Yes, That is what I am currently using from thinkorswim manually. However I need to know how they are calculating that theoretical price, in order for me to program it.
You are not able to find the B/S or a binomial option formula online? The last time I tried to do that was in 1985. I used basic programming and B/S to print out my sheets each morning. Now i feel old!
Erick: I found this to be handy. "http://www.macroption.com/black-scholes-excel/". Have you considered using RTD in Excel to extract the info needed, then calculate the remaining information you need? This way, you have access to bid/ask and other info available in TOS in your EXCEL. Be ware that to get "accurate" theo prices, you require "accurate" IV input to B&S, which can only be achieved by knowing the price you are trying to calculate. I approximate the IV from other data, but the results yield variances that you must be comfortable with. I suspect (but do not know) the TOS theo pricing uses actual prices to produce a "smoothed" IV input for each OPRA theo price calculation.
Yes I have coded already 3 different ones however the approximation still have a big error in the approximation.
Erick: If you are trying to zero in on the Theo pricing, you may find it useful to "initially" pick an underlying which does NOT have dividends, to insure your "error" is due to your "IV" approximation and not from an issue with how you compute the dividend impact. -- Just use SPX or RUT instead of SPY or IWM initially, until the error is acceptable, then debug your "dividend" related calculations. -- The devil is in the details.
That might not work well as cash settled indexes are priced off the future not the cash. Pick a stock that has no dividend and is not hard to borrow.