GetLastQuoteOptionGreeksChain : Returns Last Traded Option Greek values of entire OptionChain of requested underlying
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 |
| product | String value like NIFTY, BANKNIFTY, etc.. | Mandatory Parameter. How to get list of available Products, you can find here |
| expiry | String value of expiry in DDMMYYYY format, like 23JAN2020 | Optional parameter. If absent, result is sent for all active Expiries. How to get list of available Expiries, you can find here |
| optionType | String value like CE, PE | Optional parameter. If absent, result is sent for all OptionTypes. How to get list of available OptionTypes, you can find here |
| strikePrice | like 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 |
| Example | http://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
| JSON | XML |
| Download | Download |
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 |
