Introduction

The option greek values- delta, gamma, theta, vega- are returned by default following a reqMktData() request for the option. See Available Tick Types

Tick types “Bid Option Computation” (#10), “Ask Option Computation” (#11), “Last Option Computation” (#12), and “Model Option Computation” (#13) return all Greeks (delta, gamma, vega, theta), the underlying price and the stock and option reference price when requested.

MODEL_OPTION_COMPUTATION also returns model implied volatility.

Note that to receive live greek values it is necessary to have market data subscriptions for both the option and the underlying contract.

The implied volatility for an option given its price and the price of the underlying can be calculated with the function EClient.calculateImpliedVolatility.

Alternatively, given the price of the underlying and an implied volatility it is possible to calculate the option price using the function EClient.calculateOptionPrice.

After the request, the option specific information will be delivered via the EWrapper.tickOptionComputation method.