/theo-and-greeks-calculator
Live
https://api.livevol.com/v1/live/theo-and-greeks-calculator
Delayed
https://api.livevol.com/v1/delayed/theo-and-greeks-calculator
Name | Description | Type | Additional information |
---|---|---|---|
symbol |
Option symbol |
string |
Required |
expiry |
Expiration date and time (Eastern Standard Time) |
string |
Required DateTime in yyyy-MM-dd HH:mm:ss format. (i.e. 2021-02-11 11:41:47) |
cost_of_carry |
Cost of carry |
decimal number |
Default value is: 0 Range: inclusive between -500 and 500 |
option_style |
Calculation model |
string |
Allowed values are [ AMERICAN, EUROPEAN ] Default value is: AMERICAN |
delivery_type |
Delivery type |
string |
Allowed values are [ STANDARD, NON-STANDARD ] Default value is: STANDARD |
dividends |
Dividends |
Collection of DividendInfo |
None. |
model |
Calculation model |
string |
Allowed values are [ BJERK-STETS, BLACK-SCHOLES, COX-ROSS-RUB, MAX-BJERK-BLACK, ROLL-GESKE-WHALEY ] Default value is: COX-ROSS-RUB |
risk_rate |
Interest rate |
decimal number |
Default value is: 0 Range: inclusive between -500 and 500 |
stock_price |
Spot price of the underlying asset |
decimal number |
Default value is: 0 Range: inclusive between 0 and 1.79769313486232E+308 |
option_volatility |
Option volatility |
decimal number |
Default value is: 0 Range: inclusive between 0 and 1.79769313486232E+308 |
num_steps |
Emulation steps count for binomial model |
integer |
Default value is: 100 Range: inclusive between 1 and 150 |
penny_class |
Penny Class for root |
string |
Allowed values are [ 3.0, ALL, NICKEL ] Default value is: NICKEL |
market_width_scale |
The user override for the default 1x-Wide limit to allow for Xx-Wide quote width limits when identifying “Valid” markets for use in calculating a theoretical price. |
unsigned integer |
Default value is: 1 Range: inclusive between 1 and 100 |
time_stamp |
Timestamp (Eastern Standard Time) |
string |
Required DateTime in yyyy-MM-dd HH:mm:ss.fff format. (i.e. 2021-02-11 11:41:47.844) |
root |
Option root |
string |
Required |
strike |
Option strike |
decimal number |
Required Range: inclusive between 0.01 and 1.79769313486232E+308 |
option_type |
Option type |
string |
Required Allowed values are [ C, P ] |
[ { "symbol": "XLI", "expiry": "2017-08-18 16:00:00", "cost_of_carry": 0.0, "option_style": "EUROPEAN", "delivery_type": "STANDARD", "dividends": [ { "date": "2016-06-30", "amount": 0.115, "source_id": 11 }, { "date": "2016-09-30", "amount": 0.115, "source_id": 12 } ], "model": "COX-ROSS-RUB", "risk_rate": 0.05, "stock_price": 10.0, "option_volatility": 12.0, "num_steps": 100, "penny_class": "3.0", "market_width_scale": 1, "time_stamp": "2017-08-14 09:30:01.015", "root": "AMZN", "strike": 1702.5, "option_type": "C" }, { "symbol": "AA", "expiry": "2017-09-18 16:00:00", "cost_of_carry": 0.0, "option_style": "AMERICAN", "delivery_type": "NON-STANDARD", "dividends": [ { "date": "2016-06-30", "amount": 0.115, "source_id": 11 }, { "date": "2016-09-30", "amount": 0.115, "source_id": 12 } ], "model": "COX-ROSS-RUB", "risk_rate": 0.13, "stock_price": 12.5, "option_volatility": 1.45, "num_steps": 100, "penny_class": "ALL", "market_width_scale": 2, "time_stamp": "2017-08-14 09:31:01.030", "root": "AAPL", "strike": 180.0, "option_type": "P" } ]
<ArrayOftheo_calculator_inputs xmlns:i="http://www.w3.org/2001/XMLSchema-instance"> <theo_calculator_inputs> <option_type>C</option_type> <root>AMZN</root> <strike>1702.5</strike> <time_stamp>2017-08-14 09:30:01.015</time_stamp> <cost_of_carry>0</cost_of_carry> <delivery_type>STANDARD</delivery_type> <dividends> <dividend_info> <amount>0.115</amount> <date>2016-06-30</date> <source_id>11</source_id> </dividend_info> <dividend_info> <amount>0.115</amount> <date>2016-09-30</date> <source_id>12</source_id> </dividend_info> </dividends> <market_width_scale>1</market_width_scale> <model>COX-ROSS-RUB</model> <num_steps>100</num_steps> <option_style>EUROPEAN</option_style> <option_volatility>12</option_volatility> <penny_class>3.0</penny_class> <risk_rate>0.05</risk_rate> <stock_price>10</stock_price> <symbol>XLI</symbol> </theo_calculator_inputs> <theo_calculator_inputs> <option_type>P</option_type> <root>AAPL</root> <strike>180</strike> <time_stamp>2017-08-14 09:31:01.030</time_stamp> <cost_of_carry>0</cost_of_carry> <delivery_type>NON-STANDARD</delivery_type> <dividends> <dividend_info> <amount>0.115</amount> <date>2016-06-30</date> <source_id>11</source_id> </dividend_info> <dividend_info> <amount>0.115</amount> <date>2016-09-30</date> <source_id>12</source_id> </dividend_info> </dividends> <market_width_scale>2</market_width_scale> <model>COX-ROSS-RUB</model> <num_steps>100</num_steps> <option_style>AMERICAN</option_style> <option_volatility>1.45</option_volatility> <penny_class>ALL</penny_class> <risk_rate>0.13</risk_rate> <stock_price>12.5</stock_price> <symbol>AA</symbol> </theo_calculator_inputs> </ArrayOftheo_calculator_inputs>
Collection of TheoCalculatorResultOfTheoCalculatorInputsAndTheoGreekResult
Name | Description | Type | Additional information |
---|---|---|---|
inputs |
Inputs used for calculations |
TheoCalculatorInputs |
None. |
results |
Calculation results |
TheoGreekResult |
None. |
details |
Calculation details |
Collection of string |
None. |