Greeks Second Order
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.
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/hist/option/greeks_second_order?root=AAPL&exp=20230915&strike=170000&right=C&start_date=20230911&end_date=20230911&ivl=900000
Output Descriptions
| Field | Description |
|---|---|
| ms_of_day | The exchange timestamp of the option quote used. Milliseconds since 00:00:00.000 (midnight) ET. |
| bid | The national best bid price. |
| ask | The national best ask price. |
| gamma | The gamma. |
| vanna | The vanna. |
| charm | The charm. |
| vomma | The vomma. |
| veta | The veta. |
| implied_vol | The implied volatiltiy calculated using the mid price. |
| iv_error | IV Error: the value of the option calculated using the implied volatiltiy divided by the actual value reported in the quote. This value will increase as the strike price recedes from the underlying price. |
| ms_of_day2 | The exchange timestamp of the underlying quote used. Milliseconds since 00:00:00.000 (midnight) ET. |
| underlying_price | The midpoint of the underlying at the time of the option quote. |
| date | The date formated as YYYYMMDD. |
Parameters
Query Parameters
The symbol of the security. Option underlyings for indices might have special tickers.
The expiration date of the option contract formatted as YYYYMMDD.
The right of the option. 'C' for call; 'P' for put.
The strike price in 1/10ths of a cent. A $170.00 strike price would be 170000.
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 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.
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).