The Option category regroups exchangetraded and overthecounter options.
For more details on structuring the pricing request, refer to Financial Contracts overview.
QPS supports the following option types:
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.
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 'Datetime' parameters, ‘time’ is ignored. An information may be requested in a ‘Date’ format ('YYYYMMDD').
Input Name  Type  Description  Importance  Default Value 
instrumentTag  String  A userdefined 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:
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:

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:
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  Datetime  The maturity or expiry date of the instrument. The value is expressed in ISO 8601 format: YYYYMMDDT[hh]:[mm]:[ss]Z (e.g., '20210101T00:00:00Z'). 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:

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 inthemoney). 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. 
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. 
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.
Input name  Type  Description  Importance  Default Value 
fixingStartDate  Datetime  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: YYYYMMDDT[hh]:[mm]:[ss]Z (e.g., '20210101T00:00:00Z').  Optional  By default, fixingStartDate is valuationDate or today. 
fixingEndDate  Datetime  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: YYYYMMDDT[hh]:[mm]:[ss]Z (e.g., '20210101T00:00:00Z').  Optional  By default, the value is equal to 'EndDate'. 
fixingFrequency  String (enumeration)  The frequency of dates in the fixing period. The possible values are:

Optional  The default value is 'Daily'. 
fixingCalendar  String  A list of commaseparated 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:

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. 
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:

Optional  The default value is 'Up'. 
inOrOut  String (enumeration)  The type of a Barrier option. The possible values are:

Optional  The default value is 'In'. 
barrierStyle  String (enumeration)  The barrier option style based on its exercise restrictions. The possible values are:

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]. 
Input name  Type  Description  Importance  Default Value 
binaryType  String (enumeration)  The type of a Binary option. The possible values are:
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:

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'. 
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 onetoone 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]. 
This object property contains the properties that may be used to control the calculation. By default, override does not apply. For 'Datetime' parameters, ‘time’ is ignored. An information may be requested in a ‘Date’ format ('YYYYMMDD ').
Input name  Type  Description  Importance  Default Value 
valuationDate  Datetime  The date at which the instrument is valued. The value is expressed in ISO 8601 format: YYYYMMDDT[hh]:[mm]:[ss]Z (e.g., '20210101T00:00:00Z').  Optional  By default, valuationDate is marketDataDate or today. 
marketDataDate  Datetime  The date at which the market data is retrieved. The value is expressed in ISO 8601 format: YYYYMMDDT[hh]:[mm]:[ss]Z (e.g., '20210101T00:00:00Z').  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. 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:

Optional  The default value depends on the option type. 
payoutCustomDates  Array of dates  The array of userdefined 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:

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. 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 riskfree 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:
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:
It is ignored for listed options if optionTimeStamp is set to 'Settle'. 
Optional  The default values for listed options are:
The default value for OTC options is 'Mid'. 
optionTimeStamp  String (enumeration)  The mode of the instrument's timestamp selection. The possible values are:

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:
It is ignored if underlyingTimeStamp is set to 'Settle'. 
Optional  The default values are:

underlyingTimeStamp  String (enumeration)  The mode of the underlying asset's timestamp selection. The possible values are:

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. 
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:
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:

maximum  Double  The maximum value of the range to display the Payout or Volatility profiles. The value is expressed:
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:

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  Datetime  The maturity or expiry date of the instrument. The value is expressed in ISO 8601 format: YYYYMMDDT[hh]:[mm]:[ss]Z (e.g., '20210101T00:00:00Z').  Description  Yes 
OptionType  String  The type of the option. The possible values are:

Description  Yes 
ExerciseStyle  String  The option style based on its exercise restrictions. The possible values are:
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:
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:

Description  Yes 
DealCcy  String  The currency code which depending on the instrument represents:
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:

Description  Yes 
OptionTimeStamp  String  The mode of the instrument's timestamp selection. The possible values are:

Description  Yes 
UnderlyingPriceSide  String  The quoted price side of the underlying asset. The possible values are:

Description  Yes 
UnderlyingTimeStamp  String  The mode of the underlying asset's timestamp selection. The possible values are:

Description  Yes 
PricingModelType  String  The model type of the option pricing. The possible values are:

Description  No 
PricingModelTypeList  Array of strings  The list of available pricing model type depending on the option type. The possible values are:

Description  No 
DiscountCurveId  String  The identifier of the zerocoupon 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:

Description  Yes 
AverageType  String  The mathematical type used to compute the average underlying asset's price. The possible values are:
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  Datetime  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: YYYYMMDDT[hh]:[mm]:[ss]Z (e.g., '20210101T00:00:00Z'). Available only for Asian options.  Description  No 
FixingEndDate  Datetime  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: YYYYMMDDT[hh]:[mm]:[ss]Z (e.g., '20210101T00:00:00Z'). Available only for Asian options.  Description  No 
FixingFrequency  String  The frequency of dates in the fixing period. The possible values are:
Available only for Asian options. 
Description  No 
FixingCalendar  String  A list of commaseparated 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:

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:

Description  No 
CbbcOptionType  String  The type of a CBBC option. The possible values are:

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 onetoone 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 nonblocking error.  Description  Yes 
ValuationDate  Datetime  The date at which the instrument is valued. The value is expressed in ISO 8601 format: YYYYMMDDT[hh]:[mm]:[ss]Z (e.g., '20210101T00:00:00Z').  Pricing analysis  Yes 
MarketDataDate  Datetime  The date at which the market data is retrieved. The value is expressed in ISO 8601 format: YYYYMMDDT[hh]:[mm]:[ss]Z (e.g., '20210101T00:00:00Z'). 
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:

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 riskfree 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:
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:
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:
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:
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:
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:
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:
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:
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:
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:
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:
The value is expressed in the deal currency. 
Valuation  No 
TotalMarketValueInReportCcy  Float  The market value (premium) of the instrument computed per transaction as:
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 oneunit 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 oneunit 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 oneunit 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 oneunit 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 oneunit 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 oneunit 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 riskfree interest rate. The value is expressed in percentages.  Greeks  Yes 
RhoAmountInDealCcy  Float  The change in the option's price per 1% change in the riskfree 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 riskfree 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 oneday 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 oneday 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 oneday 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 breakeven price. The value is expressed in the deal currency.  Greeks  No 
BreakEvenDeltaAmountInReportCcy  Float  The delta of the breakeven 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 oneday 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 oneday 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 oneday 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 oneday 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 oneday 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 oneday 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 
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.


listPayoutScenario  Array of objects  The list of the Payout scenarios calculated on the predefined dates. For a detailed breakdown, please refer here. 
The table below lists properties of the 'TradingPayoutProfile' / 'HedgingPayoutProfile' → 'listPayoutScenario' array of objects.
Name  Type  Description 
scenarioDate  Datetime  The date on which the Payout scenario is calculated. The value is expressed in ISO 8601 format: YYYYMMDDT[hh]:[mm]:[ss]Z (e.g., '20210101T00:00:00Z'). 
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. 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. 
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:

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. 
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.


listVolatilityPayoutScenario  Array of objects  The list of the Volatility shift scenarios calculated on the predefined 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  Datetime  The date on which the Volatility shift scenario is calculated. The value is expressed in ISO 8601 format: YYYYMMDDT[hh]:[mm]:[ss]Z (e.g., '20210101T00:00:00Z'). 
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. 
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. 