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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

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. 2021-06-11 20:13:36)
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

 Collection of DividendInfo

None

DividendInfo

Name Description Type Additional information
date

Ex-dividend date represented as YYYY-MM-DD

 string

Required

Date in yyyy-MM-dd format. (i.e. 2019-01-18)
amount

Estimated amount of earnings

 decimal number

Required

Range: inclusive between 0 and 1.79769313486232E+308
source_id

Code of dividend source. Optional. 11,42,99 - Projected dividends.

 integer

Range: inclusive between 0 and 2147483647
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. 2021-06-11 20:13:36.430)
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

Name Description Type Additional information SIP Provider

Inputs used for calculations

 TheoCalculatorInputs

None

None

TheoCalculatorInputs

Name Description Type Additional information SIP Provider
symbol

Option symbol

 string

Required

None
expiry

Expiration date and time (Eastern Standard Time)

 string

Required

DateTime in yyyy-MM-dd HH:mm:ss format. (i.e. 2021-06-11 20:13:36)

None
cost_of_carry

Cost of carry

 decimal number

Default value is: 0

Range: inclusive between -500 and 500

None
option_style

Calculation model

 string

Allowed values are [ AMERICAN, EUROPEAN ]

Default value is: AMERICAN

None
delivery_type

Delivery type

 string

Allowed values are [ STANDARD, NON-STANDARD ]

Default value is: STANDARD

None

Dividends

 Collection of DividendInfo

None

None

DividendInfo

Name Description Type Additional information SIP Provider
date

Ex-dividend date represented as YYYY-MM-DD

 string

Required

Date in yyyy-MM-dd format. (i.e. 2019-01-18)

None
amount

Estimated amount of earnings

 decimal number

Required

Range: inclusive between 0 and 1.79769313486232E+308

None
source_id

Code of dividend source. Optional. 11,42,99 - Projected dividends.

 integer

Range: inclusive between 0 and 2147483647

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

None
risk_rate

Interest rate

 decimal number

Default value is: 0

Range: inclusive between -500 and 500

None
stock_price

Spot price of the underlying asset

 decimal number

Default value is: 0

Range: inclusive between 0 and 1.79769313486232E+308

None
option_volatility

Option volatility

 decimal number

Default value is: 0

Range: inclusive between 0 and 1.79769313486232E+308

None
num_steps

Emulation steps count for binomial model

 integer

Default value is: 100

Range: inclusive between 1 and 150

None
penny_class

Penny Class for root

 string

Allowed values are [ 3.0, ALL, NICKEL ]

Default value is: NICKEL

None
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

None
time_stamp

Timestamp (Eastern Standard Time)

 string

Required

DateTime in yyyy-MM-dd HH:mm:ss.fff format. (i.e. 2021-06-11 20:13:36.430)

None
root

Option root

 string

Required

None
strike

Option strike

 decimal number

Required

Range: inclusive between 0.01 and 1.79769313486232E+308

None
option_type

Option type

 string

Required

Allowed values are [ C, P ]

None

Calculation results

 TheoGreekResult

None

None

TheoGreekResult

Name Description Type Additional information SIP Provider
underlying_mid

Midpoint of underlying price used for calculations

 decimal number

None

None
mid_iv

Option volatility used for calculations

 decimal number

None

None
theo_price

Calculated theoretical price of option

 decimal number

None

None
delta

Calculated delta for option

 decimal number

None

None
gamma

Calculated gamma for option

 decimal number

None

None
vega

Calculated vega for option

 decimal number

None

None
rho

Calculated rho for option

 decimal number

None

None
theta

Calculated theta for option

 decimal number

None

None
details

Calculation details

 Collection of string

None

None

Response Formats