Bulk EOD Greeks
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.
Uses Theta Data's EOD reports that get generated at 17:15 ET each day. The closing
option price and closing underlying price are used for the greeks calculation.
ms_of_day represents the time of the last option trade and ms_of_day2
represents the time of the last stock trade. Returns the data for all contracts
that share the same provided root and expiration. Set exp to 0 if you want
to retrieve data for every option that shares the same root.
Sample data contains partial output of the request as the full response to the request is too large to display on this webpage.
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/eod_greeks?root=AAPL&exp=20231117&start_date=20231110&end_date=20231110
The quote fields (bid / ask info) may not be available prior to 2023-12-01. We are working to expose this over the coming months. Obtaining the quote at the end of the day requires much more processing than the trades, so we initially generated our history for trades.
Parameters
Query Parameters
The expiration date of the option contract formatted as YYYYMMDD.
The start date (inclusive) of the request formatted as YYYYMMDD.
The end date (inclusive) of the request formatted as YYYYMMDD.
Uses CSV if true, legacy JSON if false.
The symbol of the security. Option underlyings for indices might have special tickers.
The annualized expected dividend amount to be used in Greeks calculations.
The underlying price to be used in the Greeks calculation for EOD data or a snapshot.
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.
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.