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Bulk EOD Greeks ​

StandardPro

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.

  • Set exp to 0 if you want to retrieve data for every option that shares the same root. (note: Any exp=0 must be requested day by day)

  • 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

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
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