Schema: GetOptionVolatility (ID: 3340)

METADATA

Attribute	Value
Topic	3325-mlink
MLink Token	RiskCalc

Note: The symbol = next to a field number indicates that it is a primary key.

BODY

#	Field	Type	Default Value	Comment
100	okey	OptionKey		can be listed or FLEX
103	price	double		option price (premium)
106	uPrc	double		underlying price
109	years	double		years-to-expiration (default uses SR volatility time value)
112	sdiv	double		continuous stock dividend used for pricing
115	rate	double		discount rate used for pricing
118	prcFramework	enum : PricingFramework		primarily controls exercise/settlement interest effects
121	exType	enum : ExerciseType		exercise type of the option (American or European)
124	exTime	enum : ExerciseTime		exercise time (AM or PM)
127	holidayCalendar	enum : CalendarCode		holiday calendar code (eg. NYSE)
130	timeMetric	enum : TimeMetric		time metric (D252, D365, etc.)
142	modelType	enum : CalcModelType
145	calcEngine	enum : CalcEngine		underlying calc engine: FastHybrid (listed strikes + SR discrtete dividends only). NumericX works for any strike/expiry + discrete dividend set but is significantly slower.
148	incGreeks	enum : YesNo		default (No)
151	vol	double		volatility (implied)
154	effStrike	double		effective strike used to for pricing calc
157	dividendAmount	float		sum of discrete dividend amounts payable prior to exercise (if any) (simple; not net present value)
160	delta	float		delta
163	gamma	float		gamma
166	theta	float		theta
169	vega	float		vega
172	volga	float		volga
175	vanna	float		vanna
178	rho	float		rho
181	phi	float		phi
184	deDecay	float		delta decay
187	error	string(32)
190	pricerModel	string(8)
193	timestamp	DateTime

REPEATING FIELDS

DiscreteDividend

#	Field	Type	Default Value	Comment
136	date	DateTime
139	amount	float

Post Msgs API Call

Python

import requests

# Replace with your desired MLINK URL
MLINK_PROD_URL = 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json'

# Replace with your MLINK API Key
API_KEY = 'XXXX-XXXX-XXXX-XXXX'

# Request Parameters
params = {
    # Required Parameters
    "apiKey": API_KEY,
    "cmd": 'postmsgs',
    "postaction": "I", # (I)nsert, or (R)eplace
    "postmerge": "Y", # (Y)es or (N)o
}

payload = {
    "header": {
        "mTyp": "GetOptionVolatility"
    },
    "message": {
        "okey": {
            "at": "EQT",
            "ts": "NMS",
            "tk": "AAPL",
            "dt": "2025-01-01",
            "xx": 1,
            "cp": "Call"
        },
        "price": 1.0, // double
        "uPrc": 1.0, // double
        "years": 1.0, // double
        "sdiv": 1.0, // double
        "rate": 1.0, // double
        "prcFramework": "enumValue", // enum(PricingFramework) - None, Spot, Forward, Future, Physical
        "exType": "enumValue", // enum(ExerciseType) - None, American, European, Asian, Cliquet
        "exTime": "enumValue", // enum(ExerciseTime) - None, PM, AM
        "holidayCalendar": "enumValue", // enum(CalendarCode) - None, NYSE, EUREX, CBOE_EU, NXAM, NXBR, NXLS, NXML, NXOS, NXP, ICEFE, CME, NYMEX, COMEX, MGEX, BXE, CXE, DXE, SCE, EU_AT, EU_BE, EU_CH, EU_DE, EU_DK, EU_FI, EU_FR, EU_GB, EU_IE, EU_IT, EU_NL, EU_NO, EU_PT, EU_SE
        "timeMetric": "enumValue", // enum(TimeMetric) - None, D252, D365, SRV6
        "modelType": "enumValue", // enum(CalcModelType) - None, LogNormal, Normal
        "calcEngine": "enumValue", // enum(CalcEngine) - None, FastHybrid, NumericLow, NumericStd, NumericMax
        "incGreeks": "enumValue", // enum(YesNo) - None, Yes, No
        "vol": 1.0, // double
        "effStrike": 1.0, // double
        "dividendAmount": 1.0, // float
        "delta": 1.0, // float
        "gamma": 1.0, // float
        "theta": 1.0, // float
        "vega": 1.0, // float
        "volga": 1.0, // float
        "vanna": 1.0, // float
        "rho": 1.0, // float
        "phi": 1.0, // float
        "deDecay": 1.0, // float
        "error": "exampleString", // string
        "pricerModel": "exampleString", // string
        "timestamp": "2025-01-01 12:00:00.000000", // yyyy-MM-dd HH:mm:ss.SSSSSS
        "DiscreteDividend": [ // Repeating Field
            {
                "date": "2025-01-01 12:00:00.000000", // yyyy-MM-dd HH:mm:ss.SSSSSS
                "amount": 1.0 // float
            }
        ]
    }
}

response = requests.post(MLINK_PROD_URL, params=params, json=payload)

cUrl

curl -X POST 'https://mlink-live.nms.saturn.spiderrockconnect.com/rest/json' \
--data-urlencode 'apiKey=XXXX-XXXX-XXXX-XXXX' \
--data-urlencode 'cmd=postmsgs' \
--data-urlencode 'postaction=I' \ # (I)nsert, or (R)eplace
--data-urlencode 'postmerge=Y' \ # (Y)es or (N)o
--header 'Content-Type: application/json' \
--data '{
    "header": {
        "mTyp": "GetOptionVolatility"
    },
    "message": {
        "okey": {
            "at": "EQT",
            "ts": "NMS",
            "tk": "AAPL",
            "dt": "2025-01-01",
            "xx": 1,
            "cp": "Call"
        },
        "price": 1.0, // double
        "uPrc": 1.0, // double
        "years": 1.0, // double
        "sdiv": 1.0, // double
        "rate": 1.0, // double
        "prcFramework": "enumValue", // enum(PricingFramework) - None, Spot, Forward, Future, Physical
        "exType": "enumValue", // enum(ExerciseType) - None, American, European, Asian, Cliquet
        "exTime": "enumValue", // enum(ExerciseTime) - None, PM, AM
        "holidayCalendar": "enumValue", // enum(CalendarCode) - None, NYSE, EUREX, CBOE_EU, NXAM, NXBR, NXLS, NXML, NXOS, NXP, ICEFE, CME, NYMEX, COMEX, MGEX, BXE, CXE, DXE, SCE, EU_AT, EU_BE, EU_CH, EU_DE, EU_DK, EU_FI, EU_FR, EU_GB, EU_IE, EU_IT, EU_NL, EU_NO, EU_PT, EU_SE
        "timeMetric": "enumValue", // enum(TimeMetric) - None, D252, D365, SRV6
        "modelType": "enumValue", // enum(CalcModelType) - None, LogNormal, Normal
        "calcEngine": "enumValue", // enum(CalcEngine) - None, FastHybrid, NumericLow, NumericStd, NumericMax
        "incGreeks": "enumValue", // enum(YesNo) - None, Yes, No
        "vol": 1.0, // double
        "effStrike": 1.0, // double
        "dividendAmount": 1.0, // float
        "delta": 1.0, // float
        "gamma": 1.0, // float
        "theta": 1.0, // float
        "vega": 1.0, // float
        "volga": 1.0, // float
        "vanna": 1.0, // float
        "rho": 1.0, // float
        "phi": 1.0, // float
        "deDecay": 1.0, // float
        "error": "exampleString", // string
        "pricerModel": "exampleString", // string
        "timestamp": "2025-01-01 12:00:00.000000", // yyyy-MM-dd HH:mm:ss.SSSSSS
        "DiscreteDividend": [ // Repeating Field
            {
                "date": "2025-01-01 12:00:00.000000", // yyyy-MM-dd HH:mm:ss.SSSSSS
                "amount": 1.0 // float
            }
        ]
    }
}'