MEmerqube
options

Given budget and other criteria, find strike price

MERQUBE FINDSTRIKE API returns the strike of a custom option given the underlying (root), the budget (cost of the option for which the strike is desired), date on which the strike price is desired (asofdate), expiration date of the option (expiry), and the type of the option (otype) [Put/Call], and the exercise type (etype)[European/American]. The API response contains the parameter strike which provides the strike of the option for the given budget.

post/findstrike

Request

Request body

asofdatestring date required

The date as of which the price of the option is being requested. Any date between 01-10-2005 and the most recent trading date of the underlying asset.

budgetnumber required
etype'European' | 'American' required

The option exercise type is either “European”, which can only be exercised at expiration, or “American”, which can be exercised at any time up to and including the expiration date.

expirystring date required

The expiry or expiration date is the date on which the options contract expires. Any date between 01-10-2005 and the expiration date of the longest dated options series on the given underlying asset.

extrapolation_daysinteger

This parameter allows the pricing of the option to use an implied dividend schedule to be moved forward by the number of days specified in this parameter. Any number greater than or equal to zero. Default value is zero.

otype'put' | 'call' required

The option type refers to whether an option is a put option or a call option.

request_idstring

This request id is returned back to the sender in the response

root'SPY' | 'TLT' | 'QQQ' | 'IWM' required

Code for the underlying instrument on which the option is priced.

scale_dividendnumber

Allows all of the dividends in the implied dividend schedule to be scaled by this input parameter. Any number greater than zero and less than 5. Default value is one.

volatility_shiftnumber

Allows the user to change the implied volatility that is used to compute the price of the option (calculated from the volatility surface) by adding the input value to the one computed. For example, if the parameter provided is 0.1, the implied volatility used to calculate the option price would add 10% to the implied volatility calculated internally from the volatility surface. Number between -0.25 and 0.25, default value of zero.

Example request

{
  "asofdate": "Tue, 26 May 2020 00:00:00 GMT",
  "budget": 3.1,
  "expiry": "Mon, 15 Feb 2021 00:00:00 GMT",
  "scale_dividend": 1
}

Response

200 response

request_idstring

Request ID sent in the request

spotnumber

Underlying spot price.

strikenumber

Strike that prices to the given budget.

strike_percentagenumber

Strike as a percentage of the underlying spot price that prices to the given budget.

Changes

No recorded changes to this operation across all 1 revision of this API.