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:"74817"},{Value:"74104"}]
};
var message = JSON.stringify(request);
websocket.send(message);
Example of returned data in JSON format
[
{"Exchange":"NFO",
"Token":"74817",
"Timestamp":1771915984,
"IV":1.7473117113113403,
"Delta":-0.002514060353860259,
"Theta":-0.05000000074505806,
"Vega":0.002931205090135336,
"Gamma":0.00011879863450303674,
"IVVwap":1.293108582496643,
"Vanna":-0.00012433831579983234,
"Charm":0.0,
"Speed":-5.091221282782499E-06,
"Zomma":4.591108336171601E-06,
"Color":0.0,"Volga":0.0001307035709032789,
"Veta":0.0,
"ThetaGammaRatio":-420.8802490234375,
"ThetaVegaRatio":-17.057830810546875,
"DTR":0.05028120800852776,
"MessageType":"LastQuoteOptionGreeksResult"},
{"Exchange":"NFO",
"Token":"74104",
"Timestamp":1777888799,
"IV":0.24014639854431152,
"Delta":-0.015239386819303036,
"Theta":-1.649999976158142,
"Vega":0.4851972162723541,
"Gamma":0.00012648034316953272,
"IVVwap":0.24263548851013184,
"Vanna":-0.0036234345752745862,
"Charm":0.015239386819303036,
"Speed":-9.043463933267049E-07,
"Zomma":1.923513991641812E-05,
"Color":-0.00012648034316953272,
"Volga":0.0970657244324684,
"Veta":-0.4851972162723541,
"ThetaGammaRatio":-13045.505859375,
"ThetaVegaRatio":-3.400678873062134,
"DTR":0.009235992096364498,
"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 |
