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	Comment
197	okey	OptionKey	can be listed or FLEX
112	price	double	option price (premium)
115	uPrc	double	underlying price
118	years	double	years-to-expiration (default uses SR volatility time value)
121	sdiv	double	continuous stock dividend used for pricing
124	rate	double	discount rate used for pricing
127	exType	enum : ExerciseType	exercise type of the option (American or European)
130	exTime	enum : ExerciseTime	exercise time (AM or PM)
198	holidayCalendar	enum : CalendarCode	holiday calendar code (eg. NYSE)
133	timeMetric	enum : TimeMetric	time metric (D252, D365, etc.)
145	modelType	enum : CalcModelType
148	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.
151	incGreeks	enum : YesNo	default (No)
154	vol	double	volatility (implied)
157	effStrike	double	effective strike used to for pricing calc
160	dividendAmount	float	sum of discrete dividend amounts payable prior to exercise (if any) (simple; not net present value)
163	delta	float	delta
166	gamma	float	gamma
169	theta	float	theta
172	vega	float	vega
175	volga	float	volga
178	vanna	float	vanna
181	deDecay	float	delta decay
184	rho	float	rho
187	phi	float	phi
190	error	string(32)
193	pricerModel	string(8)
196	timestamp	DateTime

REPEATING FIELDS

DiscreteDividend

Field	Type	Comment
139	date	DateTime
142	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
        "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, EUX
        "timeMetric": "enumValue", // enum(TimeMetric) - None, D252, D365, SRV6
        "modelType": "enumValue", // enum(CalcModelType) - None, LogNormalExact, NormalExact, LogNormalApprox, NormalApprox
        "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
        "deDecay": 1.0, // float
        "rho": 1.0, // float
        "phi": 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
        "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, EUX
        "timeMetric": "enumValue", // enum(TimeMetric) - None, D252, D365, SRV6
        "modelType": "enumValue", // enum(CalcModelType) - None, LogNormalExact, NormalExact, LogNormalApprox, NormalApprox
        "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
        "deDecay": 1.0, // float
        "rho": 1.0, // float
        "phi": 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
            }
        ]
    }
}'