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Bulk Greeks Third Order ​

Pro

REQUIRED

The Theta Terminal must be running to access data.

Behavior

Calculated using the option and underlying midpoint price. If an interval size is specified
(highly recommended), the option quote used in the calculation follows the same
rules as the quote
endpoint. 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.

Returns the data for all contracts that share the same provided root and expiration.

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/greeks_third_order?root=AAPL&exp=20230915&start_date=20230911&end_date=20230911&ivl=90000

Parameters ​

Query Parameters

expRequired  -

The expiration date of the option contract formatted as YYYYMMDD.

Type: integer (Default: 20231103)
start_dateRequired  -

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

Type: integer (Default: 20230915)
end_dateRequired  -

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

Type: integer (Default: 20230915)
use_csvRequired  -

Uses CSV if true, legacy JSON if false.

Type: boolean (Default: false)
rootRequired  -

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

Type: string (Default: SPX)
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
ivlRequired  -

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: 900000)
rth  -

If this value is set to false and the request is for aggregated / intervalized data, the response will contain intervals from 00:00:000 ET to 23:59:999 ET. If the ivl is 0 or is unspecified, then rth will be forced to false. This means that all data for the day, even if it was outside regular trading hours would be returned. The default behavior is to only return data during regular trading hours (09:30:00.000 ET to 16:00.000 ET).

Type: boolean (Default: true)

Responses ​

OK
JSON
{
"header": {
"id": 0,
"latency_ms": 0,
"error_type": "string",
"error_msg": "string",
"next_page": null,
"format": [
"ms_of_day",
"bid",
"ask",
"speed",
"zomma",
"color",
"ultima",
"implied_vol",
"iv_error",
"ms_of_day2",
"underlying_price",
"date"
]
},
"response": [
{
"ticks": [
[
34290000,
114.95,
115.05,
0,
0.0001,
-0.0011,
0.2671,
3.3828,
0,
34289992,
179.94,
20230911
],
[
34380000,
115.05,
115.2,
0,
0.0001,
-0.0011,
0.2667,
3.3828,
0,
34379988,
180.06,
20230911
]
],
"contract": {
"root": "AAPL",
"expiration": 20230915,
"strike": 65000,
"right": "C"
}
},
{
"ticks": [
[
34290000,
109.95,
110.05,
0,
0.0001,
-0.001,
0.3194,
3.1015,
0,
34289992,
179.94,
20230911
],
[
34380000,
110.05,
110.15,
0,
0,
0,
0,
0,
0,
34379988,
180.06,
20230911
]
],
"contract": {
"root": "AAPL",
"expiration": 20230915,
"strike": 70000,
"right": "C"
}
}
]
}

Sample Code

py