Fetch information about options from Theta Data.

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You must have a Theta Data subscription, and Theta Data terminal running to use this Excel add-in!

OPTIONS_SNAPSHOT

Real-time options data.

Parameters

• req_type - The type of the request (see below).
• root - Optional ticker symbol for the security; all tickers if not provided.
• [exp] - Expiration for the option. Defaults to all expirations if omitted.
• [strike] The strike price of the underlying option. Defaults to all strikes if omitted.
• [right] C for CALL; P for PUT.

Snapshot Request Types

• quote - Retrieve a real-time last NBBO quote of an option contract.
• ohlc - Retrieve a real-time last ohlc of an option contract for the trading day.
• trade - Retrieve the real-time last trade of an option contract.
• open_interest - Retrieve the last open interest message of an option contract.
• greeks - Retrieve a real-time last greeks calculation for all option contracts that lie on a provided expiration.
• greeks_second_order - Retrieve a real-time last second order greeks calculation for all option contracts that lie on a provided expiration.
• greeks_third_order - Retrieve a real-time last third order greeks calculation for all option contracts that lie on a provided expiration.

OPTIONS_AT_TIME

Stock data at a specific millisecond of the day.

Parameters

• req_type - The type of the request (see below).
• start_date - The start date (inclusive) of the request formatted as YYYY-MM-DD.
• end_date - The end date (inclusive) of the request formatted as YYYY-MM-DD.
• ivl - The milliseconds since 00:00:00.000 ET. The function will return the last row of data prior to this timestamp.
• root - Underlying ticker symbol for the security.
• [exp] - Expiration for the option. Defaults to all expirations if omitted.
• [strike] The strike price of the underlying option. Defaults to all strikes if omitted.
• [right] C for CALL; P for PUT.

At-Time Request Types

• quote - Retrieve the last NBBO quote reported by OPRA at a specified millisecond of the day.
• trade - Retrieve the last trade reported by OPRA at a specified millisecond of the day.
• greeks - Retrieve the greeks calculated at the specified millisecond of the day.
• greeks_second_order - Retrieve the second order greeks calculated at the specified millisecond of the day.
• greeks_third_order - Retrieve the third order greeks calculated at the specified millisecond of the day.

OPTIONS_HISTORY

Historic options data.

Parameters

• req_type - The type of the request (see below).
• start_date - The start date (inclusive) of the request formatted as YYYY-MM-DD.
• end_date - The end date (inclusive) of the request formatted as YYYY-MM-DD.
• ivl - The interval size in milliseconds. Setting it to 0 will provide tick-level data instead of aggregated data.
• root - Underlying ticker symbol for the security.
• [exp] - Expiration for the option. Defaults to all expirations if omitted.
• [strike] The strike price of the underlying option. Defaults to all strikes if omitted.
• [right] C for CALL; P for PUT.

History Request Types

• ohlc - Aggregated OHLC bars that use SIP rules for each bar.
• eod - Theta Data generated national EOD report.
• quote - Retrieve every NBBO quote reported by OPRA.
• open_interest - Retrieve the open interest reported at the end of the previous trading day.
• trade - Retrieve every trade reported by OPRA.
• trade_quote - Retrieve every trade reported by OPRA paired with the last NBBO quote reported by OPRA at the time of trade.
• all_greeks - Retrieve the all greeks calculated using the option and underlying midpoint price.
• eod_greeks - Retrieve the greeks calculated using Theta Data's EOD report, and the option and underlying closing price.
• implied_volatility - Retrieve implied volatility calculated using the national best bid, mid, and ask price of the option respectively.
• greeks - Retrieve the greeks calculated using the option and underlying midpoint price.
• greeks_second_order - Retrieve the second order greeks calculated using the option and underlying midpoint price.
• greeks_third_order - Retrieve the third order greeks calculated using the option and underlying midpoint price.
• trade_greeks_second_order - Retrieve every trade reported by OPRA and the associated second order greeks.
• trade_greeks_third_order - Retrieve ever trade reported by OPRA and the associated third order greeks.