OptionGreeks

Endpoint URL

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

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

Prerequisites

mibian Library Required
- Install with: pip install mibian
- Or with uv: uv pip install mibian
- Required for Black-Scholes calculations
Market Data Access
- Requires real-time LTP for underlying and option
- Uses OpenAlgo quotes API internally
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": "eb51c74ed08ffc821fd5da90b55b7560a3a9e48fd58df01063225ecd7b98c993",
    "symbol": "NIFTY28OCT2526000CE",
    "exchange": "NFO"
}

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

Sample API Request (Explicit Underlying with Zero Interest Rate)

{
    "apikey": "eb51c74ed08ffc821fd5da90b55b7560a3a9e48fd58df01063225ecd7b98c993",
    "symbol": "NIFTY28OCT2526000CE",
    "exchange": "NFO",
    "interest_rate": 0,
    "underlying_symbol": "NIFTY",
    "underlying_exchange": "NSE_INDEX"
}

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

Sample API Response (Success)

{
    "status": "success",
    "symbol": "NIFTY28OCT2526000CE",
    "exchange": "NFO",
    "underlying": "NIFTY",
    "strike": 26000,
    "option_type": "CE",
    "expiry_date": "28-Oct-2025",
    "days_to_expiry": 0.59,
    "spot_price": 25966.05,
    "option_price": 85.55,
    "interest_rate": 0,
    "implied_volatility": 464.42,
    "greeks": {
        "delta": 0.4489,
        "gamma": 0.001554,
        "theta": -30962.4879,
        "vega": 0.2169,
        "rho": 0.000516
    }
}

Note: This is an expiry day example (0.59 days to expiry) showing very high IV (464.42%) and extreme theta decay (-30962.48 per day), typical of near-expiry ATM options.

Sample API Request (Using Futures as Underlying)

{
    "apikey": "eb51c74ed08ffc821fd5da90b55b7560a3a9e48fd58df01063225ecd7b98c993",
    "symbol": "NIFTY28NOV2526000CE",
    "exchange": "NFO",
    "underlying_symbol": "NIFTY28NOV25FUT",
    "underlying_exchange": "NFO"
}

Note: Uses futures price instead of spot for calculations. Useful when options are based on futures pricing.

Sample API Response (Success - Standard)

{
    "status": "success",
    "symbol": "NIFTY28NOV2526000CE",
    "exchange": "NFO",
    "underlying": "NIFTY",
    "strike": 26000,
    "option_type": "CE",
    "expiry_date": "28-Nov-2025",
    "days_to_expiry": 5.42,
    "spot_price": 26015.75,
    "option_price": 125.50,
    "interest_rate": 0,
    "implied_volatility": 15.25,
    "greeks": {
        "delta": 0.5234,
        "gamma": 0.000125,
        "theta": -12.5678,
        "vega": 18.7654,
        "rho": 0.001234
    }
}

Note: Shows default interest_rate: 0. For long-dated options, specify current RBI repo rate for accurate Rho.

Sample API Request (With Custom Interest Rate)

{
    "apikey": "eb51c74ed08ffc821fd5da90b55b7560a3a9e48fd58df01063225ecd7b98c993",
    "symbol": "BANKNIFTY28NOV2550000CE",
    "exchange": "NFO",
    "interest_rate": 6.5
}

Note: Explicitly specify interest rate (e.g., 6.5%) for accurate Rho calculations, especially for long-dated options.

Sample API Request (BFO - SENSEX Option)

{
    "apikey": "your_api_key",
    "symbol": "SENSEX28NOV2580000CE",
    "exchange": "BFO"
}

Sample API Request (CDS - Currency Option)

{
    "apikey": "your_api_key",
    "symbol": "USDINR28NOV2585.50CE",
    "exchange": "CDS"
}

Sample API Request (MCX - Commodity Option with Custom Expiry Time)

{
    "apikey": "your_api_key",
    "symbol": "CRUDEOIL17NOV255400CE",
    "exchange": "MCX",
    "expiry_time": "19:00"
}

Note: MCX contracts have different expiry times. Crude Oil expires at 7:00 PM (19:00), so specify custom expiry time.

Sample API Request (MCX - NATURALGAS at 19:00)

{
    "apikey": "your_api_key",
    "symbol": "NATURALGAS28DEC25300CE",
    "exchange": "MCX",
    "expiry_time": "19:00"
}

Note: Natural Gas expires at 7:00 PM (19:00). Always specify correct expiry time for MCX.

Parameter Description

Parameters

Description

Mandatory/Optional

Default Value

apikey

App API key

Mandatory

symbol

Option symbol (e.g., NIFTY28NOV2526000CE)

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

underlying_symbol

Custom underlying symbol (e.g., NIFTY or NIFTY28NOV25FUT)

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).
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 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)

number

greeks.rho

Rho (sensitivity to interest rate)

number

Understanding Greeks

Delta

Range: -1 to +1 (Call: 0 to 1, Put: -1 to 0)
Meaning: Change in option price for ₹1 change in underlying
Example: Delta of 0.5 means option moves ₹0.50 for ₹1 move in underlying
Use: Position sizing, hedge ratio calculation

Gamma

Range: 0 to ∞ (same for Call and Put)
Meaning: Change in Delta for ₹1 change in underlying
Example: Gamma of 0.01 means Delta increases by 0.01 for ₹1 rise
Use: Delta hedging frequency, risk assessment

Theta

Range: Negative for long options
Meaning: Change in option price per day (time decay)
Example: Theta of -10 means option loses ₹10 per day
Use: Time decay analysis, optimal holding period

Vega

Range: Positive for long options
Meaning: Change in option price for 1% change in IV
Example: Vega of 15 means option gains ₹15 if IV rises by 1%
Use: Volatility trading, earnings plays

Rho

Range: Positive for Calls, Negative for Puts
Meaning: Change in option price for 1% change in interest rate
Example: Rho of 0.05 means option gains ₹0.05 for 1% rate rise
Use: Long-term options, rate-sensitive strategies

Supported Exchanges and Symbols

NFO (NSE Futures & Options)

Index Options:

NIFTY, BANKNIFTY, FINNIFTY, MIDCPNIFTY

Equity Options:

All NSE stocks with F&O segment (RELIANCE, TCS, INFY, etc.)

Symbol Format: SYMBOL[DD][MMM][YY][STRIKE][CE/PE]

Example: NIFTY28NOV2526000CE

Expiry Time: 3:30 PM (15:30 IST)

BFO (BSE Futures & Options)

Index Options:

SENSEX, BANKEX, SENSEX50

Symbol Format: SYMBOL[DD][MMM][YY][STRIKE][CE/PE]

Example: SENSEX28NOV2580000CE

Expiry Time: 3:30 PM (15:30 IST)

CDS (Currency Derivatives)

Currency Pairs:

USDINR, EURINR, GBPINR, JPYINR

Symbol Format: SYMBOL[DD][MMM][YY][STRIKE][CE/PE]

Example: USDINR28NOV2585.50CE
Note: Strike can have decimals for currency options

Expiry Time: 12:30 PM (12:30 IST)

MCX (Multi Commodity Exchange)

Commodities:

GOLD, GOLDM, SILVER, SILVERM
CRUDEOIL, NATURALGAS
COPPER, ZINC, LEAD, ALUMINIUM

Symbol Format: SYMBOL[DD][MMM][YY][STRIKE][CE/PE]

Example: CRUDEOIL17NOV255400CE

Default Expiry Time: 11:30 PM (23:30 IST)

Important: MCX commodities have different expiry times. Always specify expiry_time parameter for accurate Greeks calculation.

MCX Commodity Expiry Times

Different MCX commodities expire at different times. Use the expiry_time parameter to specify the correct time:

Commodity Category

Expiry Time

Format

Example Request

Precious Metals

GOLD, GOLDM, GOLDPETAL

5:00 PM

"17:00"

"expiry_time": "17:00"

SILVER, SILVERM, SILVERMIC

5:00 PM

"17:00"

"expiry_time": "17:00"

Energy

CRUDEOIL, CRUDEOILM

7:00 PM

"19:00"

"expiry_time": "19:00"

NATURALGAS

7:00 PM

"19:00"

"expiry_time": "19:00"

Base Metals

COPPER, ZINC, LEAD

5:00 PM

"17:00"

"expiry_time": "17:00"

ALUMINIUM, NICKEL

5:00 PM

"17:00"

"expiry_time": "17:00"

Agri Commodities

COTTONCANDY, MENTHAOIL

5:00 PM

"17:00"

"expiry_time": "17:00"

API Request Examples:

// Crude Oil expires at 7:00 PM (LTP: 5443)
{
    "apikey": "your_api_key",
    "symbol": "CRUDEOIL17NOV255400CE",
    "exchange": "MCX",
    "expiry_time": "19:00"
}

// Gold expires at 5:00 PM
{
    "apikey": "your_api_key",
    "symbol": "GOLD28DEC2575000CE",
    "exchange": "MCX",
    "expiry_time": "17:00"
}

// Natural Gas expires at 7:00 PM
{
    "apikey": "your_api_key",
    "symbol": "NATURALGAS28DEC25300CE",
    "exchange": "MCX",
    "expiry_time": "19:00"
}

Note: If you don't specify expiry_time, it defaults to 23:30 (11:30 PM), which may give incorrect Greeks for most MCX commodities.

API Request Examples: With and Without Optional Parameters

This section demonstrates various usage scenarios and when to use optional parameters.

Example 1: Basic Request (No Optional Parameters)

Scenario: Calculate Greeks for NIFTY option using default settings

{
    "apikey": "your_api_key",
    "symbol": "NIFTY28NOV2526000CE",
    "exchange": "NFO"
}

What Happens:

✓ Auto-detects NIFTY from NSE_INDEX (spot price)
✓ Uses default interest rate: 0%
✓ Uses default expiry time: 15:30 (NFO)
✓ Simplest usage - good for most traders

When to Use:

Standard index options trading
Short-term options (< 7 days) where interest rate impact is negligible
When you don't need accurate Rho calculations

Example 2: With Custom Interest Rate

Scenario: Calculate Greeks with current RBI repo rate for long-dated option

{
    "apikey": "your_api_key",
    "symbol": "BANKNIFTY28NOV2550000CE",
    "exchange": "NFO",
    "interest_rate": 6.5
}

What Happens:

✓ Uses 6.5% instead of default 0%
✓ Affects Rho calculation significantly
✓ Minor impact on other Greeks (< 0.5%)

When to Use:

Long-dated options (> 30 days to expiry)
Interest rate sensitive strategies (Rho hedging)
Comparing with broker Greeks that use specific rates
Professional trading requiring accurate Rho

When NOT to Use:

Short-term weekly options (impact < 0.1%)
Theoretical calculations (use default 0)

Example 3: Using Futures as Underlying

Scenario: Calculate Greeks based on futures price (arbitrage trading)

{
    "apikey": "your_api_key",
    "symbol": "NIFTY28NOV2526000CE",
    "exchange": "NFO",
    "underlying_symbol": "NIFTY28NOV25FUT",
    "underlying_exchange": "NFO"
}

What Happens:

✓ Uses NIFTY futures price instead of spot
✓ Futures price includes cost of carry
✓ Delta, IV may differ by 1-3% vs spot

When to Use:

Arbitrage strategies (futures vs options)
When broker uses futures for Greeks
Equity options with liquid futures
Professional trading desks

Example - Equity with Futures:

{
    "apikey": "your_api_key",
    "symbol": "RELIANCE28NOV251600CE",
    "exchange": "NFO",
    "underlying_symbol": "RELIANCE28NOV25FUT",
    "underlying_exchange": "NFO"
}

Example 4: MCX with Custom Expiry Time

Scenario: Calculate Greeks for Crude Oil options (expires at 19:00)

{
    "apikey": "your_api_key",
    "symbol": "CRUDEOIL17NOV255400CE",
    "exchange": "MCX",
    "expiry_time": "19:00"
}

What Happens:

✓ Uses 19:00 (7 PM) expiry instead of default 23:30
✓ DTE calculated accurately
✓ Theta, IV more accurate on expiry day

When to Use:

ALL MCX commodity options (except those expiring at 23:30)
Critical for accurate Greeks on expiry day
Gold, Silver, Copper: 17:00
Natural Gas, Crude Oil: 19:00

Example - Natural Gas at 19:00:

{
    "apikey": "your_api_key",
    "symbol": "NATURALGAS28DEC245000CE",
    "exchange": "MCX",
    "expiry_time": "19:00"
}

Example 5: Currency Options (CDS)

Scenario: USD/INR option (expires at 12:30)

{
    "apikey": "your_api_key",
    "symbol": "USDINR28NOV2483.50CE",
    "exchange": "CDS"
}

What Happens:

✓ Auto-detects USDINR from CDS exchange
✓ Uses correct expiry time: 12:30 (CDS default)
✓ Supports decimal strikes (83.50)

When to Use: Currency derivatives trading

Example 6: All Parameters Combined

Scenario: Professional setup with full control

{
    "apikey": "your_api_key",
    "symbol": "NIFTY28DEC2526500CE",
    "exchange": "NFO",
    "interest_rate": 6.75,
    "underlying_symbol": "NIFTY28DEC25FUT",
    "underlying_exchange": "NFO"
}

What Happens:

✓ Custom interest rate: 6.75% (instead of default 0%)
✓ Uses futures as underlying (instead of spot)
✓ Maximum control over calculation

When to Use:

Institutional trading with specific interest rate requirements
Greeks matching with broker platform that uses specific rates
Research and backtesting with historical interest rates
Long-dated options requiring accurate Rho

Example 7: BSE Options (BFO)

Scenario: SENSEX option

{
    "apikey": "your_api_key",
    "symbol": "SENSEX28NOV2475000CE",
    "exchange": "BFO"
}

What Happens:

✓ Auto-detects SENSEX from BSE_INDEX
✓ Uses correct expiry time: 15:30 (BFO)

When to Use: BSE index options trading

Quick Reference: When to Use Optional Parameters

Parameter

Use When

Don't Use When

interest_rate

Long-dated options, Rho analysis, matching broker

Short-term weekly options

underlying_symbol

Arbitrage, comparing with broker, equity options

Standard index option trading

underlying_exchange

Custom underlying setup

Auto-detection works fine

expiry_time

ALWAYS for MCX (except 23:30 contracts)

NFO/BFO/CDS (already correct)

Impact of Optional Parameters on Greeks

Interest Rate (Default 0% → Custom 6.5%):

Rho: Significant change (from near-zero to meaningful value)
Delta: ±0.2-0.5% change (for long-dated options)
Other Greeks: < 0.1% change
Impact:
- High for Rho (critical for interest rate sensitive strategies)
- Low for other Greeks (especially short-term options)
- Negligible for < 7 days to expiry

Underlying: Spot vs Futures (1% difference in price):

Delta: ±2-5% change
IV: ±0.3-1% change
Other Greeks: ±1-3% change
Impact: Moderate to High

Expiry Time (6 hours difference: 17:00 vs 23:30):

DTE: 6 hours difference
Theta: ±10-30% change on expiry day
IV: ±2-8% change near expiry
Gamma: ±5-15% change near expiry
Impact: High (especially near expiry)

Exchange-Specific Expiry Times

Exchange

Expiry Time

Impact on DTE & Greeks

NFO

3:30 PM (15:30)

Standard - Most index & equity options

BFO

3:30 PM (15:30)

Standard - BSE index options

CDS

12:30 PM (12:30)

Earlier expiry - Higher theta near expiry morning

MCX

11:30 PM (23:30)

Later expiry - More time value on expiry day

DTE Calculation:

Days to Expiry (DTE) is calculated in years: (expiry_datetime - current_datetime) / 365
Accurate expiry time ensures precise time decay (theta) calculations
CDS options expire 3 hours before NFO/BFO, affecting same-day calculations
MCX options have 8 extra hours compared to NFO/BFO on expiry day

Example - Same Expiry Date, Different Times:

Date: 17-Nov-2025 at 2:00 PM

CDS Option (USDINR17NOV2585.50CE):
  - Expired 1.5 hours ago (12:30 PM)
  - DTE: 0 (already expired)

NFO Option (NIFTY17NOV2526000CE):
  - Expires in 1.5 hours (3:30 PM)
  - DTE: 0.0063 years (~1.5 hours)

MCX Option (CRUDEOIL17NOV255400CE):
  - Expires in 5 hours (7:00 PM) [Crude Oil expires at 19:00]
  - DTE: 0.0208 years (~5 hours)

Default Interest Rates by Exchange

Exchange

Default Rate (%)

Description

NFO

NSE F&O

BFO

BSE F&O

CDS

Currency Derivatives

MCX

Commodities

Note: Default is 0 for all exchanges. Explicitly specify interest_rate parameter (e.g., 6.5, 6.75) for accurate Rho calculations and when trading long-dated options.

When to Specify Interest Rate:

✓ Long-dated options (> 30 days to expiry)
✓ Interest rate sensitive strategies (Rho hedging)
✓ Matching with broker Greeks
✗ Short-term options (< 7 days) - minimal impact
✗ Theoretical or academic calculations

Error Responses

mibian Library Not Installed

{
    "status": "error",
    "message": "Option Greeks calculation requires mibian library. Install with: pip install mibian"
}

Invalid Symbol Format

{
    "status": "error",
    "message": "Invalid option symbol format: NIFTY2400CE"
}

Option Expired

{
    "status": "error",
    "message": "Option has expired on 28-Oct-2024"
}

Underlying Price Not Available

{
    "status": "error",
    "message": "Failed to fetch underlying price: Symbol not found"
}

Option Price Not Available

{
    "status": "error",
    "message": "Option LTP not available"
}

Common Error Messages

Error Message

Cause

Solution

mibian library not installed

Missing dependency

Run: pip install mibian

Invalid option symbol format

Symbol pattern doesn't match

Use: SYMBOL[DD][MMM][YY][STRIKE][CE/PE]

Option has expired

Expiry date in the past

Use current month contracts

Failed to fetch underlying price

Underlying symbol not found

Verify symbol and exchange

Option LTP not available

No trading data for option

Check market hours, symbol validity

Invalid openalgo apikey

API key incorrect

Verify API key in settings

How Expiry Times Affect Calculations

Impact on Time to Expiry (DTE)

Accurate expiry times are critical for precise Greeks calculation. The API automatically uses exchange-specific expiry times:

Time to Expiry Formula:

time_to_expiry = (expiry_datetime - current_datetime) / 365

Example on Expiry Day (28-Nov-2025):

Time Now

CDS (12:30)

NFO/BFO (15:30)

MCX (23:30)

10:00 AM

2.5 hrs (0.0104 yrs)

5.5 hrs (0.0229 yrs)

13.5 hrs (0.0563 yrs)

12:00 PM

0.5 hrs (0.0021 yrs)

3.5 hrs (0.0146 yrs)

11.5 hrs (0.0479 yrs)

1:00 PM

Expired (0 yrs)

2.5 hrs (0.0104 yrs)

10.5 hrs (0.0438 yrs)

4:00 PM

Expired (0 yrs)

7.5 hrs (0.0313 yrs)

Impact on Theta (Time Decay)

Theta accelerates as expiry approaches:

CDS at 11:00 AM (1.5 hours to expiry):
  Theta: -50 to -100 per day (very high decay)

NFO at 11:00 AM (4.5 hours to expiry):
  Theta: -30 to -60 per day (high decay)

MCX at 11:00 AM (12.5 hours to expiry):
  Theta: -15 to -30 per day (moderate decay)

Key Insight: On expiry day morning, CDS options decay faster than NFO/BFO, which decay faster than MCX.

Impact on Implied Volatility

Same option, different DTE affects IV calculation:

More time → Lower IV for same premium (more time value)
Less time → Higher IV for same premium (less time value)

Example:

NIFTY Option Premium: ₹50

At 10:00 AM (5.5 hrs to NFO expiry):
  Implied IV: ~18%

At 3:00 PM (0.5 hrs to NFO expiry):
  Implied IV: ~35%
  (Same premium, but much higher IV due to less time)

Impact on Delta

Delta is less affected by small DTE changes, but:

Very near expiry (< 1 hour), delta can shift rapidly
ATM options approach delta of 0.5 faster
Deep ITM → 1.0, Deep OTM → 0.0 faster near expiry

Impact on Gamma

Gamma peaks near expiry for ATM options:

NIFTY ATM Call:

7 days before expiry:
  Gamma: ~0.0001

1 day before expiry:
  Gamma: ~0.001 (10x higher)

1 hour before expiry:
  Gamma: ~0.01 (100x higher - very sensitive!)

Exchange Comparison on Expiry Day 10:00 AM:

CDS (2.5 hrs left): Gamma ~0.008 (very high)
NFO (5.5 hrs left): Gamma ~0.005 (high)
MCX (13.5 hrs left): Gamma ~0.002 (moderate)

Impact on Vega

Vega decreases as expiry approaches:

NIFTY ATM Call:

30 days to expiry:
  Vega: ~25 (high sensitivity to IV)

7 days to expiry:
  Vega: ~12

1 day to expiry:
  Vega: ~3 (low sensitivity)

On Expiry Day: MCX options retain more vega than NFO, which retain more than CDS.

Practical Implications

Trading on Expiry Day:
- CDS options lose time value fastest (expire by lunch)
- NFO/BFO options decay rapidly in afternoon
- MCX options have full day to trade
IV Calculations:
- Use correct expiry time to avoid IV calculation errors
- Wrong expiry time can show IV off by 2-5% near expiry
Theta Strategies:
- CDS theta decay is most aggressive in morning
- MCX theta spreads decay over longer period
Gamma Scalping:
- CDS gamma peaks earlier in the day
- NFO gamma highest 12-3 PM on expiry
- MCX gamma peaks late evening

Spot vs Futures as Underlying

When to Use Spot (Default)

Best For:

Index options (NIFTY, BANKNIFTY, SENSEX)
Currency options (USDINR, EURINR)
Most traders prefer spot for simplicity

Example:

{
    "symbol": "NIFTY28NOV2526000CE",
    "exchange": "NFO"
}

Auto-detects NIFTY from NSE_INDEX

When to Use Futures

Best For:

Arbitrage strategies
When option pricing is based on futures
Comparing with broker Greeks that use futures
Equity options where futures are liquid

Example - Using Futures:

{
    "symbol": "NIFTY28NOV2526000CE",
    "exchange": "NFO",
    "underlying_symbol": "NIFTY28NOV25FUT",
    "underlying_exchange": "NFO"
}

Example - Equity with Futures:

{
    "symbol": "RELIANCE28NOV251600CE",
    "exchange": "NFO",
    "underlying_symbol": "RELIANCE28NOV25FUT",
    "underlying_exchange": "NFO"
}

Spot vs Futures Pricing Difference

Spot: Current index/stock price
Futures: Forward price (includes cost of carry)
Difference: Typically 0.5-2% depending on time to expiry
Impact: Can affect Delta by 1-3% and IV by 0.1-0.5%

Use Cases

1. Delta-Neutral Portfolio

Calculate delta of all option positions to maintain market-neutral portfolio.

# Get greeks for each position
call_greeks = get_option_greeks("NIFTY28NOV2526000CE")
put_greeks = get_option_greeks("NIFTY28NOV2526000PE")

# Calculate net delta
net_delta = (call_qty * call_greeks['delta']) + (put_qty * put_greeks['delta'])

# Hedge with futures if needed

2. Time Decay Analysis

Monitor theta to understand daily decay and optimal exit timing.

# Check theta for your position
greeks = get_option_greeks("BANKNIFTY28NOV2550000CE")

# If theta is very high (e.g., -50), consider:
# - Closing position before weekend
# - Rolling to next expiry
# - Adjusting position size

3. Volatility Trading

Use vega to identify options most sensitive to IV changes.

# Compare vega across strikes
atm_greeks = get_option_greeks("NIFTY28NOV2526000CE")  # ATM
otm_greeks = get_option_greeks("NIFTY28NOV2526500CE")  # OTM

# ATM options typically have highest vega
# Trade before events: earnings, RBI policy, budget

4. Risk Assessment

Use gamma to understand risk of rapid delta changes.

# High gamma = High risk/reward
# Gamma highest for ATM options near expiry

greeks = get_option_greeks("NIFTY28NOV2526000CE")

if greeks['gamma'] > 0.01:
    print("High gamma - expect rapid delta changes")
    # Consider: tighter stop-loss, reduce position size

Integration Examples

Python Example

import requests

def get_option_greeks(symbol, exchange, interest_rate=None):
    url = "http://127.0.0.1:5000/api/v1/optiongreeks"

    payload = {
        "apikey": "your_api_key_here",
        "symbol": symbol,
        "exchange": exchange
    }

    if interest_rate:
        payload["interest_rate"] = interest_rate

    response = requests.post(url, json=payload)
    return response.json()

# Usage
greeks = get_option_greeks("NIFTY28NOV2526000CE", "NFO")

print(f"Delta: {greeks['greeks']['delta']}")
print(f"Theta: {greeks['greeks']['theta']}")
print(f"IV: {greeks['implied_volatility']}%")

JavaScript Example

async function getOptionGreeks(symbol, exchange, interestRate = null) {
    const url = 'http://127.0.0.1:5000/api/v1/optiongreeks';

    const payload = {
        apikey: 'your_api_key_here',
        symbol: symbol,
        exchange: exchange
    };

    if (interestRate) {
        payload.interest_rate = interestRate;
    }

    const response = await fetch(url, {
        method: 'POST',
        headers: {
            'Content-Type': 'application/json'
        },
        body: JSON.stringify(payload)
    });

    return await response.json();
}

// Usage
getOptionGreeks('BANKNIFTY28NOV2550000CE', 'NFO')
    .then(data => {
        console.log('Delta:', data.greeks.delta);
        console.log('IV:', data.implied_volatility);
    });

cURL Example

curl -X POST http://127.0.0.1:5000/api/v1/optiongreeks \
  -H "Content-Type: application/json" \
  -d '{
    "apikey": "your_api_key_here",
    "symbol": "NIFTY28NOV2526000CE",
    "exchange": "NFO"
  }'

Rate Limiting

Limit: 30 requests per minute
Scope: Per API endpoint
Response: 429 status code if limit exceeded

Best Practices

Install Dependencies First
- Install mibian before using API: pip install mibian
- Verify installation: python -c "import mibian"
Use Current Contracts
- Expired options will return error
- Use current or future expiry dates
Verify Symbol Format
- Format: SYMBOL[DD][MMM][YY][STRIKE][CE/PE]
- Example: NIFTY28NOV2526000CE ✓
- Wrong: NIFTY24000CE ✗
Market Hours
- Greeks require live prices
- Ensure markets are open for accurate data
- Pre-market/post-market may have stale data
Interest Rate Selection
- Default is 0% (no interest rate impact)
- Explicitly specify current RBI repo rate (6.25-7.0%) for:
  - Long-dated options (> 30 days to expiry)
  - Rho-sensitive strategies
  - Matching with broker Greeks
- Interest rate has minimal impact on short-term options (< 7 days)
Understand Greek Limitations
- Based on Black-Scholes (assumes log-normal distribution)
- May not account for dividends, early exercise
- More accurate for European-style index options
Cache Results
- Greeks don't change drastically every second
- Cache for 30-60 seconds to reduce API calls
- Recalculate when underlying moves significantly

Troubleshooting

Import Error: No module named 'mibian'

Solution: Install mibian library

pip install mibian
# or
uv pip install mibian

Greeks Seem Incorrect

Possible Causes:

Stale Prices: Check if markets are open
Wrong Interest Rate: Adjust interest_rate parameter
Symbol Parsing: Verify symbol format
Deep ITM/OTM: Greeks may be extreme for deep options

Solution:

Verify underlying and option LTP manually
Compare with broker's Greeks
Check expiry date is future

High IV Calculation Errors

Cause: Black-Scholes may not converge for very deep ITM/OTM options

Solution:

Use ATM or near-ATM options for accurate Greeks
Very deep options may require different models

Technical Notes

Black-Scholes Model

The API uses Black-Scholes model for European options:

Assumptions:

Constant volatility
Log-normal price distribution
No dividends
European exercise (index options)

Calculation Steps:

Parse option symbol to extract strike, expiry
Fetch spot price and option premium
Calculate time to expiry in years
Solve for Implied Volatility (IV)
Calculate Greeks using BS model with IV

Symbol Parsing

Supports multiple formats across exchanges:

NFO: NIFTY28NOV2526000CE
BFO: SENSEX28NOV2580000CE
CDS: USDINR28NOV2585.50CE (decimal strikes)
MCX: CRUDEOIL17NOV255400CE

Features

Multi-Exchange Support: NFO, BFO, CDS, MCX
Automatic Price Fetching: Gets live prices via quotes API
Accurate IV Calculation: Solves Black-Scholes for IV
Complete Greeks: Delta, Gamma, Theta, Vega, Rho
Flexible Interest Rate: Override default per request
Decimal Strike Support: For currency options
Error Handling: Comprehensive validation and errors

Limitations

Requires mibian Library: Must install separately
European Options: Best suited for index options
No Dividend Adjustment: Doesn't account for dividends
Market Hours: Requires live prices for accuracy
Deep Options: May have convergence issues for very deep ITM/OTM
Rate Assumption: Uses fixed interest rate (not dynamic)

Support

For issues or questions:

Verify mibian installation
Check symbol format matches documented pattern
Ensure markets are open for live data
Review OpenAlgo logs for detailed errors
Compare with broker Greeks to validate

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