The API provides functions that support client-side calculations of options Greeks using these two calculation models:
- Black-Scholes Model
- Binomial Model
Below is a list of analytics and required input.
| Analytic | Required Input | Black-Scholes | Binomial |
|---|---|---|---|
| Delta | 1,2,6,7,8,9,10,11,13 (See note 1) | X | X |
| Gamma | 1,2,6,7,8,9,10,13 (See note 1) | X | X |
| Theta | 1,2,6,7,8,9,10,11,13 (See note 1) | X | X |
| Vega | 1,2,6,7,8,9,10,13 (See note 1) | X | X |
| Rho | 1,2,6,7,8,9,10,11,13 (See note 1) | X | X |
| Theoretical Value | 1,2,6,7,8,9,10,11,13 (See note 1) | X | X |
| Implied Volatility (Bid/Ask/Mid) |
Bid – 1,2,4,6,8,10,12 |
X | N/A |
| Intrinsic Value | 8,3,11 | X | N/A |
| Premium | 3,4,5,8,11 | X | N/A |
| Edge (Bid/Ask) |
Bid – 1,2,4,6,7,8,9,10,11,12 |
X | N/A |
| 1 = stockBid 2 = stockAsk 3 = stockLast 4 = optionBid 5 = optionAsk 6 = riskInterest 7 = carry |
8 = strike 9 = volatility 10 = daysToMaturity 11 = putCallIndicator 12 = flags 13 = optionStyle |
(1) For this calculation, the volatility value (Volatility) must not be zero (0).
(2) For bid, set the Bid_Ask_Flags field to USE_BID_FLAG.
For ask, set the Bid_Ask_Flags field to USE_ASK_FLAG.
For mid price ((bid + ask) / 2) volatility, set Bid_Ask_Flags toUSE_BID_FLAG+USE_ASK_FLAG.
| Volatility Calculation | Required Input |
|---|---|
| Rolling average volatility | 1,2,4,5,6,8,10,11 |
| Interpolated weighted average volatility | 1,2,3,4,5,6,7,8,10,11,12 |