OptionGreeks

Calculate Option Greeks (Delta, Gamma, Theta, Vega, Rho) and Implied Volatility for an option.

Endpoint URL

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

Sample API Request

{
  "apikey": "<your_app_apikey>",
  "symbol": "NIFTY25NOV2526000CE",
  "exchange": "NFO",
  "interest_rate": 0.00,
  "underlying_symbol": "NIFTY",
  "underlying_exchange": "NSE_INDEX"
}

Sample cURL Request

curl -X POST http://127.0.0.1:5000/api/v1/optiongreeks \
  -H 'Content-Type: application/json' \
  -d '{
  "apikey": "<your_app_apikey>",
  "symbol": "NIFTY25NOV2526000CE",
  "exchange": "NFO",
  "interest_rate": 0.00,
  "underlying_symbol": "NIFTY",
  "underlying_exchange": "NSE_INDEX"
}'

Sample API Response

{
  "status": "success",
  "symbol": "NIFTY25NOV2526000CE",
  "exchange": "NFO",
  "underlying": "NIFTY",
  "strike": 26000.0,
  "option_type": "CE",
  "expiry_date": "25-Nov-2025",
  "days_to_expiry": 28.5071,
  "spot_price": 25966.05,
  "option_price": 435,
  "interest_rate": 0.0,
  "implied_volatility": 15.6,
  "greeks": {
    "delta": 0.4967,
    "gamma": 0.000352,
    "theta": -7.919,
    "vega": 28.9489,
    "rho": 9.733994
  }
}

Request Body

Parameter	Description	Mandatory/Optional	Default Value
apikey	Your Tradeboard API key	Mandatory	-
symbol	Option symbol	Mandatory	-
exchange	Derivatives exchange: NFO, BFO, MCX, CDS, NCO, BCD, NCDEX, CRYPTO	Mandatory	-
interest_rate	Risk-free interest rate as an annualized percentage, 0 to 100	Optional	0
forward_price	Custom forward or synthetic futures price, non-negative. When supplied, the underlying price fetch is skipped	Optional	Resolved automatically
underlying_symbol	Underlying symbol for the reference price (e.g., NIFTY or NIFTY28NOV24FUT)	Optional	Derived from the option symbol
underlying_exchange	Underlying exchange (e.g., NSE_INDEX, NFO). Not enum-validated	Optional	Derived from the option symbol
expiry_time	Custom expiry time in HH:MM format (e.g., 15:30, 19:00)	Optional	Exchange default cut-off

The per-exchange default interest rate is currently 0 for every exchange: the platform deliberately does not assume a rate. Supply interest_rate explicitly if you want rho and the rate-sensitive part of the model to be meaningful.

These eight fields are the complete OptionGreeksSchema. Any other field returns HTTP 400. exchange is validated against the derivatives list, so cash and index exchanges are rejected here.

This endpoint uses GREEKS_RATE_LIMIT, whose in-code fallback is 30 per minute, rather than the shared API_RATE_LIMIT.

Response Fields

Field	Type	Description
status	string	"success" or "error"
symbol	string	Option symbol
exchange	string	Exchange
underlying	string	Underlying symbol
strike	number	Strike price
option_type	string	CE or PE
expiry_date	string	Expiry date
days_to_expiry	number	Days remaining to expiry (fractional)
spot_price	number	Current spot/underlying price
option_price	number	Current option LTP
interest_rate	number	Risk-free rate used
implied_volatility	number	Calculated IV (%)
greeks	object	Greeks values

Greeks Object Fields

Field	Type	Description
delta	number	Price sensitivity to underlying movement
gamma	number	Delta sensitivity to underlying movement
theta	number	Time decay per day (negative)
vega	number	Price sensitivity to 1% IV change
rho	number	Price sensitivity to 1% interest rate change

Understanding Option Greeks

Greek	Description	Typical Range
Delta	How much option price moves for ₹1 underlying move	CE: 0 to 1, PE: -1 to 0
Gamma	Rate of change of delta	Higher near ATM
Theta	Daily time decay (negative for buyers)	Increases near expiry
Vega	Price change for 1% IV move	Higher for longer expiry
Rho	Price change for 1% interest rate move	Usually small

Notes

• Uses the Black-76 model. For F&O contracts the service attempts to resolve a per-expiry synthetic future as the forward and falls back to the underlying quote when a synthetic forward cannot be computed.
• Implied Volatility is calculated using Newton-Raphson method
• For deep ITM options with no time value, returns theoretical Greeks (delta = ±1)
• days_to_expiry includes fractional days for accuracy
• forward_price bypasses automatic forward resolution. underlying_symbol and underlying_exchange override automatic underlying lookup.

Use Cases

• Position sizing: Use delta for hedge ratios
• Risk management: Monitor gamma exposure
• Time decay analysis: Track theta decay
• Volatility trading: Monitor vega exposure

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