Trade Greeks Second Order
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_second_order?root=AAPL&exp=20231103&strike=170000&right=C&start_date=20231103&end_date=20231103
Output Descriptions
| Field | Description |
|---|---|
| ms_of_day | The exchange timestamp of the option quote used. Milliseconds since 00:00:00.000 (midnight) ET. |
| sequence | The exchange sequence. |
| ext_condition1 | Additional trade condition(s). These can be ignored for options. |
| ext_condition2 | Additional trade condition(s). These can be ignored for options. |
| ext_condition3 | Additional trade condition(s). These can be ignored for options. |
| ext_condition4 | Additional trade condition(s). These can be ignored for options. |
| condition | The trade condition. |
| size | The amount of contracts traded. |
| exchange | The exchange the trade was executed. |
| price | The price of the trade. |
| condition_flags | Future use. |
| price_flags | Future use. |
| volume_type | Future use. |
| records_back | Non-zero for trade cancellations and insertions. The value represents the amount of trades prior to the current trade to delete or insert. |
| gamma | The gamma. |
| vanna | The vanna. |
| charm | The charm. |
| vomma | The vomma. |
| veta | The veta. |
| implied_vol | The implied volatiltiy calculated using the trade 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 trade. |
| 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.
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.