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Does Zerodha provide API to pull greeks options chain data on realtime?

Lavish
Lavish in General
I need greeks options chain data(delta, vega and gamma) for some calcluations therefore I am looking for API, api must return real time data. Wanted to ask 'Does Zerodha provide API to pull greeks options chain data on realtime'
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  • Lavish
    Lavish
    if Zerodha doesn't provide greeks data then is there any other way to pull options greek data?
  • rakeshr
    rakeshr
    No, we don't have APIs for the calculation of option greek. You can create a method at your end to return greek values based on the formula stated here.
  • Lavish
    Lavish
    Thanks for the response Rakesh.
    link mentioned has JS file so do you know any link where code is written in python. I know I can google but if you have reliable link then please let me know.

    Does NSE provide Greeks data like they have option chain data?

    And one more que: why output from JS file different from sensibull data for greeks and premium. Does Sensibull use any different algorithm?
  • rakeshr
    rakeshr
    @Lavish
    link mentioned has JS file so do you know any link where code is written in python.
    Currently, we don't have python specific code for the Black-Scholes model.
    Does NSE provide Greeks data like they have option chain data?
    Yes, NSE does provide real-time option greeks but looks like it's a paid feature.
    why output from JS file different from sensibull data for greeks and premium. Does Sensibull use any different algorithm?
    Yes, Sensibull uses the improvised Black 76 model instead of the conventional Black Scholes model. You can go through this article to know more.
  • decipher
    decipher
    Is there any Calculation/Formula reference to Black76 Model?
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