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Trade Greeks ​

Pro

REQUIRED

The Theta Terminal must be running to access data.

Behavior

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. perf_boost can be specified to true
to improve the speed of this request by using 1 second intervals for the underlying quotes
instead of tick level quotes.

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/trade_greeks?root=AAPL&exp=20231103&strike=170000&right=C&start_date=20231103&end_date=20231103

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
strikeRequired  -

The strike price in 1/10th of a cent. A $170.00 strike price would be 170000.

Type: integer
rightRequired  -

The right of the option. 'C' for call; 'P' for put.

Type: string (Default: C)
EnumC, P
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
perf_boost  -

If true: 1 second intervals for the underlying equity will be used to calcualte the stock price at the time of each option trade instead of using tick-level equity NBBO. This significantly improves performance as there are much less rows of data that have to be processed per request. This flag only works with the trade greeks endpoints.

Type: boolean (Default: false)
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