GetLastQuoteOptionGreek : Returns Last Traded Option Greek values of Single Symbol (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 |
| 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. |
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",
Token: "52534"
};
var message = JSON.stringify(request);
websocket.send(message);
Example of returned data in JSON format
{
"Exchange":"NFO",
"Token":"52534",
"Timestamp":1625133599,
"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":14021988.0,
"ThetaGammaRatio":-81237352.0,
"ThetaVegaRatio":-63725924.0,
"DTR":-1.8323751760362936E-07,
"MessageType":"LastQuoteOptionGreeksResult"
}
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 |
