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. |
| format | CSV | Optional parameter. When format=CSV, data in CSV format will be returned. Please make sure not to pass xml parameter (neither True nor False) when format=CSV is sent |
| 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 https://www.epochconverter.com/ to get formulae to convert human readable time to Epoch and vice versa (scroll to end of their home page) |
Example of returned data
| JSON | XML |
| [{ “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″ ?>
<RealtimeArrayOptionGreeks
xmlns:xsd=”http://www.w3.org/2001/XMLSchema”
xmlns:xsi=”http://www.w3.org/2001/XMLSchema-instance”>
<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″ />
</RealtimeArrayOptionGreeks> |
| CSV | BuyPrice,BuyQty,LastTradePrice,LastTradeTime,OpenInterest,QuotationLot,SellPrice,SellQty,TradedQty Exchange,Token,Timestamp,IV,Delta,Theta,Vega,Gamma,IVVwap,Vanna,Charm,Speed,Zomma,Color,Volga,Veta,ThetaGammaRatio,ThetaVegaRatio,DTR NFO,56932,1717063196000,11.74,-0.98,-361.15,0.01,0,0.21,0,0,0,0,0,0,0,-1499912.13,-63624.34,0 NFO,56933,1717063199000,31.41,0,-0.05,0,0,0.25,0,0,0,0,0,0,0,-1574.82,-268.99,-0.03 |
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 |
