GetLastQuoteArrayOptionGreeks : Returns Last Traded Option Greek values of multiple Symbols – max 25 in single call (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 |
| Tokens | Token numbers of instruments | Mandatory parameter. How to get list of supported values you can find here |
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",
Tokens: [{Value:"39489"},{Value:"39487"}]
};
var message = JSON.stringify(request);
websocket.send(message);
Example of returned data in JSON format
{"Exchange":"NFO",
"Token":"39489",
"Timestamp":1625738398,
"IV":1.8949203491210935,
"Delta":0.9881793856620787,
"Theta":-3061.045654296875,
"Vega":0.001993559068068862,
"Gamma":0.0025158245116472244,
"IVVwap":0.12388865649700163,
"Vanna":-6.163065910339356,
"Charm":94631.890625,
"Speed":-0.0004647585155908018,
"Zomma":0.005468664690852165,
"Color":83.96958923339844,
"Volga":90.18682861328124,
"Veta":1655309.25,
"ThetaGammaRatio":-1216716.75,
"ThetaVegaRatio":-1535467.75,
"DTR":-0.00032282411120831966,
"MessageType":"LastQuoteOptionGreeksResult"},
{"Exchange":"NFO",
"Token":"39487",
"Timestamp":1625738395,
"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":-3384442.0,
"ThetaVegaRatio":-693573.1875,
"DTR":-0.00020249304361641407,
"MessageType":"LastQuoteOptionGreeksResult"}]
,"MessageType":"LastQuoteArrayOptionGreeksResult"}
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 |
