MultiOptionGreeks

Multi Option Greeks API

Endpoint URL

This API Function Calculates Multi Option Greeks (Delta, Gamma, Theta, Vega, Rho) and Implied Volatility using Black-76 Model

Local Host   :  POST http://127.0.0.1:5000/api/v1/multioptiongreeks
Ngrok Domain :  POST https://<your-ngrok-domain>.ngrok-free.app/api/v1/multioptiongreeks
Custom Domain:  POST https://<your-custom-domain>/api/v1/multioptiongreeks

Why Black-76 Model?

OpenAlgo uses the Black-76 model (via py_vollib library) instead of Black-Scholes for calculating multi option Greeks. This is the correct choice for Indian F&O markets:

Key Benefits:

• Accurate pricing for options on futures and forwards

• Industry-standard model used by NSE, BSE, MCX

• Greeks match with professional trading platforms

• Proper handling of cost of carry

Prerequisites

1. py_vollib Library Required

   • Install with: pip install py_vollib

   • Or with uv: uv pip install py_vollib

   • Required for Black-76 calculations

2. Market Data Access

   • Requires real-time LTP for underlying and option

   • Uses OpenAlgo quotes API internally

3. Valid API Key

   • API key must be active and valid

   • Get API key from OpenAlgo settings

Sample API Request (NFO - NIFTY Option with Auto-Detected Spot)

{
  "apikey": "your-openalgo-api-key-here",
  "symbols": [
    {
      "symbol": "NIFTY27JAN2626000CE",
      "exchange": "NFO"
    },
    {
      "symbol": "NIFTY27JAN2626000PE",
      "exchange": "NFO"
    }
  ]
}

Note: Auto-detects NIFTY from NSE_INDEX (spot price: 26240) as underlying

Sample API Request (Explicit Underlying with Zero Interest Rate)

{
  "apikey": "your-openalgo-api-key-here",
  "symbols": [
    {
      "symbol": "NIFTY27JAN2626100CE",
      "exchange": "NFO"
    },
    {
      "symbol": "NIFTY27JAN2626100PE",
      "exchange": "NFO"
    }
  ]
}

Note: Explicitly specifies NIFTY spot (26240) from NSE_INDEX. Using interest_rate: 0 for theoretical calculations or when interest rate impact is negligible.

Sample API Response (Success)

{
  "data": [
    {
      "days_to_expiry": 20.2343,
      "exchange": "NFO",
      "expiry_date": "27-Jan-2026",
      "greeks": {
        "delta": 0.5633,
        "gamma": 0.000542,
        "rho": -0.191478,
        "theta": -7.0804,
        "vega": 24.2121
      },
      "implied_volatility": 11.83,
      "interest_rate": 0,
      "option_price": 345.4,
      "option_type": "CE",
      "spot_price": 26105.5,
      "status": "success",
      "strike": 26000,
      "symbol": "NIFTY27JAN2626000CE",
      "underlying": "NIFTY"
    },
    {
      "days_to_expiry": 20.2343,
      "exchange": "NFO",
      "expiry_date": "27-Jan-2026",
      "greeks": {
        "delta": -0.4006,
        "gamma": 0.000884,
        "rho": -0.069905,
        "theta": -4.1761,
        "vega": 23.7563
      },
      "implied_volatility": 7.11,
      "interest_rate": 0,
      "option_price": 126.1,
      "option_type": "PE",
      "spot_price": 26106.25,
      "status": "success",
      "strike": 26000,
      "symbol": "NIFTY27JAN2626000PE",
      "underlying": "NIFTY"
    }
  ],
  "status": "success",
  "summary": {
    "failed": 0,
    "success": 2,
    "total": 2
  }
}

Sample API Request (Using Futures as Underlying)

{
  "apikey": "your-openalgo-api-key-here",
  "symbols": [
    {
      "symbol": "NIFTY27JAN2624500CE",
      "exchange": "NFO",
      "underlying_symbol": "NIFTY27JAN26FUT",
      "underlying_exchange": "NFO"
    },
    {
      "symbol": "NIFTY27JAN2624500PE",
      "exchange": "NFO",
      "underlying_symbol": "NIFTY27JAN26FUT",
      "underlying_exchange": "NFO"
    }
  ],
  "interest_rate": 7.0
}

Sample API Response (Success - With Futures)

{
  "data": [
    {
      "days_to_expiry": 20.0662,
      "exchange": "NFO",
      "expiry_date": "27-Jan-2026",
      "greeks": {
        "delta": 1,
        "gamma": 0,
        "rho": 0,
        "theta": 0,
        "vega": 0
      },
      "implied_volatility": 0,
      "interest_rate": 7,
      "intrinsic_value": 1699.9,
      "note": "Deep ITM option with no time value - theoretical Greeks returned",
      "option_price": 1697.25,
      "option_type": "CE",
      "spot_price": 26199.9,
      "status": "success",
      "strike": 24500,
      "symbol": "NIFTY27JAN2624500CE",
      "time_value": 0,
      "underlying": "NIFTY"
    },
    {
      "days_to_expiry": 20.0662,
      "exchange": "NFO",
      "expiry_date": "27-Jan-2026",
      "greeks": {
        "delta": -0.0204,
        "gamma": 0.000057,
        "rho": -0.003628,
        "theta": -1.0635,
        "vega": 3.0272
      },
      "implied_volatility": 14.12,
      "interest_rate": 7,
      "option_price": 6.6,
      "option_type": "PE",
      "spot_price": 26199.9,
      "status": "success",
      "strike": 24500,
      "symbol": "NIFTY27JAN2624500PE",
      "underlying": "NIFTY"
    }
  ],
  "status": "success",
  "summary": {
    "failed": 0,
    "success": 2,
    "total": 2
  }
}

Sample API Request (With Custom Interest Rate)

{
    "apikey": "your_api_key",
    "symbol": "NIFTY30DEC2526100CE",
    "exchange": "NFO",
    "interest_rate": 6.5
}

Parameter Description

Parameters	Description	Mandatory/Optional	Default Value
apikey	App API key	Mandatory	-
symbol	Option symbol (e.g., NIFTY02DEC2526000CE)	Mandatory	-
exchange	Exchange code (NFO, BFO, CDS, MCX)	Mandatory	-
interest_rate	Risk-free interest rate (annualized %). Specify current RBI repo rate (e.g., 6.5, 6.75) for accurate Rho calculations. Use 0 for theoretical calculations or when interest rate impact is negligible	Optional	0
forward_price	Custom forward/synthetic futures price. If provided, skips underlying price fetch. Useful for synthetic futures (Spot x e^rT) or illiquid underlyings like FINNIFTY, MIDCPNIFTY	Optional	Auto-fetched
underlying_symbol	Custom underlying symbol (e.g., NIFTY or NIFTY30DEC25FUT)	Optional	Auto-detected
underlying_exchange	Custom underlying exchange (e.g., NSE_INDEX or NFO)	Optional	Auto-detected
expiry_time	Custom expiry time in HH:MM format (e.g., "17:00", "19:00"). Required for MCX contracts with non-standard expiry times	Optional	Exchange defaults: NFO/BFO=15:30, CDS=12:30, MCX=23:30

Notes:

• Interest Rate: Default is 0. For accurate Greeks (especially Rho), specify current RBI repo rate (typically 6.25-7.0%). Interest rate has minimal impact on short-term options (< 7 days).

• Forward Price: When provided, the API uses this value directly instead of fetching underlying price. Calculate synthetic futures as: Forward = Spot x e^(r x T) where r is interest rate and T is time to expiry in years.

• Use underlying_symbol and underlying_exchange to choose between spot and futures as underlying. If not specified, automatically uses spot price.

• Use expiry_time for MCX commodities that don't expire at the default 23:30. See MCX Commodity Expiry Times section below.

Response Parameters

Parameter	Description	Type
status	API response status (success/error)	string
symbol	Option symbol	string
exchange	Exchange code	string
underlying	Underlying symbol	string
strike	Strike price	number
option_type	Option type (CE/PE)	string
expiry_date	Expiry date (formatted)	string
days_to_expiry	Days remaining to expiry	number
spot_price	Underlying spot/futures/forward price	number
option_price	Current option premium	number
interest_rate	Interest rate used	number
implied_volatility	Implied Volatility (%)	number
greeks	Object containing Greeks	object
greeks.delta	Delta (rate of change of option price)	number
greeks.gamma	Gamma (rate of change of delta)	number
greeks.theta	Theta (time decay per day)	number
greeks.vega	Vega (sensitivity to volatility per 1%)	number
greeks.rho	Rho (sensitivity to interest rate)	number