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Bulk All Trade Greeks ​

Pro

REQUIRED

The Theta Terminal must be running to access data.

Behavior

  • Returns the data for all contracts that share the same provided root and expiration.
  • Calculates greeks for every trade reported by OPRA.
  • The underlying price represents whatever the last underlying price was at the ms_of_day field. You can read more about how Thetadata calculates greeks here.

Sample URL & Code

Paste the URL below into your browser while the Theta Terminal is running.
You can use the "request sample" box to the right of this box obtain sample
code in any programming language.

http://127.0.0.1:25510/v2/bulk_hist/option/all_trade_greeks?root=AAPL&exp=20231117&start_date=20231110&end_date=20231110&ivl=900000

Parameters ​

Query Parameters

rootRequired  -

The symbol of the security. Option underlyings for indices might have special tickers.

Type: string
expRequired  -

The expiration date of the option contract formatted as YYYYMMDD.

Type: integer
start_dateRequired  -

The start date (inclusive) of the request formatted as YYYYMMDD.

Type: integer
end_dateRequired  -

The end date (inclusive) of the request formatted as YYYYMMDD.

Type: integer
annual_div  -

The annualized expected dividend amount to be used in Greeks calculations.

Type: number
rate  -

The interest rate type to be used in a Greeks calculation. Omitting this parameter will default to SOFR or 0 if no rate exists for the date in question.

Type: string
EnumSOFR, TREASURY_M1, TREASURY_M3, TREASURY_M6, TREASURY_Y1, TREASURY_Y2, TREASURY_Y3, TREASURY_Y5, TREASURY_Y7, TREASURY_Y10, TREASURY_Y20, TREASURY_Y30
rate_value  -

The annualized interest rate value to be used in a Greeks calculation. A 3.42% interest rate would be represented as .0342. This will override the rate parameter if it is specified.

Type: number
ivl  -

The interval size in milliseconds. 1 minute intervals is 60000. Omitting this value or setting it to 0will provide tick-level data instead of aggregated / intervalized data.

Type: integer (Default: 0)
use_csv  -

Output is in comma-separated values if true, legacy JSON if false.

Type: boolean (Default: false)
pretty_time  -

If this value is set to true, ms_of_day and date will take the format of 09:30:00.000 and 2020-01-01; if set to false, ms_of_day will return the timestamp in milliseconds since midnight EST.

Type: boolean (Default: false)

Responses ​

OK

Sample Code

py