Structures Greeks API

Endpoint

POST /v1/structures/greeks

Auth required (X-Api-Key) Rate Limited: Yes Basic+

Request Body Fields

Name	In	Required	Default	Description
`legs`	body	yes	-	One or more legs. Must be non-empty.
`legs[].action`	body	yes	`buy`	`buy` (alias `long`) or `sell` (alias `short`).
`legs[].type`	body	yes	`call`	`call` (alias `c`) or `put` (alias `p`).
`legs[].strike`	body	yes	-	Strike price. Must be `> 0`.
`legs[].expiry`	body	yes	-	Leg expiry, `YYYY-MM-DD`.
`legs[].impliedVol`	body	yes	-	Implied volatility as a decimal (e.g. `0.28`). Must be `> 0`.
`legs[].quantity`	body	no	`1`	Number of contracts. Must be `> 0`.
`spot`	body	yes	-	Underlying spot price priced against. Must be `> 0`.
`today`	body	no	today (UTC)	Valuation date, `YYYY-MM-DD`.
`rate`	body	no	`0.045`	Risk-free rate (decimal).
`dividendYield`	body	no	`0.013`	Continuous dividend yield (decimal).

Request Body

{
  "legs": [
    { "action": "buy",  "type": "call", "strike": 100, "expiry": "2026-07-17", "impliedVol": 0.28, "quantity": 1 },
    { "action": "sell", "type": "call", "strike": 110, "expiry": "2026-07-17", "impliedVol": 0.25, "quantity": 1 }
  ],
  "spot": 102.5,
  "today": "2026-06-05",
  "rate": 0.045,
  "dividendYield": 0.013
}

curl -X POST "https://lab.flashalpha.com/v1/structures/greeks" \
  -H "X-Api-Key: YOUR_API_KEY" \
  -H "Content-Type: application/json" \
  -d '{
        "legs": [
          { "action": "buy",  "type": "call", "strike": 100, "expiry": "2026-07-17", "impliedVol": 0.28, "quantity": 1 },
          { "action": "sell", "type": "call", "strike": 110, "expiry": "2026-07-17", "impliedVol": 0.25, "quantity": 1 }
        ],
        "spot": 102.5,
        "today": "2026-06-05",
        "rate": 0.045,
        "dividendYield": 0.013
      }'

import requests

resp = requests.post(
    "https://lab.flashalpha.com/v1/structures/greeks",
    headers={"X-Api-Key": "YOUR_API_KEY"},
    json={
        "legs": [
            {"action": "buy",  "type": "call", "strike": 100, "expiry": "2026-07-17", "impliedVol": 0.28, "quantity": 1},
            {"action": "sell", "type": "call", "strike": 110, "expiry": "2026-07-17", "impliedVol": 0.25, "quantity": 1},
        ],
        "spot": 102.5,
        "today": "2026-06-05",
        "rate": 0.045,
        "dividendYield": 0.013,
    },
)
data = resp.json()
print(f"Position delta: {data['position_greeks']['delta']}")

const resp = await fetch(
  "https://lab.flashalpha.com/v1/structures/greeks",
  {
    method: "POST",
    headers: {
      "X-Api-Key": "YOUR_API_KEY",
      "Content-Type": "application/json"
    },
    body: JSON.stringify({
      legs: [
        { action: "buy",  type: "call", strike: 100, expiry: "2026-07-17", impliedVol: 0.28, quantity: 1 },
        { action: "sell", type: "call", strike: 110, expiry: "2026-07-17", impliedVol: 0.25, quantity: 1 }
      ],
      spot: 102.5,
      today: "2026-06-05",
      rate: 0.045,
      dividendYield: 0.013
    })
  }
);
const data = await resp.json();
console.log("Position delta:", data.position_greeks.delta);

This is a pure-math POST endpoint: each Greek is computed analytically from the legs and spot/IV you supply, with no market-data lookup, symbol resolution, or live IV. There is no live Try-It widget for it - run the cURL example above to try it.

Response

{
  "spot": 102.5,
  "as_of": "2026-06-05T14:32:10.123Z",
  "valuation_date": "2026-06-05",
  "rate": 0.045,
  "dividend_yield": 0.013,
  "legs": [
    { "action": "buy",  "type": "call", "strike": 100, "expiry": "2026-07-17", "impliedVol": 0.28, "quantity": 1 },
    { "action": "sell", "type": "call", "strike": 110, "expiry": "2026-07-17", "impliedVol": 0.25, "quantity": 1 }
  ],
  "position_greeks": {
    "delta": 0.3142,
    "gamma": 0.0184,
    "theta": -0.0421,
    "vega": 0.1163,
    "rho": 0.0457,
    "vanna": -0.0039,
    "charm": 0.0008
  }
}

Key Response Fields

Field	Type	Description
`spot`	number	Underlying spot price priced against
`as_of`	string	Server timestamp of the computation
`valuation_date`	string	The resolved `today`
`rate`	number	Risk-free rate used (decimal)
`dividend_yield`	number	Continuous dividend yield used (decimal)
`legs`	array	Echoes the request body (camelCase field names)
`position_greeks`	object	Aggregated `delta`, `gamma`, `theta`, `vega`, `rho`, `vanna`, and `charm`

Errors

Status	Error	When
`400`	`empty_legs`	`legs` is missing or empty.
`400`	`invalid_spot`	`spot <= 0`.
`400`	`invalid_action`	`leg[i].action` is not `buy`/`sell` (or `long`/`short`).
`400`	`invalid_type`	`leg[i].type` is not `call`/`put` (or `c`/`p`).
`400`	`invalid_strike`	`leg[i].strike <= 0`.
`400`	`invalid_iv`	`leg[i].impliedVol <= 0`.
`400`	`invalid_expiry`	`leg[i].expiry` is not a valid `YYYY-MM-DD` date.
`400`	`invalid_quantity`	`leg[i].quantity <= 0`.
`403`	`tier_restricted`	Free plan. Requires Basic or higher.

About

This endpoint is part of the Structures family of pure-math multi-leg utilities. Every result is a deterministic function of the legs you supply: there is no market-data lookup, no symbol resolution, and no live IV. You pass the legs and the spot/IV you want priced against, and the response is computed analytically.

Each Greek is signed for direction (long +, short −) and scaled by quantity, then summed across legs. Because every leg carries its own expiry and implied vol, calendars and diagonals aggregate correctly. Legs that have already expired relative to today contribute zero.

Common Use Cases

Read net position_greeks.delta to see directional exposure and hedge a multi-leg trade to the share count you want
Watch position_greeks.gamma to size how fast that delta shifts as spot moves, so you know how often to rebalance
Track position_greeks.theta for daily time-decay carry and confirm a short-premium structure is collecting as intended
Use position_greeks.vega to quantify IV exposure and gate the trade on your volatility view
Aggregate Greeks correctly across calendars and diagonals because each leg carries its own expiry and impliedVol
Stress the position by re-POSTing with alternative spot or impliedVol to map the Greeks across scenarios
Surface higher-order vanna and charm in a risk panel to anticipate delta drift from vol and time

Complementary endpoints

Structure P&L - pair these Greeks with the at-expiry payoff for the same legs
Option Quote - source live spot and per-leg IV to feed this call
Exposure Sheet - see how the same Greeks roll up across a whole book