GetLastQuoteOptionGreek : Returns Last Traded Option Greek values of Single Symbol (detailed)

Supported parameters
accessKeyAccess key according to your subscriptionRequired parameter.
exchangeString value like MCXName of supported exchange. How to get list of supported exchanges you can find here
TokenToken number of instrumentHow 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.
xml[true]/[false], default = [false]Optional parameter. By default function will return JSON data. Functions will return XML data if 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
TimeStamp : In JSON Response, this value is 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
{ “AVERAGETRADEDPRICE”: 871.68, “BUYPRICE”: 870.1, “BUYQTY”: 1, “CLOSE”: 870.9, “EXCHANGE”: “MCX”, “HIGH”: 875, “INSTRUMENTIDENTIFIER”: “XXX_MCXSCHANADLH_25Jun2015_XX_X”, “LASTTRADEPRICE”: 875, “LASTTRADEQTY”: 2, “LASTTRADETIME”: 1391863200, “LOW”: 868.1, “OPEN”: 871.2, “OPENINTEREST”: 221, “PREOPEN”: false, “QUOTATIONLOT”: 100, “SELLPRICE”: 874, “SELLQTY”: 1, “SERVERTIME”: 1391821719, “TOTALQTYTRADED”: 17, “VALUE”: 1481850}
<?xml version=”1.0″ encoding=”utf-16″ ?>
Exchange=”NFO” Token=”52534″ IV=”15.530631065368652″ Delta=”0.003660476068034768″ Theta=”-19976.673828125″ Vega=”0.0003134779690299183″ Gamma=”0.000245905015617609″ IVVwap=”0.13660529255867004″ Vanna=”2.514479160308838″ Charm=”-1602375.125″ Speed=”1.4805829778197218E-05″ Zomma=”9.816951933316885E-05″ Color=”62.5594367980957″ Volga=”19.32025146484375″ Veta=”14021988″ ThetaGammaRatio=”-81237352″ ThetaVegaRatio=”-63725924″ DTR=”-1.8323751760362936E-07″ Timestamp=”07-01-2021 15:29:59″
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

Was this helpful?