GetLastQuoteOptionGreeksChain

GetLastQuoteOptionGreeksChain : Returns Last Traded Option Greek values of entire OptionChain of requested underlying

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
productString value like NIFTY, BANKNIFTY, etc..Mandatory Parameter. How to get list of available Products, you can find here
expiryString value of expiry in DDMMYYYY format, like 23JAN2020Optional parameter. If absent, result is sent for all active Expiries. How to get list of available Expiries, you can find here
optionTypeString value like CE, PEOptional parameter. If absent, result is sent for all OptionTypes. How to get list of available OptionTypes, you can find here
strikePricelike 10000, 75.5, etc.Optional parameter. If absent, result is sent for all active Strike Prices. How to get list of available Strike Prices, you can find here
formatCSVOptional 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]
Examplehttp://endpoint:port/GetLastQuoteOptionGreeksChain/?accessKey=0a0b0c&exchange=NFO&product=NIFTY
What is returned ?
Exchange, InstrumentIdentifier (Symbol), LastTradeTime, ServerTime, AverageTradedPrice (VWAP), Close (previous Day’s Close), Open, High, Low, LastTradePrice, LastTradeQty, TotalQtyTraded, BuyPrice (Bid), BuyQty (Bid Size), SellPrice (Ask), SellQty (Sell Size), OpenInterest, QuotationLot (Lot Size), Value (Turnover), PreOpen (if PreOpen), PriceChange (Change in Price compared to previous trading day’s Close), PriceChangePercentage (Percentage Change in Price compared to previous trading day’s Close), OpenInterestChange (Change in Open Interest compared to previous trading day’s Close, IV, Delta, Theta, Vega, Gamma, IVVwap, Vanna, Charm, Speed, Zomma, Color, Volga, Veta, ThetaGammaRatio, ThetaVegaRatio, DTR
Example of returned data
JSONXML
DownloadDownload
CSVDownload
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

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