Option Greeks

Calculate implied volatility and Black-76 Greeks using an option quote and an underlying/forward price.

Offline source contract; this page is not a production deployment announcement. Replace symbols, expiries, quantities and mode snapshots with current account evidence before use.

POST /api/v1/optiongreeks

Authentication: apikey JSON; identity checked in route/service. Send a JSON object with Content-Type: application/json.

Parameters

Field	Type	Required	Default / omission	Meaning
apikey	String	Yes	required	Per-broker IMC key; never use the broker access token.
symbol	String	Yes	required	Current IMC trading symbol from master contracts.
exchange	String	Yes	required	Exchange identifier supported by the selected instrument and broker.
interest_rate	Float	No	omitted; see behavior below	Annualized percent, 0–100; omission uses exchange defaults.
forward_price	Float	No	omitted; see behavior below	Non-negative custom forward price; skips underlying quote lookup.
underlying_symbol	String	No	omitted; see behavior below	Optional explicit underlying symbol for Greeks.
underlying_exchange	String	No	omitted; see behavior below	Optional explicit underlying exchange for Greeks.
expiry_time	String	No	omitted; see behavior below	Optional HH:MM expiry-time override; omission uses exchange defaults.

Request example

{
  "apikey": "YOUR_BROKER_IMC_KEY",
  "symbol": "NIFTY31DEC2625000CE",
  "exchange": "NFO"
}

Python SDK

from layr0_imc import api

client = api(api_key="YOUR_BROKER_IMC_KEY", host="https://YOUR_IMC_HOST")

result = client.optiongreeks(symbol='NIFTY31DEC2625000CE', exchange='NFO')
print(result)

Response and errors

Illustrative 200 success; values are examples, not broker evidence:

{
  "status": "success",
  "symbol": "NIFTY31DEC2625000CE",
  "exchange": "NFO",
  "underlying": "NIFTY",
  "strike": 25000,
  "option_type": "CE",
  "expiry_date": "31-Dec-2026",
  "days_to_expiry": 80,
  "spot_price": 25000,
  "option_price": 500,
  "interest_rate": 7,
  "implied_volatility": 15,
  "greeks": {
    "delta": 0.5,
    "gamma": 0.0001,
    "theta": -2,
    "vega": 10,
    "rho": 1
  }
}

All incoming JSON objects and arrays follow recursive forbidden-field validation. A prohibited documentation key returns 400 before execution:

{
  "status": "error",
  "error_code": "FORBIDDEN_JSON_FIELD",
  "message": "Documentation fields are not allowed in request JSON."
}

Schema errors use 400. Authentication and broker-session failures retain endpoint-specific errors. See HTTP errors and authentication/mode requirements. No error response authorizes an automatic order retry.

Modes, capabilities and usage

Supported option exchanges: NFO, BFO, CDS and MCX. Requires a usable option quote and underlying price or supplied forward_price. Greeks are calculated, not broker execution evidence. Returns symbol metadata, days_to_expiry, spot_price, option_price, implied_volatility and greeks (delta, gamma, theta, vega, rho). No mode preconditions or route usage-recording decorator are attached.

Source handler: restx_api.option_greeks.OptionGreeks.post. Source services: services.option_greeks_service.get_option_greeks.