MEmerqube
options

Custom option pricer

MERQUBE OPTIONPRICE API returns the price of a custom option, the implied volatility (vol), implied interest rate (interest_rate), implied dividend yield (dividend_yield), and the option greeks (delta, vega, theta, and gamma). The API requires the underlying (root), date on which the pricing is desired (asofdate), strike of the custom option (strike), expiration (expiry), the type of the option (otype) [Put/Call], and the exercise type (etype)[European/American].

post/optionprice

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.

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.

strikenumber required

Strike of the option being priced. Any number greater than zero.

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",
  "expiry": "Mon, 15 Feb 2021 00:00:00 GMT",
  "scale_dividend": 1,
  "strike": 300
}

Response

200 response

bid_ask_spreadnumber

Spread between Bid and Ask prices of the option being priced

deltanumber

Delta of this option

dividend_yieldnumber

Implied Dividend Yield for the underlying

gammanumber

Gamma of the option being priced

interest_ratenumber

Implied Interest Rate

pricenumber

Option Price

request_idstring

Request ID sent in the request

spotnumber

Underlying spot price

thetanumber

Theta of the option being priced

veganumber

Vega of the option being priced

volnumber

Implied Volatility

Changes

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