IPA Financial Contracts: Option Contracts - Eti

This document describes the available properties to create a request in order to price an Eti Option contract.

The Option category regroups exchange-traded and over-the-counter options.

For more details on structuring the pricing request, refer to Financial Contracts overview.

QPS supports the following option types:

  • Equity & Equity Indices options:
    • vanilla,
    • Asian,
    • barrier,
    • binary,
    • callable bull / bear contracts (CBBC).
  • IR & Bond Future options:
    • vanilla,
    • Asian,
    • barrier,
    • binary,
    • callable bull / bear contracts (CBBC).
  • Commodity & Commodity Future options including Calendar spread options:
    • vanilla,
    • Asian,
    • barrier,
    • binary,
    • callable bull / bear contracts (CBBC).

This section explains how to build the instruments definition, define your own pricing parameters, and the fields that can be calculated for Option contracts.

A list of deprecated fields is provided here.

Instrument Definition

The table below lists the properties you can use for the instrumentDefinition object property for Option instruments.

You can create a request using the RIC InstrumentCode of the listed option. You can also create your own option definition by configuring custom parameters for OTC mode.

For 'Date-time' parameters, ‘time’ is ignored. An information may be requested in a ‘Date’ format ('YYYY-MM-DD').

Input Name Type Description Importance Default Value
instrumentTag String A user-defined string to identify the instrument. It can be used to link output results to the instrument definition. Limited to 40 characters. Only alphabetic, numeric and '- _.#=@' characters are supported. Optional No default value applies.
instrumentCode String

The code (an option RIC) used to define the instrument.

Mandatory for listed ETI options. For OTC ETI options instrumentCode of the underlying asset must be provided.

 Optional No default value applies.
strike Double

The set price at which the owner of the option can buy or sell the underlying asset. The value is expressed according to the market convention linked to the underlying asset.

Mandatory for OTC ETI options and FX options.

 Optional If instrumentCode of listed ETI option is defined, the value comes from the instrument reference data.
buySell String (enumeration)

The indicator of the deal side. The possible values are:

  • Buy: buying the option,
  • Sell: selling/writing the option.

The output amounts calculated with taking buySell into consideration are returned with a reversed sign when the value 'Sell' is used.

 Optional The default value is 'Buy'.
callPut String (enumeration)

The indicator if the option is a call or a put. The possible values are:

  • Call: the right to buy the underlying asset,
  • Put: the right to sell the underlying asset.
 Optional If instrumentCode of listed ETI option is defined, the value comes from the instrument reference data. The default value is 'Call' for OTC ETI options and FX options.
exerciseStyle String (enumeration)

The option style based on its exercise restrictions. The possible values are:

  • AMER: the owner has the right to exercise on any date before the option expires,
  • EURO: the owner has the right to exercise only on EndDate,
  • BERM: the owner has the right to exercise on any of several specified dates before the option expires.

Note: All exercise styles may not apply to certain option types.

 Optional If instrumentCode of listed ETI option is defined, the value comes from the instrument reference data. The default value is 'EURO' for OTC ETI options and FX options.
endDate Date-time

The maturity or expiry date of the instrument. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z').

Mandatory for OTC ETI options and FX options (if tenor is not defined).

 Optional If instrumentCode of listed ETI option is defined, the value comes from the instrument reference data.
lotSize Double The number of the underlying asset unit on which the option is written. It can be overriden only for Commodity options. Optional If instrumentCode of listed ETI option is defined the value comes from the instrument reference data. The default value is '1' for OTC ETI options.
dealContract Integer The number of contracts bought or sold in the deal. Optional The default value is '1'.
timeZoneOffset Integer The offset in minutes between UTC and the time of the exchange where the contract is traded. Optional No default value applies.
underlyingType String (enumeration)

The type of the option based on the underlying asset. The possible values are:

  • Eti: ETI (Exchanged Traded Instruments) options,
  • Fx: FX options.
 Mandatory No default value applies.
underlyingDefinition Object

The definition of attributes for the underlying asset.

Mandatory for OTC ETI options and FX options.

 Optional No default value applies.
asianDefinition Object

The definition of attributes for an Asian option (an option where the final payout is based on the average level of the underlying asset's price over a certain time period).

Mandatory for ETI Asian options and FX Average options.

 Optional No default value applies.
barrierDefinition Object

The definition of attributes for a Barrier option (an option, which is activated or deactivated once the underlying asset's price reaches a set level, known as the barrier at a specified time).

Mandatory for Barrier options.

 Optional No default value applies.
binaryDefinition Object

The definition of attributes for a Binary option (an option which pays an agreed amount if expires in-the-money).

Mandatory for Binary options.

 Optional No default value applies.
cbbcDefinition Object

The definition of attributes for a CBBC (Call Bear/Bull Contract) option.

Mandatory for CBBC options.

 Optional No default value applies.

instrumentDefinition - underlyingDefinition

This property is required only for an OTC option. It can also be used to define information about listed Eti option.

Input name Type Description Importance Default Value
instrumentCode String

The code (a RIC) used to define the underlying asset.

Mandatory for OTC ETI options.

 Optional No default value applies.

instrumentDefinition - Exotic Options

When creating your request, for exotic options, the properties listed below can be used. 

Please note that only one out of 'asianDefinition', 'barrierDefinition', 'binaryDefinition', and 'cbbcDefinition' can be defined at a time.

asianDefinition

Input name Type Description Importance Default Value
fixingStartDate Date-time The start date of the predetermined set of dates (known as fixings) used to compute the average underlying asset's price. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z'). Optional By default, fixingStartDate is valuationDate or today.
fixingEndDate Date-time The end date of the predetermined set of dates (known as fixings) used to compute the average underlying asset's price. It should be less or equal to the expiry date of the option. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z'). Optional By default, the value is equal to  'EndDate'.
fixingFrequency String (enumeration)

The frequency of dates in the fixing period. The possible values are:

  • Daily,
  • Weekly,
  • BiWeekly,
  • Monthly,
  • Quaterly,
  • SemiAnnual,
  • Annual.
 Optional The default value is 'Daily'.
fixingCalendar String A list of comma-separated calendar codes of the underlying asset's currency to adjust fixing dates (e.g., 'EMU'). The possible values are listed here. Optional By default, the calendar is associated to UnderlyingCcy.
averageType String (enumeration)

The mathematical type used to compute the average underlying asset's price. The possible values are:

  • ArithmeticRate: the calculation is based on the difference between the arithmetic average of the underlying prices over the life of the option and the pre-agreed strike price,
  • ArithmeticStrike: the calculation is based on the difference between the underlying price at the expiry date and the strike price, which is defined as the arithmetic average of the underlying prices over the life of the option,
  • GeometricRate: the calculation is based on the difference between the geometric average of the underlying prices over the life of the option and the pre-agreed strike price,
  • GeometricStrike: the calculation is based on the difference between the underlying price at the expiry date and the strike price, which is defined as the geometric average of the underlying prices over the life of the option.
 Optional The default value is 'ArithmeticRate'.
averageSoFar Double The average underlying asset's price for the predetermined set of dates. Optional No default value applies.

barrierDefinition

Input name Type Description Importance Default Value
upOrDown String (enumeration)

The type of a Barrier option based on the direction of the underlying asset price when it is activated or deactivated. The possible values are:

  • Up: the option is an up-barrier. It is activated or deactivated when the price goes beyond the barrier level,
  • Down: the option is a down-barrier. It is activated or deactivated when the price goes blow the barrier level.
 Optional The default value is 'Up'.
inOrOut String (enumeration)

The type of a Barrier option. The possible values are:

  • In: the option is activated only when the underlying asset price reaches the barrier,
  • Out: the option is deactivated, when the underlying asset price reaches the barrier.
 Optional The default value is 'In'.
barrierStyle String (enumeration)

The barrier option style based on its exercise restrictions. The possible values are:

  • American: the owner has the right to exercise on any date before the option expires,
  • European: the owner has the right to exercise only on the expiry date.
 Optional The default value is 'American'.
level Double The price used as a barrier level. The value is expressed in the deal currency. Optional By default, it is computed as [Strike × 0.95].

binaryDefinition

Input name Type Description Importance Default Value
binaryType String (enumeration)

The type of a Binary option. The possible values are:

  • OneTouch: an option is activated (pays immediately) if the agreed level of the underlying asset's price is reached at any time prior to the option expiration,
  • NoTouch: an option is activated if the agreed level of the underlying asset's price is not reached prior to the option expiration,
  • Digital: or all-or-nothing option which is activated if the agreed level of the underlying asset's price is reached at the option expiration.

Mandatory for Binary options.

 Optional No default value applies.
level Double The price used as a barrier level. The value is expressed in the deal currency. Optional By default, it is computed as [UnderlyingPrice × 1.05].
upOrDown String (enumeration)

The type of a Binary option. The possible values are:

  • Up: an option is activated if the agreed upper price of the underlying asset is reached (or is not reached in the case of 'NoTouch' option),
  • Down: an option is activated if the agreed lower price of the underlying asset is reached (or is not reached in the case of 'NoTouch' option).
 Optional The default value is 'Up'.
notionalAmount Double The payout (the notional) which the holder of a Binary option may receive at the time when the barrier is crossed. The value is expressed in the deal currency. Optional The default value is '1,000,000'.

cbbcDefinition

Input name Type Description Importance Default Value
conversionRatio Double The sensitivity of the price of a CBBC option in response to the price movement of the underlying asset. It refers to how much the underlying asset's price needs to move in order to push the theoretical price of the option up or down by one unit. For example, If convertionRatio is 10, it is necessary to buy 10 CBBC options to have one-to-one exposure to the underlying asset. Optional The default value is '1'.
level Double The barrier level of a CBBC option. The value is expressed in the deal currency. Optional By default, it is computed as [UnderlyingPrice × 0.9].

 

Pricing Parameters

This object property contains the properties that may be used to control the calculation. By default, override does not apply. For 'Date-time' parameters, ‘time’ is ignored. An information may be requested in a ‘Date’ format ('YYYY-MM-DD ').

Input name Type Description Importance Default Value
valuationDate Date-time The date at which the instrument is valued. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z'). Optional By default, valuationDate is marketDataDate or today.
marketDataDate Date-time The date at which the market data is retrieved. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z'). Optional By default, marketDataDate is valuationDate or today.
reportCcy String The currency code set for the fields ending with 'xxxInReportCcy'. The value is expressed in ISO 4217 alphabetical format (e.g., 'USD'). Optional No default value applies.
marketValueInDealCcy Double

The market value (premium) as per 1 unit of the instrument. The value is expressed in the deal currency. It is used to define OptionPrice and compute the volatility percent.

Note: If marketValueInDealCcy is defined, the option's price side and volatility percent are not taken into account; marketValueInDealCcy and marketValueInReportCcy cannot be overridden at a time.

 Optional By default, it is equal to OptionPrice for listed options or computed from the volatility percent for OTC options.
marketValueInReportCcy Double

The market value (premium) as per 1 unit of the instrument. The value is expressed in the reporting currency.
It is used to define OptionPrice and compute the volatility percent.

Note: If marketValueInReportCcy is defined, the option's price side and volatility percent are not taken into account; marketValueInDealCcy and marketValueInReportCcy cannot be overridden at a time.

 Optional By default, FxSpot rate is retrieved from the market data.
pricingModelType String (enumeration)

The model type of the option pricing. The possible values are:

  • BlackScholes,
  • Bachelier (available for commodity options including calendar spread options),
  • Whaley,
  • Binomial,
  • Trinomial,
  • LocalVolatility (applicable only for Barrier options, CBBC options and Binary options),
  • VannaVolga (only applicable for FxBarrierOption, FxDigitalOption and FxTouchesOption).
 Optional The default value depends on the option type.
payoutCustomDates Array of dates

The array of user-defined dates to calculate scenarios for the Payout or Volatility profiles. 

Please note that ValuationDate and EndDate are always used as scenarioDate.

 Optional By default, ValuationDate and EndDate are used.
payoutXValues Array of doubles

The array of underlying prices to calculate the Payout profile.

When set, it is used to define minimum and/or maximum values of the 'payoutScaling' output object if applicable.

Please note that payoutXValues and payoutScalingInterval can't be set at a time.

 Optional By default, the list of values is defined by the range set in the 'payoutScalingInterval' object.
payoutScalingInterval Object

The range of underlying prices or shifts of volatility to display the Payout or Volatility scenarios respectively. 

Please note that payoutXValues and payoutScalingInterval can't be set at a time.

For a detailed breakdown, please refer here.

 Optional By default, the range is derived from the level of input parameters set for the instrument.
dividendType String (enumeration)

The type of dividend of the underlying asset. The possible values are:

  • None,
  • ForecastTable,
  • HistoricalYield: a yield based on the historical performance of dividends,
  • ForecastYield: an estimation of the future dividend yield (it cannot be requested on the date in the past),
  • ImpliedYield,
  • ImpliedTable.
 Optional The default value is 'ForecastedYield' for shares and 'None' for other underlying assets.
dividendYieldPercent Double The ratio of annualized dividends to the underlying asset's price. The value is expressed in percentages. Optional By default, the value is retrieved from the market data.
volatilityPercent Double

The degree of the underlying asset's price variations over a specified time period, used for the option pricing. The value is expressed in percentages.
It is used to compute MarketValueInDealCcy.

Note: If marketValueInDealCcy is defined, volatilityPercent is not taken into account.

 Optional By default, it is computed from MarketValueInDealCcy. If VolSurface fails to return a volatility, it defaults to '20'.
riskFreeRatePercent Double A risk-free rate of the option currency used for the option pricing. Optional By default, the value is interpolated from the discount curve used by default for the deal currency.
underlyingPrice Double

The price of the underlying asset. The value is expressed in the deal currency.

Note: If underlyingPrice is defined, underlyingPriceSide is not taken into account.

 Optional By default, the value is retrieved from the market data.
volatilityType String (enumeration)

The type of volatility for the option pricing. The possible values are:

  • Implied: the volatility anticipated for the underlying asset for the remaining life of the option (implied by an option premium),
  • SVISurface: the volatility computed from VolSurface service,
  • Historical: the volatility of the underlying asset during a period in the past.

Note: The value 'Implied' is available only for listed options. If volatilityPercent is defined, volatilityType is not taken into account.

 Optional The default value is 'Implied'.
optionPriceSide String (enumeration)

The quoted price side of the instrument. The possible values are:

  • Bid,
  • Ask,
  • Mid,
  • Last.

It is ignored for listed options if optionTimeStamp is set to 'Settle'.

 Optional

The default values for listed options are:

  • Ask: if buySell is set to 'Buy',
  • Bid: if buySell is set to 'Sell',
  • Last: if buySell is not provided.

The default value for OTC options is 'Mid'.
optionTimeStamp String (enumeration)

The mode of the instrument's timestamp selection. The possible values are:

  • Open: the opening value of valuationDate, or if it is not available, the close of the previous day is used,
  • Close: the close value of valuationDate is used,
  • Settle: the settle value of valuationDate is used,
  • Default: the real-time price is used (if available) when valuationDate is today, and the close price when valuationDate is in the past.
 Optional The last price is used when valuationDate is today, and the settle or close price (depending on the availability and the underlying asset) when valuationDate is in the past.
underlyingPriceSide String (enumeration) The quoted price side of the underlying asset. The possible values are:
  • Bid,
  • Ask,
  • Mid,
  • Last.

It is ignored if underlyingTimeStamp is set to 'Settle'.

 Optional

The default values are:

  • Ask: if buySell is set to 'Buy',
  • Bid: if buySell is set to 'Sell',
  • Last: if buySell is not provided.
underlyingTimeStamp String (enumeration) The mode of the underlying asset's timestamp selection. The possible values are:
  • Open: the opening value of valuationDate, or if it is not available, the close of the previous day is used,
  • Close: the close value of valuationDate is used,
  • Settle: the settle value of valuationDate is used,
  • Default: the real-time price is used (if available) when valuationDate is today, and the close price when valuationDate is in the past.
 Optional The last price is used when valuationDate is today, and the settle or close price (depending on the availability and the underlying asset) when valuationDate is in the past.

Payout Scaling Interval

The table below lists properties of the 'pricingParameters' → 'payoutScalingInterval' object. Minimum and Maximum range for the Payout or Volatility profiles.

Input name Type Description Importance Default Value
minimum Double The minimum value of the range to display the Payout or Volatility profiles.  The value is expressed:
  • in the option's currency for the Payout profile calculation,
  • in decimals for the Volatility profile calculation. 

Please note that if payoutXValues is set for the Payout profile, the value is defined as min [min of payoutXValues, BreakEvenPriceInDealCcy].

 Optional The default values are:
  • for the Payout profile: min [0.85*UnderlyingPrice, 0.85*Strike],
  • for Volatility profile: -0.12.
maximum Double The maximum value of the range to display the Payout or Volatility profiles. The value is expressed:
  • in the option's currency for the Payout profile calculation,
  • in decimals for the Volatility profile calculation.

Please note that if payoutXValues is set for the Payout profile, the value is defined as max [max of payoutXValues, BreakEvenPriceInDealCcy].

 Optional The default values are:
  • for the Payout profile: max [1.15*UnderlyingPrice, 1.15*Strike],
  • for Volatility profile: 0.12.

Output Fields Description

The table below lists the available fields you can include in the API response.

Field name Type Description Category Returned by default
InstrumentTag String A user defined string to identify the instrument. It can be used to link output results to the instrument definition. Limited to 40 characters. Only alphabetic, numeric and '- _.#=@' characters are supported. Description Yes
InstrumentCode String The code (an option RIC) used to define the instrument. Description Yes
InstrumentDescription String The label that describes the instrument. Description Yes
EndDate Date-time The maturity or expiry date of the instrument. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z'). Description Yes
OptionType String

The type of the option. The possible values are:

  • Vanilla: an option with a known strike and expiry date,
  • Asian: an option where the final payout is based on the average level of the underlying asset's price over a period of time,
  • Barrier: an option, which is activated or deactivated once the underlying asset's price reaches a set level (known as the barrier) at a specified time,
  • CBBC: or a callable bull/bear contract is a type of a Barrier option always issued in the money,
  • Binary: an option where the counterparties involved in the transaction are assigned one of two outcomes based on whether the option expires in the money.
 Description Yes
ExerciseStyle String

The option style based on its exercise restrictions. The possible values are:

  • AMER: the owner has the right to exercise on any date before the option expires,
  • EURO: the owner has the right to exercise only on EndDate,
  • BERM: the owner has the right to exercise on any of several specified dates before the option expires.

Note: All exercise styles may not apply to certain option types.

 Description Yes
BuySell String

The indicator of the deal side. The possible values are:

  • Buy: buying the option,
  • Sell: selling/writing the option.

The output amounts calculated with taking buySell into consideration are returned with a reversed sign when the value 'Sell' is used.

 Description No
CallPut String

The indicator if the option is a call or a put. The possible values are:

  • Call: the right to buy the underlying asset,
  • Put: the right to sell the underlying asset.
 Description Yes
DealCcy String The currency code which depending on the instrument represents:
  • for FX instruments: the deal (base) currency,
  • for Swap: the currency of the paid leg,
  • for other instruments: the currency of the instrument's notional amount.

The value is expressed in ISO 4217 alphabetical format (e.g., 'USD').

 Description Yes
ReportCcy String The currency code set for the fields ending with 'xxxInReportCcy'. The value is expressed in ISO 4217 alphabetical format (e.g., 'USD'). Description No
Strike Float The set price at which the owner of the option can buy or sell the underlying asset. The value is expressed according to the market convention linked to the underlying asset. Description Yes
LotSize Float The number of the underlying asset units on which the option is written. Description Yes
LotsUnits String The units in which LotSize is expressed (e.g., 'Share'). Description Yes
UnderlyingRIC String The code (a RIC) used to define the underlying asset. Description Yes
UnderlyingCcy String The currency of the underlying asset. The value is expressed in ISO 4217 alphabetical format (e.g., 'USD'). Description Yes
OptionPriceSide String

The quoted price side of the instrument. The possible values are:

  • Bid,
  • Ask,
  • Mid,
  • Last,
  • Settle: if optionTimeStamp is set to 'Settle' (it is applied to listed options only),
  • User: if pricing parameter marketValueInDealCcy or marketValueInReportCcy is defined by a user.
 Description Yes
OptionTimeStamp String

The mode of the instrument's timestamp selection. The possible values are:

  • Open: the opening value of valuationDate, or if it is not available, the close of the previous day is used,
  • Close: the close value of valuationDate is used,
  • Settle: the settle value of valuationDate is used,
  • Default: the real-time price is used (if available) when valuationDate is today, and the close price when valuationDate is in the past.
 Description Yes
UnderlyingPriceSide String

The quoted price side of the underlying asset. The possible values are:

  • Bid,
  • Ask,
  • Mid,
  • Last,
  • Settle: if underlyingTimeStamp is set to 'Settle',
  • User: if underlyingPrice is defined by a user.
 Description Yes
UnderlyingTimeStamp String

The mode of the underlying asset's timestamp selection. The possible values are:

  • Open: the opening value of valuationDate, or if it is not available, the close of the previous day is used,
  • Close: the close value of valuationDate is used,
  • Settle: the settle value of valuationDate is used,
  • Default: the real-time price is used (if available) when valuationDate is today, and the close price when valuationDate is in the past.
 Description Yes
PricingModelType String

The model type of the option pricing. The possible values are:

  • BlackScholes,
  • Bachelier (available for commodity options including calendar spread options),
  • Whaley,
  • Binomial,
  • Trinomial,
  • LocalVolatility (available only for Barrier options, CBBC options and Binary options).
 Description No
PricingModelTypeList Array of strings

The list of available pricing model type depending on the option type. The possible values are:

  • BlackScholes,
  • Whaley,
  • Binomial,
  • Trinomial,
  • LocalVolatility (applicable only for Barrier options, CBBC options and Binary options).
 Description No
DiscountCurveId String The identifier of the zero-coupon curve used to discount the instrument's future payments. Description Yes
DividendType String

The type of dividend of the underlying asset. The possible values are:

  • None,
  • ForecastTable,
  • HistoricalYield: a yield based on the historical performance of dividends,
  • ForecastYield: an estimation of the future dividend yield (it cannot be requested on the date in the past),
  • ImpliedYield,
  • ImpliedTable.
 Description Yes
AverageType String

The mathematical type used to compute the average underlying asset's price. The possible values are:

  • ArithmeticRate: the calculation is based on the difference between the arithmetic average of the underlying prices over the life of the option and the pre-agreed strike price,
  • ArithmeticStrike: the calculation is based on the difference between the underlying price at the expiry date and the strike price, which is defined as the arithmetic average of the underlying prices over the life of the option,
  • GeometricRate: the calculation is based on the difference between the geometric average of the underlying prices over the life of the option and the pre-agreed strike price,
  • GeometricStrike: the calculation is based on the difference between the underlying price at the expiry date and the strike price, which is defined as the geometric average of the underlying prices over the life of the option.

Available only for Asian options.

 Description No
AverageSoFar Float The average underlying asset's price for the predetermined set of dates. Available only for Asian options. Description No
FixingStartDate Date-time The start date of the predetermined set of dates (known as fixings) used to compute the average underlying asset's price. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z'). Available only for Asian options. Description No
FixingEndDate Date-time The end date of the predetermined set of dates (known as fixings) used to compute the average underlying asset's price. It should be less or equal to the expiry date of the option. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z'). Available only for Asian options. Description No
FixingFrequency String

The frequency of dates in the fixing period. The possible values are:

  • Daily,
  • Weekly,
  • BiWeekly,
  • Monthly,
  • Quaterly,
  • SemiAnnual,
  • Annual.

Available only for Asian options.

 Description No
FixingCalendar String A list of comma-separated calendar codes of the underlying asset's currency to adjust fixing dates (e.g., 'EMU'). The possible values are listed here. Available only for Asian options. Description No
FixingDateArray Array of dates The list of fixing dates used to compute the average underlying asset's price. Available only for Asian options. Description No
FixingNumbers Integer The number of fixing dates used to compute the average underlying asset's price. Available only for Asian options. Description No
BarrierType String

The type of a Barrier / Binary (Digital) / CBBC option. The possible values are:

  • None: if the field is not applicable for the option,
  • DownOut: for a Barrier and a CBBC Bull option (if callPut is not set or set to 'Call' for a CBBC option),
  • DownIn: for a Barrier option,
  • UpOut: for a Barrier and a CBBC Bear option (if callPut is set to 'Put' for a CBBC option),
  • UpIn: for a Barrier option,
  • Up: for a Binary option,
  • Down: for a Binary option.
 Description No
BarrierLevel Float The price used as a barrier level for an exotic option. The value is expressed in the deal currency. Description No
CbbcType String

The type of a Call Bear/Bull Contract (CBBC). The possible values are:

  • N: an option call price (level) is equal to its strike price,
  • R: an option call price (level) is above or below its strike price.
 Description No
CbbcOptionType String

The type of a CBBC option. The possible values are:

  • Bull: a callable bull contract,
  • Bear: a callable bear contract.
 Description No
ConversionRatio Float

The sensitivity of the price of a CBBC option in response to the price movement of the underlying asset. It refers to how much the underlying asset's price needs to move in order to push the theoretical price of the option up or down by one unit. For example, If ConvertionRatio is 10, it is necessary to buy 10 CBBC options to have one-to-one exposure to the underlying asset.

 Description No
ErrorMessage String The error message in case of a blocking error in calculation. Description Yes
ErrorCode String The code of ErrorMessage. Description Yes
ProcessingInformation String The error message for the calculation in case of a non-blocking error.  Description Yes
ValuationDate Date-time The date at which the instrument is valued. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z'). Pricing analysis Yes
MarketDataDate Date-time

The date at which the market data is retrieved. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z').

 Pricing analysis No
DaysToExpiry Float The time period between ValuationDate and EndDate, expressed in days. Pricing analysis No
YearsToExpiry Float The tenor to the option expiry, expressed in years. It is calculates as [DaysToExpiry / 365]. Pricing analysis No
OptionPrice Float

The instrument's price quoted according to the price side defined in optionPriceSide. The value is expressed in the deal currency.

Note: If marketValueInDealCcy or marketValueInReportCcy is defined, optionPriceSide is not taken into account. It is available only for listed ETI options.

 Pricing analysis Yes
UnderlyingPrice Float The quoted price of the underlying asset. The value is expressed in the deal currency. Pricing analysis Yes
VolatilityPercent Float The degree of the underlying asset's price variations over a specified time period, used for the option pricing. The value is expressed in percentages. Pricing analysis Yes
VolatilityType String

The type of volatility for the option pricing. The possible values are:

  • Implied: the value is retrieved from market data,
  • Calculated: the value is computed from marketValueInDealCcy (if it is defined by a user),
  • SVISurface: the value is computed from VolSurface service,
  • User: the value is set in volatilityPercent input by a user,
  • Default: if VolSurface fails to return a volatility, VolatilityPercent defaults to '20'.
 Pricing analysis Yes
Volatility Float The degree of the underlying asset's price variations over a specified time period, used for the option pricing. The value is expressed depending on the model used and corresponding market convention (for example, while the BlackScholes volatility measures the relative change in the price, the Bachelier volatility measures its absolute change). Pricing analysis No
DailyVolatility Float The average (daily) volatility of the option on the current date which is generated from different types of implied volatility. It is computed as [Volatility / sqrt(252)]. The value is expressed depending on the model used and the corresponding market convention (for example, in the case of the Bachelier model, the normal volatility is used, while in the case of the BlackScholes model, the lognormal volatility is used as a percentage, and the value equals to DailyVolatilityPercent). The type of volatility can be determined with PricingModelType field. Pricing analysis No
DailyVolatility_BidMidAsk Object The field returns 'Bid', 'Ask', 'Mid' and 'Spread' values of DailyVolatility computed for the option. The values are expressed depending on the model used and the corresponding market convention. Pricing analysis No
DailyVolatilityPercent Float The average (daily) volatility of the option on the current date. The value is expressed in percentages. Pricing analysis No
RiskFreeRatePercent Float A risk-free rate of the option currency used for the option pricing. Pricing analysis Yes
DividendYieldPercent Float The ratio of annualized dividends to the underlying asset's price. The value is expressed in percentages. Pricing analysis Yes
ForecastDividendYieldPercent Float The forecasted dividend yield of the underlying asset. The value is expressed in percentages. Pricing analysis No
ResidualAmountInDealCcy Float

The payout amount which the holder of a CBBC option may receive when the option is called. It is calculated as:

  •  for a 'Bull' CBBC: [(UnderlyingPrice - Strike) / conversionRatio],
  • for a 'Bear' CBBC: [(Strike - UnderlyingPrice) / conversionRatio].

The value is expressed in the deal currency.

 Pricing analysis No
ResidualAmountInReportCcy Float

The payout amount which the holder of a CBBC option may receive when the option is called. It is calculated as:

  • for a 'Bull' CBBC: [(UnderlyingPrice - Strike) × FxSpot / conversionRatio],
  • for a 'Bear' CBBC: [(Strike - UnderlyingPrice) × FxSpot / conversionRatio].

The value is expressed in the reporting currency.

 Pricing analysis No
IntrinsicValueInDealCcy Float

The difference between the strike price of the option and the market price of the underlying asset. It is computed as:

  • for a call option: [UnderlyingPrice - Strike],
  • for a put option: [Strike - UnderlyingPrice].

If it gives a negative result, the intrinsic value is zero. The value is expressed in the deal currency.

 Pricing analysis Yes
IntrinsicValueInReportCcy Float

The difference between the strike price of the option and the market price of the underlying asset. It is computed as:

  • for a call option: [(UnderlyingPrice - Strike) × FxSpot],
  • for a put option: [(Strike - UnderlyingPrice) × FxSpot].

If it gives a negative result, the intrinsic value is zero. The value is expressed in the reporting currency.

 Pricing analysis No
TimeValueInDealCcy Float The difference between the option value and the intrinsic value computed as [MarketValueInDealCcy - IntrinsicValueInDealCcy]. The value is expressed in the deal currency. Pricing analysis Yes
TimeValueInReportCcy Float The difference between the option value and the intrinsic value computed as [MarketValueInReportCcy - IntrinsicValueInReportCcy]. The value is expressed in the reporting currency. Pricing analysis No
TimeValuePercent Float The component of the option's price that takes into consideration the time to expiry and the probability that the option will be in the money. It is computed as [TimeValueInDealCcy / UnderlyingPrice]. The value is expressed in percentages. Pricing analysis No
TimeValuePerDay Float The estimation of the time value in respect to the number of days to maturity. It is computed as [TimeValuePercent / DaysToExpiry]. The value is expressed in percentages. Pricing analysis No
MoneynessPercent Float The measure of the degree to which the option is likely to have a positive monetary value at expiration. It describes whether the option is in- or out of the money and computed:
  • for a call option as [UnderlyingPrice / Strike × 100],
  • for a put option as [Strike / UnderlyingPrice × 100].

The value is expressed as percentages.

 Pricing analysis No
BreakEvenPriceInDealCcy Float The price of the underlying asset at which the option buyer starts to make a profit. It is computed as:
  • for a call option: [Strike + OptionPrice],
  • for a put option: [Strike - OptionPrice].

The value is expressed in the deal currency.

 Pricing analysis No
BreakEvenPriceInReportCcy Float The price of the underlying asset at which the option buyer starts to make a profit. It is computed as:
  • for a call option: [(Strike + OptionPrice) × FxSpot],
  • for a put option: [(Strike - OptionPrice) × FxSpot].

The value is expressed in the reporting currency.

 Pricing analysis No
PremiumOverCashInDealCcy Float

The additional premium paid to buy or sell the underlying asset via the option, rather than through the market. It is computed as:

  • for a call option: [BreakEvenPriceInDealCcy - UnderlyingPrice],
  • for a put option: [UnderlyingPrice - BreakEvenPriceInDealCcy].

The value is expressed in the deal currency.

 Pricing analysis No
PremiumOverCashInReportCcy Float

The additional premium paid to buy or sell the underlying asset via the option, rather than through the market. It is computed as:

  • for a call option: [(BreakEvenPriceInDealCcy - UnderlyingPrice) × FxSpot],
  • for a put option: [(UnderlyingPrice - BreakEvenPriceInDealCcy) × FxSpot].

The value is expressed in the reporting currency.

 Pricing analysis No
PremiumOverCashPercent Float The premium over cash of the option in respect to the price of the underlying asset. It is computed as [PremiumOverCashInDealCcy / UnderlyingPrice × 100]. The value is expressed in percentages. Pricing analysis No
PremiumPerAnnumInDealCcy Float The premium of the option on a per annum basis. It is computed as [PremiumOverCashInDealCcy / YearsToExpiry]. The value is expressed in the deal currency. Pricing analysis No
PremiumPerAnnumInReportCcy Float The premium of the option on a per annum basis. It is computed as [PremiumOverCashInReportCcy / YearsToExpiry]. The value is expressed in the reporting currency. Pricing analysis No
PremiumPerAnnumPercent Float The premium of the option on a per annum basis. It is computed as [PremiumPerAnnumInDealCcy / UnderlyingPrice × 100]. The value is expressed in percentages. Pricing analysis No
AnnualizedYieldPercent Float

The annualized yield of the option. It is computed as:

  • for a call option: [(Strike - UnderlyingPrice + MarketValueInDealCcy) / UnderlyingPrice / YearsToExpiry × 100],
  • for a put option: [(UnderlyingPrice - Strike + MarketValueInDealCcy) / UnderlyingPrice / YearsToExpiry × 100].

The value is expressed in percentages.

 Pricing analysis No
TradingPayoutProfile Object

The object which contains the data of the option's trading payout profile (which does not scale with contract size).

For a detailed breakdown, please refer here.

 Pricing analysis No
TradingVolatilityProfile Object

The object which contains the data of the option's trading volatility profile (which does not scale with contract size).

For a detailed breakdown, please refer here.

 Pricing analysis No
HedgingPayoutProfile Object

The object which contains the data of the option's hedging payout profile.

For a detailed breakdown, please refer here.

 Pricing analysis No
HedgingVolatilityProfile Object

The object which contains the data of the option's hedging volatility profile.

For a detailed breakdown, please refer here.

 Pricing analysis No
MarketValueInDealCcy Float The market value of the instrument. The value is expressed in the deal currency. Valuation Yes
MarketValueInReportCcy Float The market value of the instrument. The value is expressed in the reporting currency. Valuation No
TotalMarketValueInDealCcy Float

The market value (premium) of the instrument computed per transaction as:

  • for Binary option: [MarketValueInDealCcy × notionalAmount × dealContract],
  • for other options: [MarketValueInDealCcy × LotSize × dealContract].

The value is expressed in the deal currency.

 Valuation No
TotalMarketValueInReportCcy Float

The market value (premium) of the instrument computed per transaction as:

  • for Binary option: [MarketValueInReportCcy × notionalAmount × dealContract],
  • for other options:  [MarketValueInReportCcy × LotSize × dealContract].

The value is expressed in the reporting currency.

 Valuation No
PremiumPercent Float

The premium paid by the option buyer to the option seller. The value is expressed in percentages.

For more details on the field calculation, please refer here.

 Valuation No
Gearing Float The measure of the cash amount spent purchasing the option contract, compared to the actual value of the underlying position. It is computed as [UnderlyingPrice / OptionPrice]. Greeks Yes
Leverage Float The amount by which the option's price changes for a 1% change in the underlying asset. It is computed as [DeltaPercent × Gearing]. Greeks No
HedgeRatio Float The number of options you need to buy or sell to hedge one unit of the underlying instrument. It is computed as [(-1) / DeltaPercent]. Greeks No

DeltaPercent

 Float The change in the instrument's price or market value caused by a one-unit change in the price of the underlying asset, or by 1bp change in the swap rate for a swaption, or by 100bp change in the outright for FX instruments. The value is expressed in percentages. Greeks Yes
DeltaAmountInDealCcy Float

The change in the instrument's price or market value caused by a one-unit change in the price of the underlying asset, or by 1bp change in the swap rate for a swaption, or by 100bp change in the outright for FX instruments. The value is expressed in the deal currency.

For more details on the field calculation, please refer here.

 Greeks Yes
DeltaAmountInReportCcy Float The change in the instrument's price or market value caused by a one-unit change in the price of the underlying asset, or by 1bp change in the swap rate for a swaption, or by 100bp change in the outright for FX instruments. The value is expressed in the reporting currency. Greeks No
GammaPercent Float The change in the option's delta or DV01 per a one-unit change in the price of the underlying asset, or 1 unit parallel shift in the curve representing the instrument. The value is expressed in percentages. Greeks Yes
GammaAmountInDealCcy Float

The change in the option's delta or DV01 per a one-unit change in the price of the underlying asset, or 1 unit parallel shift in the curve representing the instrument. The value is expressed in the deal currency.

For more details on the field calculation, please refer here.

 Greeks Yes
GammaAmountInReportCcy Float The change in the option's delta or DV01 per a one-unit change in the price of the underlying asset, or 1 unit parallel shift in the curve representing the instrument. The value is expressed in the reporting currency. Greeks No
RhoPercent Float The change in the option's price per 1% change in the risk-free interest rate. The value is expressed in percentages. Greeks Yes
RhoAmountInDealCcy Float The change in the option's price per 1% change in the risk-free interest rate. It is computed as [RhoPercent × LotSize × dealContract]. The value is expressed in the deal currency. Greeks Yes
RhoAmountInReportCcy Float The change in the option's price per 1% change in the risk-free interest rate. It is computed as [RhoPercent × LotSize × dealContract × FxSpot]. The value is expressed in the reporting currency. Greeks No
ThetaPercent Float The change in the instrument's price or market value caused by a one-day decrease in its time to expiration. The value is expressed in percentages. Greeks Yes
ThetaAmountInDealCcy Float

The change in the instrument's price or market value caused by a one-day decrease in its time to expiration. The value is expressed in the deal currency.

For more details on the field calculation, please refer here.

 Greeks Yes
ThetaAmountInReportCcy Float The change in the instrument's price or market value caused by a one-day decrease in its time to expiration. The value is expressed in the reporting currency. Greeks No
VegaPercent Float The change in the price of an option per 1bp change in the normal volatility (1% in lognormal volatility) of the underlying asset. The value is expressed in percentages. Greeks Yes
VegaAmountInDealCcy Float

The change in the price of an option per 1bp change in the normal volatility (1% in lognormal volatility) of the underlying asset. The value is expressed in the deal currency.

For more details on the field calculation, please refer here.

 Greeks Yes
VegaAmountInReportCcy Float The change in the price of an option per 1bp change in the normal volatility (1% in lognormal volatility) of the underlying asset. The value is expressed in the reporting currency. Greeks No
DeltaExposureInDealCcy Float The delta exposure position required for the hedge. It is computed as [DeltaAmountInDealCcy × (-1)]. The value is expressed in the deal currency. Greeks No
DeltaExposureInReportCcy Float The delta exposure position required for the hedge. It is computed as [DeltaAmountInReportCcy × (-1)]. The value is expressed in the reporting currency. Greeks No
DeltaHedgePositionInDealCcy Float The delta hedge position of the option. It is computed as [DeltaExposureInDealCcy × UnderlyingPrice]. The value is expressed in the deal currency. Greeks No
DeltaHedgePositionInReportCcy Float The delta hedge position of the option. It is computed as [DeltaExposureInReportCcy × UnderlyingPrice × FxSpot]. The value is expressed in the reporting currency. Greeks No
BreakEvenDeltaAmountInDealCcy Float The delta of the break-even price. The value is expressed in the deal currency. Greeks No
BreakEvenDeltaAmountInReportCcy Float The delta of the break-even price. The value is expressed in the reporting currency. Greeks No
SevenDaysThetaPercent Float The change in ThetaPercent of the option over the last seven days. The value is expressed in percentages. Greeks No
SevenDaysThetaAmountInDealCcy Float The change in ThetaPercent of the option over the last seven days. It is computed as [SevenDaysThetaPercent × LotSize × dealContract]. The value is expressed in the deal currency. Greeks No
SevenDaysThetaAmountInReportCcy Float The change in ThetaPercent of the option over the last seven days. It is computed as [SevenDaysThetaPercent × LotSize × dealContract × FxSpot]. The value is expressed in the reporting currency. Greeks No
DvegaDtimeAmountInDealCcy Float The change in the option’s vega for a one-day decrease in the time to expiration. The value is expressed in the deal currency. Greeks No
DvegaDtimeAmountInReportCcy Float The change in the option’s vega for a one-day decrease in the time to expiration. The value is expressed in the reporting currency. Greeks No
VannaAmountInDealCcy Float The change in the option's vega caused by 1 unit of change in the price of the underlying asset. The value is expressed in the deal currency.  Greeks Yes
VannaAmountInReportCcy Float The change in the option's vega caused by 1 unit of change in the price of the underlying asset. The value is expressed in the reporting currency.  Greeks No
VolgaAmountInDealCcy Float The change in the option's vega per 1% change in the implied volatility of the underlying asset. The value is expressed in the deal currency.  Greeks Yes
VolgaAmountInReportCcy Float The change in the option's vega per 1% change in the implied volatility of the underlying asset. The value is expressed in the reporting currency.  Greeks No
SpeedAmountInDealCcy Float The change in the option's gamma per 1 unit of change in the price of the underlying asset. The value is expressed in the deal currency.  Greeks Yes
SpeedAmountInReportCcy Float The change in the option's gamma per 1 unit of change in the price of the underlying asset. The value is expressed in the reporting currency.  Greeks No
CharmAmountInDealCcy Float The change in the option’s delta for a one-day decrease in the time to expiration. The value is expressed in the deal currency.  Greeks Yes
CharmAmountInReportCcy Float The change in the option’s delta for a one-day decrease in the time to expiration. The value is expressed in the reporting currency.  Greeks No
ColorAmountInDealCcy Float The change in the option’s gamma for a one-day decrease in the time to expiration. The value is expressed in the deal currency.  Greeks Yes
ColorAmountInReportCcy Float The change in the option’s gamma for a one-day decrease in the time to expiration. The value is expressed in the reporting currency.  Greeks No
ZommaAmountInDealCcy Float The change in the option's gamma per 1% change in the implied volatility of the underlying asset. The value is expressed in the deal currency.  Greeks No
ZommaAmountInReportCcy Float The change in the option's gamma per 1% change in the implied volatility of the underlying asset. The value is expressed in the reporting currency. Greeks No
UltimaAmountInDealCcy Float The change in the option's volga per 1% change in the implied volatility of the underlying asset. The value is expressed in the deal currency.  Greeks No
UltimaAmountInReportCcy Float The change in the option's volga per 1% change in the implied volatility of the underlying asset. The value is expressed in the reporting currency. Greeks No

TradingPayoutProfile / HedgingPayoutProfile

The table below lists properties of the 'TradingPayoutProfile' and 'HedgingPayoutProfile' object.

Name Type Description
digit Integer The output used to indicate the number of digits displayed in the Eikon.
displayUnit String The output used to indicate the number of units displayed in the Eikon.
payoutScaling Object

The range of underlying prices to display the Payout profile.

Name

Type

Description
minimum Double The minimum value of the range to display the Payout profile.
maximum Double The maximum value of the range to display the Payout profile.
listPayoutScenario Array of objects

The list of the Payout scenarios calculated on the pre-defined dates.

For a detailed breakdown, please refer here.
 

List Payout Scenario

The table below lists properties of the 'TradingPayoutProfile' / 'HedgingPayoutProfile' → 'listPayoutScenario' array of objects.

Name Type Description
scenarioDate Date-time The date on which the Payout scenario is calculated. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z').
listPayoutItem Array of objects

The list of Greeks and other Payout analytics calculated on a certain date for a list of underlying prices, provided that all other factors do not change.
The underlying prices to use can be defined in the 'payoutXValues' input.

Otherwise, payoutScaling range is used with a step calculated as follows: [(maximum - minimum)/12] also including underlying price, strike and breakeven price if their values are within the scaling interval.

For a detailed breakdown, please refer here.

List Payout Item

The table below lists properties of the 'TradingPayoutProfile' / 'HedgingPayoutProfile' → 'listPayoutScenario' → 'listPayoutItem' array of objects.

Name Type Description
chartDelta Object The Delta calculated for a certain underlying price, assuming that the implied volatility does not change. The object returns value expressed in decimals and status = 'Computed' properties.
chartGamma Object The Gamma calculated for a certain underlying price, assuming that the implied volatility does not change. The object returns value expressed in decimals and status = 'Computed' properties.
chartVega Object The Vega calculated for a certain underlying price, assuming that the implied volatility does not change. The object returns value expressed in decimals and status = 'Computed' properties.
chartRho Object The Rho calculated for a certain underlying price, assuming that the implied volatility does not change. The object returns value expressed in decimals and status = 'Computed' properties.
chartTheta Object The Theta calculated for a certain underlying price, assuming that the implied volatility does not change. The object returns value expressed in decimals and status = 'Computed' properties.
chartPositionDelta Object The Delta position calculated for a certain underlying price, assuming that the implied volatility doesn't change. The object returns value expressed in decimals and calculated as [LotSize * chartDelta], and status = 'Computed' properties.
chartPositionGamma Object The Gamma position calculated for a certain underlying price, assuming that the implied volatility doesn't change. The object returns value expressed in decimals and calculated as [LotSize * chartGamma], and status = 'Computed' properties.
chartPositionVega Object The Vega position calculated for a certain underlying price, assuming that the implied volatility doesn't change. The object returns value expressed in decimals and calculated as [LotSize * chartVega], and status = 'Computed' properties.
chartPositionRho Object The Rho position calculated for a certain underlying price, assuming that the implied volatility doesn't change. The object returns value expressed in decimals and calculated as [LotSize * chartRho], and status = 'Computed' properties.
chartPositionTheta Object The Theta position calculated for a certain underlying price, assuming that the implied volatility doesn't change. The object returns value expressed in decimals and calculated as [LotSize * chartTheta], and status = 'Computed' properties.
payoutItemType String The type of price used to calculate the Payout scenario. The possible values are:
  • Default: the underlying price included in the scaling interval,
  • Strike: the strike price,
  • BreakEven: the breakeven price.
price Object The price of the underlying, for which the scenario is calculated. The object returns value expressed in the option's currency and status = 'computed' properties.
payoutValue Object

The difference between the payout amount the holder (seller) recieves (pays) if he resells (rebuys) the option when the underlying price is at the level specified in the scenario and the original premium of this option.

The object returns value expressed in the option's currency and status = 'computed' properties.

TradingVolatilityProfile / HedgingVolatilityProfile

The table below lists properties of the 'TradingVolatilityProfile' and 'HedgingVolatilityProfile' object.

Name Type Description
digit Integer The output used to indicate the number of digits displayed in the Eikon.
displayUnit String The output used to indicate the number of units displayed in the Eikon.
payoutScaling Object

The range of underlying prices to display the Volatility profile. 

Name

Type

Description
minimum Double The minimum shift value of the volatility.
maximum Double The maximum shift value of the volatility.
listVolatilityPayoutScenario Array of objects

The list of the Volatility shift scenarios calculated on the pre-defined dates.

For a detailed breakdown, please refer here.
 

List Volatility Payout Scenario

The table below lists properties of the 'TradingVolatilityProfile' / 'HedgingVolatilityProfile' → 'listVolatilityPayoutScenario' array of objects.

Name Type Description
scenarioDate Date-time The date on which the Volatility shift scenario is calculated. The value is expressed in ISO 8601 format: YYYY-MM-DDT[hh]:[mm]:[ss]Z (e.g., '2021-01-01T00:00:00Z').
listVolatilityPayoutItem Array of objects

The list of Greeks and other Volatility analytics calculated on a certain date for a list of volatility shifts, provided that all other factors do not change.

The payoutScaling range is used with a step calculated as follows: [(maximum - minimum)/11], including maximum value and 0. The minimum value is included for the default behavior only.

For a detailed breakdown, please refer here.

List Volatility Payout Item

The table below lists properties of the 'TradingVolatilityProfile' / 'HedgingVolatilityProfile' → 'listVolatilityPayoutScenario' → 'listVolatilityPayoutItem' array of objects.

Name Type Description
chartDelta double The Delta calculated for a certain volatility shift, assuming that the the underlying price does not change. The object returns value expressed in decimals and status = 'Computed' properties.
chartGamma double The Gamma calculated for a certain volatility shift, assuming that the the underlying price does not change. The object returns value expressed in decimals and status = 'Computed' properties.
chartVega double The Vega calculated for a certain volatility shift, assuming that the the underlying price does not change. The object returns value expressed in decimals and status = 'Computed' properties.
chartRho double The Rho calculated for a certain volatility shift, assuming that the the underlying price does not change. The object returns value expressed in decimals and status = 'Computed' properties.
chartTheta double The Theta calculated for a certain volatility shift, assuming that the the underlying price does not change. The object returns value expressed in decimals and status = 'Computed' properties.
chartPositionDelta double The Delta position calculated for a certain volatility shift, assuming that the the underlying price does not change. The object returns value expressed in decimals and calculated as [LotSize * chartDelta], and status = 'Computed' properties.
chartPositionGamma double The Gamma position calculated for a certain volatility shift, assuming that the the underlying price does not change. The object returns value expressed in decimals and calculated as [LotSize * chartGamma], and status = 'Computed' properties.
chartPositionVega double The Vega position calculated for a certain volatility shift, assuming that the the underlying price does not change. The object returns value expressed in decimals and calculated as [LotSize * chartVega], and status = 'Computed' properties.
chartPositionRho double The Rho position calculated for a certain volatility shift, assuming that the the underlying price does not change. The object returns value expressed in decimals and calculated as [LotSize * chartRho], and status = 'Computed' properties.
chartPositionTheta double The Theta position calculated for a certain volatility shift, assuming that the the underlying price does not change. The object returns value expressed in decimals and calculated as [LotSize * chartTheta], and status = 'Computed' properties.
shift Object The shift in the volatility defined by the scaling interval. The object returns value expressed in decimals and status = 'computed' properties.
volatility Object The resulting volatility considering the shift. The object returns value expressed in decimals and calculated as [VolatilityPercent/100 + shift], and status = 'computed' properties.
premium Object

The difference between the payout amount the holder (seller) receives (pays) if he resells (rebuys) the option when the implied volatility is at the level specified in the scenario and the original premium of this option.

The object returns value expressed in the option's currency and status = 'computed' properties.