GetLastQuoteOptionGreeksChain : Returns Last Traded Option Greek values of entire OptionChain of requested underlying
Supported parameters
| Exchange | String value like NFO | Name of supported exchange. How to get list of supported exchanges you can find here |
| Product | String value like BANKNIFTY | Mandatory parameter. How to get list of supported values you can find here |
| Expiry | String value of expiry in DDMMYYYY format, like 29JUL2021 | Optional parameter. Name of supported Expiry Date. If absent, result is sent for all active expiries. How to get list of supported values you can find here |
| OptionType | String value like CE | Optional parameter. Name of supported Option Type. If absent, result is sent for all Option Types. How to get list of supported values you can find here |
| StrikePrice | Value like 10000, 75.5, etc | Optional parameter. If absent, result is sent for all Strike Prices. How to get list of supported values you can find here |
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), Timestamp, IV, Delta, Theta, Vega, Gamma, IVVwap, Vanna, Charm, Speed, Zomma, Color, Volga, Veta, ThetaGammaRatio, ThetaVegaRatio, DTR |
Sample request(JavaScript)
{
MessageType: "GetLastQuoteOptionGreeksChain",
Exchange: "NFO",
Product: "NIFTY"
};
var message = JSON.stringify(request);
websocket.send(message);
Example of returned data in JSON format
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 |
