Notes
*Mandatory parameters are marked with an asterisk.
Calculated Values
The following sensitivity values are calculated and returned in the result:
| Value | Description |
|---|---|
| Delta and Gamma | Two different ways to evaluate sensitivity to underlying spot market movement. |
| Vega | Evaluates sensitivity to underlying spot market volatility. |
| Theta | Evaluates sensitivity to time to expire. |
Other calculated values included in the results are the following:
| Value | Description |
|---|---|
| iRate | Interest rate based on "Previous" value of SOFR futures for same month as the option contract. |
| Implied Volatility | Calculated implied volatility. |
| ULPrice | Price of underlying future symbol. |
In addition to the above values, this operation returns a list of requested FIDs for the given list of symbols.
Comparison of Greek Values with DTN ProphetX®
Users of PXWeb who are also users of DTN's ProphetX software may be interested in the similarities and differences between option calculations in PXWeb and ProphetX. The default settings in ProphetX will generate different results than PXWeb, but by changing ProphetX settings it is possible to get results that are the same or nearly the same.
By default ProphetX fits the implied volatility of several option strikes to a parabolic curve, and then the volatility specified by the curve is used in theoretical pricing functions and greek calculations. PXWeb uses the implied volatility of each individual option as the volatility input to pricing and greek calculations. To see similar pricing in ProphetX, the IV Curve parameter on the Option / Series setting page can be set to "Implied" which will make ProphetX uses the implied volatility of each option.
Other ProphetX parameters set to match PXWeb on the Option / Series setting page are:
- The model should be set to the Black model
- The Underlying and Option price selection fields should both be set to the value that is passed as the Basis parameter to GetOptionGreeks
- Interest rate should be set to @SR3 3 Month
- DTE = 1 on Expiration Date should not be checked
Please keep in mind that other small factors such as the timing of requests (especially when looking at real-time data) can influence the output of option calculations and produce small differences in values.
Symbol
Each symbol or search pattern is separated by a comma and it is important to note that there is a limit of 2048 characters in the length of a request string when calling the service via HTTP/GET through the PXServiceWeb.svc URL. This limitation does not exist when calling the service using the SOAP protocols, check the Connectivity Overview section for more details.
The following table shows some examples of search patterns for futures options:
| Pattern | Description |
|---|---|
| C`##C6### 10 | Selects calls of the first 10 contracts of Corn futures options with a strike price between 600 and 699. |
| C`##<CP>68## 20 | Selects calls and puts of the first 20 contracts of Corn futures options with a strike price between 680 and 689. |
Following are some more generic examples of search patterns:
| Pattern | Description |
|---|---|
| @C@1 | Selects the first electronic Corn contract. |
| @C@5 | Selects the fifth electronic Corn contract. |
| @C`## | Selects all electronic Corn contracts. |
| @S`## 3 | Selects first three electronic Soybean contracts (there is a space between # and 3). |
| @C`##,@S`##,@W`## | Selects all the electronic Corn, Soybean, and Wheat contracts. |
As some of the examples above suggests, there is a way to limit the number of symbols returned by a search pattern by explicitly specifying a quantifier. The quantifier is an integer number separated by a space after the search pattern and can be specified for each pattern as in this example:
*B*L 2,NG`## 5,C@3 3
In general, the value of the quantifier is limited to 600, which is the same as the maximum total of symbols returned by the whole list of search patterns. The exception is the GetOptionGreeks operation, where the quantifier is limited to 200.
Symbol and Market
Since there are symbols that can be differentiated only by the market, a request for a given symbol may return multiple entries, one for each market. To avoid this situation a symbol can be fully qualified in the request by explicitly indicating the vendor and market as in "DTN:NYS:IBM".
End of Day Users
Parameters Basis and Type are ignored for users registered for end of day data, in this case the sensitivity values are calculated using history data.
Format
Supported format codes are: XML, CSV and JSN.