derivatives

Option IV and Greeks by strike

Implied volatility and Greeks for every option strike of one underlying, expiry and session, computed end-of-day with Black-76 on the forward. History from 2001 (NSE) and 2024 (BSE). date and expiry are required. IV is in percent. Pages by exchange, strike, option type.

get/v1/derivatives/{underlying}/option-analytics

Request

  • Base URL: https://api.tapetide.com
  • URL: https://api.tapetide.com/v1/derivatives/{underlying}/option-analytics
  • Auth: HTTP bearer

Path parameters

underlyingstring required

Underlying symbol as listed for derivatives, e.g. "NIFTY", "BANKNIFTY", "SENSEX", "RELIANCE". Percent-encode "&" (M%26M).

Query parameters

datestring required

Trading session (required).

expirystring required

Option expiry (required).

option_type'CE' | 'PE'

CE (call) or PE (put).

min_strikenumber

Lowest strike (inclusive).

max_strikenumber

Highest strike (inclusive).

exchange'NSE' | 'BSE'

Restrict to one exchange. Many stock underlyings trade on both, with different expiry dates.

limitinteger

Items per page (default 200, max 1000). Values over the max are rejected, never clamped.

cursorstring

Opaque cursor from meta.next_cursor of the previous page.

Response

OK. Costs one request unit.

Example response

{
  "data": [
    {
      "date": "2026-10-14",
      "exchange": "NSE",
      "expiry": "2026-10-27",
      "strike": 22600,
      "option_type": "CE",
      "premium": 250.25,
      "premium_basis": "traded_close",
      "forward": 22646.1223,
      "forward_basis": "put_call_parity",
      "years_to_expiry": 0.035616,
      "log_moneyness": 0.002039,
      "iv_pct": 13.329,
      "iv_status": "ok",
      "delta": 0.536054,
      "gamma": 0.00069564,
      "vega": 16.936369,
      "theta": -8.637898
    }
  ]
}

Changes

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