Option Greeks for ATM Historical data (1min)

General
1

How can we get option greeks (gamma) data for past 1 week in zerodha/dhan?

2

Hi @rahulcse56 ,

You can refer the below library to get option greeks data :

c = mibian.BS([1.4565, 1.45, 1, 30], volatility=20)
# ([underlyingPrice, strikePrice, interestRate, daysToExpiration], volatility=x, callPrice=y, putPrice=z)
c.gamma                   # Returns the option gamma
  • underlyingPrice → Current market price of the asset (e.g., stock, currency).
  • strikePrice → Option’s strike price.
  • interestRate → Risk-free interest rate.
  • daysToExpiration → Number of calendar days until the option expires.
  • volatility=20 → The implied volatility (20% here).
3

sorry did not understand what are you suggesting…

4

There is no direct api call to get option greeks, we will need to use mibian to get historical greeks.