GetLastQuoteOptionGreek : Returns Last Traded Option Greek values of Single Symbol (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 |
| Token | Token number of instrument | How 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] |
| Example | http://endpoint:port/GetLastQuoteOptionGreeks/?accessKey=0a0b0c&exchange=NFO&token=52534&xml=true&detailedInfo=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 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 |
| { “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″ ?>
<RealtimeOptionGreeks
xmlns:xsi=”http://www.w3.org/2001/XMLSchema-instance”
xmlns:xsd=”http://www.w3.org/2001/XMLSchema”>
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″
/> |
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 |
