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 |