Skip to content

optiongreeks.md

Latest commit

 

History

History
135 lines (112 loc) · 4.12 KB

optiongreeks.md

File metadata and controls

135 lines (112 loc) · 4.12 KB
Raw

OptionGreeks

Calculate Option Greeks (Delta, Gamma, Theta, Vega, Rho) and Implied Volatility for an option.

Endpoint URL

Local Host   :  POST http://127.0.0.1:5000/api/v1/optiongreeks
Ngrok Domain :  POST https://<your-ngrok-domain>.ngrok-free.app/api/v1/optiongreeks
Custom Domain:  POST https://<your-custom-domain>/api/v1/optiongreeks

Sample API Request

{
  "apikey": "<your_app_apikey>",
  "symbol": "NIFTY25NOV2526000CE",
  "exchange": "NFO",
  "interest_rate": 0.00,
  "underlying_symbol": "NIFTY",
  "underlying_exchange": "NSE_INDEX"
}

Sample cURL Request

curl -X POST http://127.0.0.1:5000/api/v1/optiongreeks \
  -H 'Content-Type: application/json' \
  -d '{
  "apikey": "<your_app_apikey>",
  "symbol": "NIFTY25NOV2526000CE",
  "exchange": "NFO",
  "interest_rate": 0.00,
  "underlying_symbol": "NIFTY",
  "underlying_exchange": "NSE_INDEX"
}'

Sample API Response

{
  "status": "success",
  "symbol": "NIFTY25NOV2526000CE",
  "exchange": "NFO",
  "underlying": "NIFTY",
  "strike": 26000.0,
  "option_type": "CE",
  "expiry_date": "25-Nov-2025",
  "days_to_expiry": 28.5071,
  "spot_price": 25966.05,
  "option_price": 435,
  "interest_rate": 0.0,
  "implied_volatility": 15.6,
  "greeks": {
    "delta": 0.4967,
    "gamma": 0.000352,
    "theta": -7.919,
    "vega": 28.9489,
    "rho": 9.733994
  }
}

Request Body

Parameter Description Mandatory/Optional Default Value
apikey Your OpenAlgo API key Mandatory -
symbol Option symbol Mandatory -
exchange Exchange: NFO, BFO, CDS, MCX Mandatory -
interest_rate Risk-free interest rate (annualized %) Optional 0
underlying_symbol Underlying symbol for spot price Optional Derived from option
underlying_exchange Underlying exchange Optional NSE_INDEX
forward_price Custom forward/synthetic futures price Optional -
expiry_time Custom expiry time in "HH:MM" format Optional -

Response Fields

Field Type Description
status string "success" or "error"
symbol string Option symbol
exchange string Exchange
underlying string Underlying symbol
strike number Strike price
option_type string CE or PE
expiry_date string Expiry date
days_to_expiry number Days remaining to expiry (fractional)
spot_price number Current spot/underlying price
option_price number Current option LTP
interest_rate number Risk-free rate used
implied_volatility number Calculated IV (%)
greeks object Greeks values

Greeks Object Fields

Field Type Description
delta number Price sensitivity to underlying movement
gamma number Delta sensitivity to underlying movement
theta number Time decay per day (negative)
vega number Price sensitivity to 1% IV change
rho number Price sensitivity to 1% interest rate change

Understanding Option Greeks

Greek Description Typical Range
Delta How much option price moves for ₹1 underlying move CE: 0 to 1, PE: -1 to 0
Gamma Rate of change of delta Higher near ATM
Theta Daily time decay (negative for buyers) Increases near expiry
Vega Price change for 1% IV move Higher for longer expiry
Rho Price change for 1% interest rate move Usually small

Notes

  • Uses Black-76 model (appropriate for options on futures/forwards)
  • Implied Volatility is calculated using Newton-Raphson method
  • For deep ITM options with no time value, returns theoretical Greeks (delta = ±1)
  • days_to_expiry includes fractional days for accuracy
  • The underlying_symbol parameter allows using spot price instead of futures

Use Cases

  • Position sizing: Use delta for hedge ratios
  • Risk management: Monitor gamma exposure
  • Time decay analysis: Track theta decay
  • Volatility trading: Monitor vega exposure

Back to: API Documentation