Greeks & Strategies
Use the below apis:
| method | endpoint | use case | Rate Limit |
|---|---|---|---|
GET |
/strategies?exchange=exchange={exchange}&symbol={symbol}&expiry_date={expiry_date} | Fetch prebuilt strategies | 1/sec |
POST |
/strategies/build | Find suitable strategy as per your prediction amongst prebuilt strategies | 1/sec |
POST |
/strategies/payoff | Get payoff graph of any combination of options of same underlying | 1/sec |
GET |
/strategies/option_chain?exchange={exchange}&symbol={symbol}&expiry_date={expiry_date}&greeks={greeks} | Fetch the option chain | 1/sec |
Pre-built strategies
Pre built strategies are a set of some standard options strategies.
Endpoint: /strategies?exchange=exchange={exchange}&symbol={symbol}&expiry_date={expiry_date}
Available Strategies
- Bull Call Spread
- Bull Put Spread
- Ratio Call Spread
- Ratio Put Spread
- Bear Call Spread
- Bear Put Spread
- Short Strangle
- Long Strangle
- Iron Condor
- Iron Butterfly
- Short Straddle
- Long Straddle
Pre-build Strategies Params
| params | required | description |
|---|---|---|
| exchange | Y | Possible values: [NSE_FO, NSE_CD or MCX_FO] |
| symbol | Y | Symbol of the underlying asset. For e.g. NIFTY, BANKNIFTY,RELIANCE |
| expiry_date | Y | Expiry date of options in YYYYMMDD format |
Pre-built Strategies Response
{
"symbol": "BANKNIFTY",
"underlying_last_trade_price": 44747.35,
"strategies": [
.
.
.
{
"strategy_name": "Bull Call Spread",
"trading_opportunities": [
.
.
.
{
"legs": [
{
"option": {
"token": 43321,
"exchange": "NSE_FO",
"last_trade_price": 259.85,
"lot_size": 25,
"greeks": {
"theta": -21.0399528105652,
"delta": 0.5325763242304223,
"gamma": 0.0000062658546043891884,
"vega": 22.804010475731573,
"iv": 11.064360901855252
}
},
"action": "BUY",
"quantity": 1
},
{
"option": {
"token": 43323,
"exchange": "NSE_FO",
"last_trade_price": 206.55,
"lot_size": 25,
"greeks": {
"theta": -19.2604620643973,
"delta": 0.466499384000364,
"gamma": 0.0000068421241527056196,
"vega": 22.799615376617837,
"iv": 10.130525752174435
}
},
"action": "SELL",
"quantity": 1
}
],
"max_loss": 1332.5,
"max_profit": 1167.5,
"infinite_loss": false,
"infinite_profit": false,
"breakevens": [
44753.3
]
},
.
.
.
]
},
.
.
.
]
}
Build Strategy
You can use this API to find suitable options strategy amongst the prebuilt strategies based on your prediction. You need to frame your prediction in one of the following ways:
- On expiry day, the price of XYZ underlying will close above 123
- On expiry day, the price of XYZ underlying will close below 123
-
On expiry day, the price of XYZ underlying will be between 123 and 456
Endpoint: /strategies/build
Strategy Builder Request
{
"symbol": "NIFTY",
"expiry_date": "20230706",
"price_range": [19200],
"prediction": "ABOVE",
"exchange": "NSE_FO"
}
| param | required | description |
|---|---|---|
| symbol | Y | Symbol name of the underlying instrument whose options you want to trade. e.g. NIFTY, BANKNIFTY, RELIANCE |
| expiry_date | Y | Expiry date in YYYYMMDD format of the options you want to trade in |
| prediction | Y | Can be ABOVE, BETWEEN, BELOW |
| price_range | Y | The price comparator array for the prediction. For ABOVE and BELOW, the array will have only one value. For BETWEEN, array will have two values. |
Strategy Builder Response
{
"symbol": "NIFTY",
"underlying_last_trade_price": 19189.05,
"strategies": [
.
.
.
{
"strategy_name": "Bull Call Spread",
"legs": [
{
"option": {
"token": 47068,
"exchange": "NSE_FO",
"last_trade_price": 73.4,
"greeks": {
"theta": -6.557030012704283,
"delta": 0.4799310187242114,
"gamma": 0.002018924995491476400,
"vega": 9.799378359840057,
"iv": 8.024194533390983
}
},
"action": "BUY",
"quantity": 50
},
{
"option": {
"token": 47072,
"exchange": "NSE_FO",
"last_trade_price": 50.35,
"greeks": {
"theta": -6.110168123520634,
"delta": 0.37801903461535696,
"gamma": 0.001972209734122132500,
"vega": 9.349491201396154,
"iv": 7.837146888959978
}
},
"action": "SELL",
"quantity": 50
}
],
"max_loss": 1152.5,
"max_profit": 1347.5,
"infinite_loss": false,
"infinite_profit": false,
"breakevens": [
19223.05
]
},
.
.
.
]
}
Payoff Graph
Payoff graph calculation takes any two options and plots the payoff with respect to change in price of underlying instrument. It also calculates portfolio greeks.
Endpoint: /strategies/payoff
Payoff Graph Request
{
"symbol": "BANKNIFTY",
"exchange": "NSE_FO",
"legs": [
{
"token": 43321,
"action": "BUY"
},
{
"token": 43454,
"action": "SELL"
},
]
}
Payoff Graph Response
{
"status": "success",
"message": "",
"payoff": {
"max_loss": -1332.5,
"max_profit": 1167.5,
"infinite_profit": false,
"infinite_loss": false,
"underlying_last_trade_price": 44747.35,
"min_days_to_expiry": 4,
"breakevens": [
44775.0
],
"combined_greeks": {
"theta": -7.683021434580801,
"delta": 1.7024994338249908,
"gamma": -0.000276598900187174300,
"vega": -0.134624688420877
},
"leg_greeks": [
{
"token": 43321,
"strike_price": 44700.0,
"option_type": "CE",
"expiry_date": "20230706",
"action": "BUY",
"quantity": 1,
"last_trade_price": 259.85,
"greeks": {
"iv": 10.294600364886719,
"theta": -19.56778292178049,
"delta": 0.5345993613533636,
"gamma": 0.00067314845926307500,
"vega": 22.794230389080997
}
},
{
"token": 43323,
"strike_price": 44800.0,
"option_type": "CE",
"expiry_date": "20230706",
"action": "SELL",
"quantity": 1,
"last_trade_price": 206.55,
"greeks": {
"iv": 10.130525752174435,
"theta": -19.2604620643973,
"delta": 0.466499384000364,
"gamma": 0.0006842124152705619600,
"vega": 22.799615376617837
}
}
],
"pay_offs": [
.
.
.
{
"intraday_pay_off": 1055.8099140000006,
"expiry_pay_off": 1167.5,
"at": 45700.0
},
{
"intraday_pay_off": 1074.2238729999988,
"expiry_pay_off": 1167.5,
"at": 45750.0
},
{
"intraday_pay_off": 1090.0646927499986,
"expiry_pay_off": 1167.5,
"at": 45800.0
},
.
.
.
]
}
}
Option Chain
Endpoint: /strategies/option_chain?exchange={exchange}&symbol={symbol}&expiry_date={expiry_date}&greeks={greeks}
Option Chain Params
| params | required | description |
|---|---|---|
| exchange | Y | Possible values: [NSE_FO, NSE_CD or MCX_FO] |
| symbol | Y | Symbol of the underlying asset. For e.g. NIFTY, BANKNIFTY,RELIANCE |
| expiry_date | Y | Expiry date of options in YYYYMMDD format |
| greeks | Y | Should be passed as true if you want greeks calculation included, otherwise false |
Option Chain Response
{
"status": "success",
"message": "",
"data": {
"symbol": "BANKNIFTY",
"expiry_date": "20230706",
"available_expiry_dates": [
"20230706",
"20230713",
"20230720",
"20230727",
"20230803",
"20230831",
"20230928",
"20231228",
"20240328",
"20240627"
],
"strikes": [
.
.
{
"strike_price": 43600.0,
"iv": 14.65085189738602,
"CE": {
"token": 43255,
"last_trade_price": 1181.55,
"strike_price": 43600.0,
"volume": 0,
"open_interest": 37175,
"greeks": {
"theta": -10.5991668262846,
"delta": 0.9181394914065889,
"gamma": 0.0001800255679813225100,
"vega": 8.675642615478807
}
},
"PE": {
"token": 43256,
"last_trade_price": 31.55,
"strike_price": 43600.0,
"volume": 0,
"open_interest": 1351100,
"greeks": {
"theta": -10.5991668262846,
"delta": -0.08186050859341112,
"gamma": 0.0001800255679813225100,
"vega": 8.675642615478807
}
}
},
.
.
]
}
}
| field | description |
|---|---|
| status | Possible values: [success,error] |
| message | Error message if any |
| symbol | Symbol of the underlying asset. For e.g. NIFTY, BANKNIFTY,RELIANCE |
| expiry_date | Expiry date for which option chain is returned |
| available_expiry_dates | List of all expiry dates available for the symbol |
| strikes | Array containing CE and PE options of all strike prices |
| iv | IV of both CE and PE. If strike price is grater than spot price, it is CE IV, otherwise it is PE IV |
IV Calculation
We use Black-76 model, which is a variant of the well known Black Scholes model. It is better suited for the Indian markets and is widely used by professional quants.
In this model, we:
- Assume no interest rate
- Assume no dividend etc
- Use Future Prices instead of Stock Prices for stock options
- Use Index Prices for index options
It is assumed that interest rate and dividends are accounted for in Future Prices.
According to Black Scholes theory and in practical efficient markets,
- IV for call and put options for the same expiry and same strike price should be the same
- IV for call and put options for the same expiry and different strike price should be different
However, this is not always true in India because:
- Securities Transaction Tax affects ITM options and brings down volatility
- Inefficiency due to wide bid-ask spreads
NSE uses Black Scholes model with its own twist. It assumes a constant interest rate of 10% (which is not true as RBI keeps on changing it). Even ATM strikes have two very different IVs, whereas it should be the same.
Put Call Parity says that:
Call Price - Put Price = Future Price - Strike Price.
If we use different IVs in call and put price calculation, this equation will not add up. So, we use the IV of the OTM option and use it for both Put and Call option.