POST
/theo-and-greeks-calculator-trades
OPTIONS
Calculate theoretical option price and greeks for trades using Binomial model. Trades are specified by exchange sequence number or by trade details.

Example URI

Live

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

Delayed

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

Request Information

Body Parameters

Collection of InputOptionTrade

Name Description Type Additional information
trade_price

Trade price, may be omitted if seq_number specified

decimal number

Default value is: 0

Range: inclusive between 0 and 1.79769313486232E+308

trade_size

Trade size, may be omitted if seq_number specified

integer

Default value is: 0

Range: inclusive between 0 and 2147483647

seq_number

Exchange sequence number of trade. Can be used instead of trade_price/trade_size.

integer

Default value is: 0

Range: inclusive between 0 and 2147483647

expiry

Expiration date

string

Required

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

time_stamp

Timestamp (Eastern Standard Time)

string

Required

DateTime in yyyy-MM-dd HH:mm:ss.fff format. (i.e. 2021-06-11 20:13:36.477)

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:
[
  {
    "trade_price": 8.9,
    "trade_size": 18,
    "seq_number": 282836659,
    "expiry": "2019-01-18",
    "time_stamp": "2019-01-18 11:45:23.467",
    "root": "AMZN",
    "strike": 1702.5,
    "option_type": "C"
  },
  {
    "trade_price": 23.35,
    "trade_size": 2,
    "seq_number": 292133,
    "expiry": "2019-03-15",
    "time_stamp": "2019-01-18 09:30:00.670",
    "root": "AAPL",
    "strike": 180.0,
    "option_type": "P"
  }
]

application/xml, text/xml

Sample:
<ArrayOfinput_option_trade xmlns:i="http://www.w3.org/2001/XMLSchema-instance">
  <input_option_trade>
    <option_type>C</option_type>
    <root>AMZN</root>
    <strike>1702.5</strike>
    <time_stamp>2019-01-18 11:45:23.467</time_stamp>
    <seq_number>282836659</seq_number>
    <trade_price>8.9</trade_price>
    <trade_size>18</trade_size>
  </input_option_trade>
  <input_option_trade>
    <option_type>P</option_type>
    <root>AAPL</root>
    <strike>180</strike>
    <time_stamp>2019-01-18 09:30:00.670</time_stamp>
    <seq_number>292133</seq_number>
    <trade_price>23.35</trade_price>
    <trade_size>2</trade_size>
  </input_option_trade>
</ArrayOfinput_option_trade>

Response Information

Resource Description

Collection of TheoCalculatorResultOfTheoCalculatorTradeInputsAndTheoGreekResult

Name Description Type Additional information SIP Provider

Inputs used for calculations

TheoCalculatorTradeInputs

None

None

TheoCalculatorTradeInputs

Name Description Type Additional information SIP Provider
trade_price

Trade price, may be omitted if seq_number specified

decimal number

None

None

trade_size

Trade size, may be omitted if seq_number specified

integer

None

None

seq_number

Exchange sequence number of trade. Can be used instead of trade_price/trade_size.

integer

Default value is: 0

Range: inclusive between 0 and 2147483647

None

calculation_method

Calculation method

string

None

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

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

time_stamp

Timestamp (Eastern Standard Time)

string

Required

DateTime in yyyy-MM-dd HH:mm:ss.fff format. (i.e. 2021-06-11 20:13:36.523)

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