.160403251647949″ Delta=”0.9762697219848632″ Theta=”-4821.2509765625″ Vega=”0.006951322313398123″ Gamma=”0.00142453343141824″ IVVwap=”0.15728043019771576″ Vanna=”-1.782088279724121″ Charm=”12360.0869140625″ Speed=”-7.199313404271379E-05″ Zomma=”0.0013179931556805968″ Color=”9.141247749328612″ Volga=”43.89303970336914″ Veta=”382011.25″ ThetaGammaRatio=”-3384442″ ThetaVegaRatio=”-693573.1875″ DTR=”-0.00020249304361641407″ Timestamp=”07-08-2021 15:29:55″ />


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


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