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< API Reference
POST
/theo-and-greeks-calculator
OPTIONS
Calculate theoretical option price and greeks using Binomial model

Example URI

Live

https://api.livevol.com/v1/live/theo-and-greeks-calculator

Delayed

https://api.livevol.com/v1/delayed/theo-and-greeks-calculator

Request Information

Body Parameters

Collection of TheoCalculatorInputs

NameDescriptionTypeAdditional 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 ]

Request Formats

application/json, text/json

Sample: 
[
  {
    "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"
  }
]

application/xml, text/xml

Sample: 
<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>

Response Information

Resource Description

Collection of TheoCalculatorResultOfTheoCalculatorInputsAndTheoGreekResult

NameDescriptionTypeAdditional information
inputs

Inputs used for calculations

 TheoCalculatorInputs

None.
results

Calculation results

 TheoGreekResult

None.
details

Calculation details

 Collection of string

None.

Response Formats