The Greeks Request

The purpose of the greeks request is to provide greek information from a specific option instrument, based on the greek settings used in the request.

The greeks format

The greeks request must be formed by the option instrument symbol and the greek definition. These are separated by the exclamation mark ‘!’, while the greek definition must be enclosed in single quotation marks ‘’. The easiest way to add the greeks requests, is to go to the Advanced Options frame populated with the desired options and from its menu, select Copy to Clipboard and paste it to Excel.

OPTION_SYMBOL!'GREEK_DEFINITION'

The OPTION_SYMBOL parameter is the option instrument symbol used in QST.

Note

For option instruments, you can either use the actual symbol of the option, e.g. EWZ26C3400 (E-mini S&P End of Month options), or using the underlying symbol instead, e.g. ESZ26{EW}C3400. Only one option instrument and greek definition can be used per greeks request.

The GREEK_DEFINITION parameter represents the combination of the different greeks settings. The settings are separated by the ‘@’ character and can vary depending on what value is requested.
The greek settings used in the GREEK_DEFINITION parameter depend on the requested value in Field_Type:

1. Greeks (Delta, Gamma, Rho, Theta, Vega):

Field_Type#v2@Greek_Model@Underlying_Price@Volatility@Rate_of_Interest

2. Fair Value

Field_Type#v2@Greek_Model@Underlying_Price@Volatility@Rate_of_Interest@Fair_Value_Price_Format

3. Volatility

Field_Type#v2@Greek_Model@Underlying_Price@Option_Price@Rate_of_Interest

Note

The #v2 stands for the version 2 of the greeks request. You can access the documentation for the legacy version at this link.

The parameters composing the greek definition are explained below:

  1. Field_Type - the main field requested, can be a greek parameter, fair value or volatility. Possible values:

  • DL – Delta

  • GM – Gamma

  • RH – RHO

  • TH – Theta

  • VG – Vega

  • FV – Fair Value

  • FVC - Custom Fair Value

  • Volatility – Implied Volatility

  1. Greek_Model - computation model for the volatility, and in turn for all the greek values. Possible values:

  • Black-Scholes

  • Black76

  • Binominal

  • Trinominal

  • Barone-Adesi-Whaley

  • Bjerksund-Stensland02

  • Bachelier

  1. Underlying_Price - provide the source for the underlying price that is used for the computation of the volatility, greeks and fair value. Possible values:

  • undST - uses the settlement price of the underlying future

  • undLS - uses the current price of the underlying future in the following order: arithmetic mean of the bid and ask, if one is missing it will try the other value, if both are missing it will use the Last / Previous Settlement price

  • custom price - add any custom price value in the format of the underlying

Note

undST can be used strictly for the computation of the volatility, it doesn’t affect greeks or fair value which can use undLS or a custom value.

  1. Option_Price - provide the source for the option price that is used for the computation of the volatility. Possible values:

  • optST - uses the settlement price of the option

  • undLS - uses the current price of the option in this order: arithmetic mean of the bid and ask, if one is missing it will try the other value, if both are missing it will use the Last / Previous Settlement price

  • custom price - add any custom price value in the format of the option

  1. Volatility - used for the computation of the greeks and fair value. Possible values:

  • volIMP or volIMPST - computes the volatility based on the settlement values of the underlying and option (undST, optST)

  • volIMPLS - computes the volatility based on the current price values of the underlying and option (undLS, optLS)

  • custom volatility - add any custom volatility

  1. Rate_of_Interest - used for the computation of the volatility, greeks and fair value. Possible values:

  • roiIMP - uses the implied rate of interest

  • custom ROI - add any custom rate of interest

  1. Fair_Value_Price_Format - determines what price format to use for the Fair Value fields. Possible values:

  • fvDEC - uses decimal format (it ignores legacy PFI’s with ^ notation)

  • fvUND - uses the format from the Last value of the underlying

Examples of greeks request

  1. Requesting the Delta greek value for ESQ26{EF}C3400:

=RTD("qst.rtd","","ESQ26{EF}C3400!'DL#v2@Black76@undLS@volIMPLS@roiIMP'")
../_images/greeks_v2_delta.png

  1. Requesting the Fair Value for ESQ26{EF}P3900:

=RTD("qst.rtd","","ESQ26{EF}P3900!'FV#v2@Black76@undLS@volIMPLS@roiIMP@fvUND'")
../_images/greeks_v2_fair.png

  1. Requesting the implied volatility for EGCZ20{A}P1865:

=RTD("qst.rtd","","ESQ26{EF}C2600!'Volatility#v2@Black76@undLS@optLS@roiIMP@2'")
../_images/greeks_v2_vol.png