MerQube

MerQube Options API

Option Pricing APIs

Documentation GitHub OpenAPI

Operations 3

POST /findstrike Given budget and other criteria, find strike price #

POST /optionprice Custom option pricer #

GET /options/availability_dates/{fysm_id}/{country_code} Returns a collection of availablity dates for the provided underlier

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OpenAPI Specification

openapi: 3.2.0
info:
  title: Merqube Options API
  version: 4.40.0
  contact:
    email: support@merqube.com
    name: API Support
    url: https://www.merqube.com/contact
  description: 'Operations tagged options across 2 of this provider''s published API definitions: merqube-api-openapi.json, merqube-api-raw.yaml. Each path carries the servers of the definition it was published in.'
servers:
- description: Production server
  url: https://api.merqube.com
- description: Testing server for next generation features
  url: https://api.staging.merqube.com
tags:
- description: Option Pricing APIs
  externalDocs:
    description: More details at
    url: https://merqube.com/api
  name: options
paths:
  /findstrike:
    servers:
    - url: https://api.merqurian.com
    post:
      description: MERQUBE FINDSTRIKE API returns the strike of a custom option given the underlying (root), the budget (cost of the option for which the strike is desired), date on which the strike price is desired (asofdate), expiration date of the option (expiry), and the type of the option (otype) [Put/Call], and the exercise type (etype)[European/American]. The API response contains the parameter strike which provides the strike of the option for the given budget.
      operationId: find_strike_for_given_budget
      requestBody:
        content:
          application/json:
            schema:
              properties:
                asofdate:
                  description: The date as of which the price of the option is being requested. Any date between 01-10-2005 and the most recent trading date of the underlying asset.
                  example: Tue, 26 May 2020 00:00:00 GMT
                  format: date
                  type: string
                budget:
                  example: 3.1
                  format: number
                  type: number
                etype:
                  description: The option exercise type is either “European”, which can only be exercised at expiration, or “American”, which can be exercised at any time up to and including the expiration date.
                  enum:
                  - European
                  - American
                  type: string
                expiry:
                  description: The expiry or expiration date is the date on which the options contract expires. Any date between 01-10-2005 and the expiration date of the longest dated options series on the given underlying asset.
                  example: Mon, 15 Feb 2021 00:00:00 GMT
                  format: date
                  type: string
                extrapolation_days:
                  default: 0
                  description: This parameter allows the pricing of the option to use an implied dividend schedule to be moved forward by the number of days specified in this parameter. Any number greater than or equal to zero. Default value is zero.
                  example: 0
                  type: integer
                otype:
                  description: The option type refers to whether an option is a put option or a call option.
                  enum:
                  - put
                  - call
                  type: string
                request_id:
                  description: This request id is returned back to the sender in the response
                  type: string
                root:
                  description: Code for the underlying instrument on which the option is priced.
                  enum:
                  - SPY
                  - TLT
                  - QQQ
                  - IWM
                  type: string
                scale_dividend:
                  default: 1
                  description: Allows all of the dividends in the implied dividend schedule to be scaled by this input parameter. Any number greater than zero and less than 5. Default value is one.
                  example: 1
                  format: number
                  type: number
                volatility_shift:
                  default: 0
                  description: Allows the user to change the implied volatility that is used to compute the price of the option (calculated from the volatility surface) by adding the input value to the one computed. For example, if the parameter provided is 0.1, the implied volatility used to calculate the option price would add 10% to the implied volatility calculated internally from the volatility surface. Number between -0.25 and 0.25, default value of zero.
                  example: 0
                  format: number
                  type: number
              required:
              - root
              - budget
              - asofdate
              - expiry
              - otype
              - etype
              type: object
        description: Parameters for the option to price
        required: true
      responses:
        '200':
          content:
            application/json:
              schema:
                $ref: '#/components/schemas/FindStrikeResponse'
          description: 200 response
      summary: Given budget and other criteria, find strike price
      tags:
      - options
  /optionprice:
    servers:
    - url: https://api.merqurian.com
    post:
      description: MERQUBE OPTIONPRICE API returns the price of a custom option, the implied volatility (vol), implied interest rate (interest_rate), implied dividend yield (dividend_yield), and the option greeks (delta, vega, theta, and gamma). The API requires the underlying (root), date on which the pricing is desired (asofdate), strike of the custom option (strike), expiration (expiry), the type of the option (otype) [Put/Call], and the exercise type (etype)[European/American].
      operationId: get_option_price
      requestBody:
        content:
          application/json:
            schema:
              properties:
                asofdate:
                  description: The date as of which the price of the option is being requested. Any date between 01-10-2005 and the most recent trading date of the underlying asset.
                  example: Tue, 26 May 2020 00:00:00 GMT
                  format: date
                  type: string
                etype:
                  description: The option exercise type is either “European”, which can only be exercised at expiration, or “American”, which can be exercised at any time up to and including the expiration date.
                  enum:
                  - European
                  - American
                  type: string
                expiry:
                  description: The expiry or expiration date is the date on which the options contract expires. Any date between 01-10-2005 and the expiration date of the longest dated options series on the given underlying asset.
                  example: Mon, 15 Feb 2021 00:00:00 GMT
                  format: date
                  type: string
                extrapolation_days:
                  default: 0
                  description: This parameter allows the pricing of the option to use an implied dividend schedule to be moved forward by the number of days specified in this parameter. Any number greater than or equal to zero. Default value is zero.
                  example: 0
                  type: integer
                otype:
                  description: The option type refers to whether an option is a put option or a call option.
                  enum:
                  - put
                  - call
                  type: string
                request_id:
                  description: This request id is returned back to the sender in the response
                  type: string
                root:
                  description: Code for the underlying instrument on which the option is priced.
                  enum:
                  - SPY
                  - TLT
                  - QQQ
                  - IWM
                  type: string
                scale_dividend:
                  default: 1
                  description: Allows all of the dividends in the implied dividend schedule to be scaled by this input parameter. Any number greater than zero and less than 5. Default value is one.
                  example: 1
                  format: number
                  type: number
                strike:
                  description: Strike of the option being priced. Any number greater than zero.
                  example: 300
                  format: number
                  type: number
                volatility_shift:
                  default: 0
                  description: Allows the user to change the implied volatility that is used to compute the price of the option (calculated from the volatility surface) by adding the input value to the one computed. For example, if the parameter provided is 0.1, the implied volatility used to calculate the option price would add 10% to the implied volatility calculated internally from the volatility surface. Number between -0.25 and 0.25, default value of zero.
                  example: 0
                  format: number
                  type: number
              required:
              - root
              - strike
              - asofdate
              - expiry
              - otype
              - etype
              type: object
        description: Parameters for the option to price
        required: true
      responses:
        '200':
          content:
            application/json:
              schema:
                $ref: '#/components/schemas/OptionResponse'
          description: 200 response
      summary: Custom option pricer
      tags:
      - options
  /options/availability_dates/{fysm_id}/{country_code}:
    parameters:
    - $ref: '#/components/parameters/fsymIdParam'
    - $ref: '#/components/schemas/CountryCode'
    get:
      description: Returns a collection of availablity dates for the provided underlier
      responses:
        '200':
          content:
            application/json:
              schema:
                type: object
          description: 200 response
        '403':
          description: not authorized to perform this operation
        '404':
          description: No data available for provided fysm/country code
      summary: Returns a collection of availablity dates for the provided underlier
      tags:
      - options
    servers:
    - description: Production server
      url: https://api.merqube.com
    - description: Testing server for next generation features
      url: https://api.staging.merqube.com
components:
  parameters:
    fsymIdParam:
      description: fsym id
      in: path
      name: fsym_id
      required: true
      schema:
        type: string
  schemas:
    OptionResponse:
      properties:
        bid_ask_spread:
          description: Spread between Bid and Ask prices of the option being priced
          format: number
          type: number
        delta:
          description: Delta of this option
          format: number
          type: number
        dividend_yield:
          description: Implied Dividend Yield for the underlying
          format: number
          type: number
        gamma:
          description: Gamma of the option being priced
          format: number
          type: number
        interest_rate:
          description: Implied Interest Rate
          format: number
          type: number
        price:
          description: Option Price
          format: number
          type: number
        request_id:
          description: Request ID sent in the request
          type: string
        spot:
          description: Underlying spot price
          format: number
          type: number
        theta:
          description: Theta of the option being priced
          format: number
          type: number
        vega:
          description: Vega of the option being priced
          format: number
          type: number
        vol:
          description: Implied Volatility
          format: number
          type: number
      title: Option Response Schema
      type: object
      x-examples: {}
    FindStrikeResponse:
      properties:
        request_id:
          description: Request ID sent in the request
          type: string
        spot:
          description: Underlying spot price.
          format: number
          type: number
        strike:
          description: Strike that prices to the given budget.
          format: number
          type: number
        strike_percentage:
          description: Strike as a percentage of the underlying spot price that prices to the given budget.
          format: number
          type: number
      title: Find Strike Response Schema
      type: object
    CountryCode:
      description: ISO country codes
      enum:
      - AE
      - AR
      - AT
      - AU
      - BD
      - BE
      - BG
      - BH
      - BR
      - BW
      - CA
      - CH
      - CI
      - CL
      - CN
      - CO
      - CY
      - CZ
      - DE
      - DK
      - EC
      - EG
      - ES
      - FI
      - FR
      - GB
      - GR
      - HK
      - HR
      - HU
      - ID
      - IE
      - IL
      - IN
      - IS
      - IT
      - JP
      - KH
      - KR
      - KW
      - LK
      - LU
      - MX
      - MY
      - NL
      - false
      - NZ
      - PE
      - PH
      - PK
      - PL
      - PT
      - QA
      - RU
      - SA
      - SE
      - SG
      - SI
      - SK
      - TH
      - TN
      - TR
      - TT
      - TW
      - US
      - VN
      - ZA
      - ZM
      example: US
      type: string
x-refined-from:
- merqube-api-openapi.json
- merqube-api-raw.yaml
x-internal: true