Fetch Theo Values

Fech Theo Values

Theo Values Request

The TheoValuesRequest message will cause the server to reply with the theoretical values for a specific instrument. A TheoValuesReply notification will sent in response. You can optionally provide an underlying price that you would like to use for the calculation. If no underlying price is present then the current mid-market underlying price will be used.

Syntax

TheoValuesRequest <InstrumentID> [UnderlyingPrice]

For APO (Asian Model) instruments, multiple underlying prices may be necessary to generate the correct Theoretical Values:

Syntax

TheoValuesRequest <UnderlyingInstrumentID 1:Price 1> <UnderlyingInstrumentID 2:Price 2> ...

Theo Values Reply

The TheoValuesReply notification is received after a request for an instrument’s theoretical values have been requested.

Syntax

TheoValuesReply <InstrumentID> <UnderlyingPrice> <TheoValue> <Delta> <Gamma> <Vega> <Theta> <Epsilon> <Zeta> <Rho> <Volatility>

Note

The value for theta that is returned is a raw number. To match values presented in Metro the following calculations can be made (where volatility years is number of days til expiration / calendar days.

Raw = (raw Theoretical Center greek * Volatility Years) / (# trading days) 
Per-point = (raw Theoretical Center greek * Volatility Years) * (Tick Value) * (Tick Size) / (# trading days)
Per-tick = (raw Theoretical Center greek * Volatility Years) * (Tick Value) / (# trading days)

Theo Values Request With Risk

The TheoValuesRequestWithRisk message will cause the server to reply with the theoretical and risk parameters values for a specific instrument. A TheoValuesWithRiskReply notification will sent in response. Just like the TheoValuesRequest message, an underlying price is optional.

Syntax

TheoValuesRequestWithRisk <InstrumentID> [UnderlyingPrice]

 

Theo Values With Risk Reply

The TheoValuesWithRiskReply notification is sent to the client after a request for an instrument’s theoretical values has been received by the server.

Syntax

TheoValuesWithRiskReply <InstrumentID> <UnderlyingPrice> <Theo> <Delta> <Gamma> <Vega> <Theta>¹ <Epsilon> <Zeta> <Rho> <Volatility> <CallKurtosisVolRisk> <PutKurtosisVolRisk> <CallTiltVolRisk> <PutTiltVolRisk> <TiltVolRisk> <KurtosisVolRisk>

Raw Value
This value will be the annualized raw theta value, i.e. the raw theta value divided by the number of days in your Trading Day calendar.