openapi: 3.1.0 info: title: Theta Data v3 At-Time Option API description: Real-time and historic stock, options, and index data! version: 3.0.0 x-java-package: net.thetadata.generated servers: - url: http://127.0.0.1:25503/v3 description: dev security: [] tags: - name: Option paths: /option/list/symbols: x-concurrent-limit-ttl-ms: '210' x-min-subscription: free get: summary: Symbols operationId: option_list_symbols x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient client = ThetaClient(dataframe_type=''pandas'') df = client.option_list_symbols() ' - lang: Python label: polars source: 'from thetadata import ThetaClient client = ThetaClient(dataframe_type=''polars'') df = client.option_list_symbols() ' tags: - Option description: 'A symbol can be defined as a unique identifier for a stock / underlying asset. Common terms also include: root, ticker, and underlying. This endpoint returns all traded symbols for options. This endpoint is updated overnight. ' x-sample-urls: - url: http://127.0.0.1:25503/v3/option/list/symbols description: List all symbols for options - url: http://127.0.0.1:25503/v3/option/list/symbols?format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/format' responses: '200': description: List all symbols for options content: text/csv: schema: type: array items: &id001 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. example: "symbol\r\nA\r\nAA\r\nAAAP\r\nAAAU\r\nAABA\r\n" application/json: schema: &id002 type: array items: *id001 example: "{\n \"response\": [\n {\"symbol\":\"A\"},\n {\"symbol\":\"AA\"},\n {\"symbol\":\"AAAP\"},\n {\"symbol\":\"AAAU\"},\n {\"symbol\":\"AABA\"}\n ]\n}\n" application/x-ndjson: schema: *id002 example: '{"symbol":"A"} {"symbol":"AA"} {"symbol":"AAAP"} {"symbol":"AAAU"} {"symbol":"AABA"}' python/pandas: schema: *id002 example: 'symbol 0 1BXSL 1 1CORZ 2 1INVH 3 1LNCO 4 1ZURA ... ... 15373 ZZV 15374 ZZZ 15375 ZZZ1 15376 ÓPX 15377 ÓPXW [15378 rows x 1 columns] ' python/polars: schema: *id002 example: 'shape: (15_378, 1) ┌────────┐ │ symbol │ │ --- │ │ str │ ╞════════╡ │ 1BXSL │ │ 1CORZ │ │ 1INVH │ │ 1LNCO │ │ 1ZURA │ │ … │ │ ZZV │ │ ZZZ │ │ ZZZ1 │ │ ÓPX │ │ ÓPXW │ └────────┘ ' /option/list/dates/{request_type}: x-concurrent-limit-ttl-ms: '548' x-min-subscription: free get: summary: Dates operationId: option_list_dates x-codeSamples: - lang: Python label: pandas source: "from thetadata import ThetaClient\nfrom datetime import date\n\nclient = ThetaClient(dataframe_type='pandas')\ndf = client.option_list_dates(\n request_type='quote',\n symbol='AAPL',\n expiration=date(2022, 9, 30),\n)\n" - lang: Python label: polars source: "from thetadata import ThetaClient\nfrom datetime import date\n\nclient = ThetaClient(dataframe_type='polars')\ndf = client.option_list_dates(\n request_type='quote',\n symbol='AAPL',\n expiration=date(2022, 9, 30),\n)\n" tags: - Option description: 'Lists all dates of data that are available for an option with a given symbol, request type, and expiration. This endpoint is updated overnight. ' x-sample-urls: - url: http://127.0.0.1:25503/v3/option/list/dates/quote?symbol=AAPL&expiration=20220930 description: List all dates for an option quote for a given symbol and expiration date - url: http://127.0.0.1:25503/v3/option/list/dates/trade?symbol=AAPL&expiration=20220930 description: List all dates for an option trade for a given symbol with any expiration date - url: http://127.0.0.1:25503/v3/option/list/dates/trade?symbol=AAPL&expiration=20220930&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/request_type' - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration_no_star' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/format' responses: '200': description: List all dates for an option quote for a given symbol and expiration date content: text/csv: schema: type: array items: &id003 type: object properties: date: type: string format: date description: The date formated as YYYY-MM-DD. example: "date\r\n2022-09-12\r\n2022-09-13\r\n2022-09-14\r\n2022-09-16\r\n2022-09-19\r\n" application/json: schema: &id004 type: array items: *id003 example: "{\n \"response\": [\n {\"date\":\"2022-09-12\"},\n {\"date\":\"2022-09-13\"},\n {\"date\":\"2022-09-14\"},\n {\"date\":\"2022-09-16\"},\n {\"date\":\"2022-09-19\"}\n ]\n}\n" application/x-ndjson: schema: *id004 example: '{"date":"2022-09-12"} {"date":"2022-09-13"} {"date":"2022-09-14"} {"date":"2022-09-16"} {"date":"2022-09-19"}' python/pandas: schema: *id004 example: 'date 0 2025-08-13 1 2025-08-29 2 2025-09-19 ' python/polars: schema: *id004 example: 'shape: (3, 1) ┌────────────┐ │ date │ │ --- │ │ str │ ╞════════════╡ │ 2025-08-13 │ │ 2025-08-29 │ │ 2025-09-19 │ └────────────┘ ' /option/list/expirations: x-concurrent-limit-ttl-ms: '6' x-min-subscription: free get: summary: Expirations operationId: option_list_expirations x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient client = ThetaClient(dataframe_type=''pandas'') df = client.option_list_expirations(symbol=[''AAPL'']) ' - lang: Python label: polars source: 'from thetadata import ThetaClient client = ThetaClient(dataframe_type=''polars'') df = client.option_list_expirations(symbol=[''AAPL'']) ' tags: - Option description: 'Lists all dates of expirations that are available for an option with a given symbol. This endpoint is updated overnight. ' x-sample-urls: - url: http://127.0.0.1:25503/v3/option/list/expirations?symbol=AAPL description: List all expirations for an option with a given symbol - url: http://127.0.0.1:25503/v3/option/list/expirations?symbol=AAPL&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/multi_symbol' - $ref: '#/components/parameters/format' responses: '200': description: List all expirations for an option with a given symbol content: text/csv: schema: type: array items: &id005 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. example: "symbol,expiration\r\nAAPL,2012-06-01\r\nAAPL,2012-06-08\r\nAAPL,2012-06-16\r\nAAPL,2012-06-22\r\nAAPL,2012-06-29\r\n" application/json: schema: &id006 type: array items: *id005 example: "{\n \"response\": [\n {\"symbol\":\"AAPL\",\"expiration\":\"2012-06-01\"},\n {\"symbol\":\"AAPL\",\"expiration\":\"2012-06-08\"},\n {\"symbol\":\"AAPL\",\"expiration\":\"2012-06-16\"},\n {\"symbol\":\"AAPL\",\"expiration\":\"2012-06-22\"},\n {\"symbol\":\"AAPL\",\"expiration\":\"2012-06-29\"}\n ]\n}\n" application/x-ndjson: schema: *id006 example: '{"symbol":"AAPL","expiration":"2012-06-01"} {"symbol":"AAPL","expiration":"2012-06-08"} {"symbol":"AAPL","expiration":"2012-06-16"} {"symbol":"AAPL","expiration":"2012-06-22"} {"symbol":"AAPL","expiration":"2012-06-29"}' python/pandas: schema: *id006 example: 'symbol expiration 0 SPY 2012-06-01 1 SPY 2012-06-08 2 SPY 2012-06-16 3 SPY 2012-06-22 4 SPY 2012-06-29 ... ... ... 2025 SPY 2027-09-17 2026 SPY 2027-12-17 2027 SPY 2028-01-21 2028 SPY 2028-06-16 2029 SPY 2028-12-15 [2030 rows x 2 columns] ' python/polars: schema: *id006 example: 'shape: (2_030, 2) ┌────────┬────────────┐ │ symbol ┆ expiration │ │ --- ┆ --- │ │ str ┆ str │ ╞════════╪════════════╡ │ SPY ┆ 2012-06-01 │ │ SPY ┆ 2012-06-08 │ │ SPY ┆ 2012-06-16 │ │ SPY ┆ 2012-06-22 │ │ SPY ┆ 2012-06-29 │ │ … ┆ … │ │ SPY ┆ 2027-09-17 │ │ SPY ┆ 2027-12-17 │ │ SPY ┆ 2028-01-21 │ │ SPY ┆ 2028-06-16 │ │ SPY ┆ 2028-12-15 │ └────────┴────────────┘ ' /option/list/strikes: x-concurrent-limit-ttl-ms: '18' x-min-subscription: free get: summary: Strikes operationId: option_list_strikes x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''pandas'') df = client.option_list_strikes(symbol=[''AAPL''], expiration=date(2022, 9, 30)) ' - lang: Python label: polars source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''polars'') df = client.option_list_strikes(symbol=[''AAPL''], expiration=date(2022, 9, 30)) ' tags: - Option description: 'Lists all strikes that are available for an option with a given symbol and expiration date. This endpoint is updated overnight. ' x-sample-urls: - url: http://127.0.0.1:25503/v3/option/list/strikes?symbol=AAPL&expiration=20220930 description: List all strikes for an option with a given symbol and expiration date - url: http://127.0.0.1:25503/v3/option/list/strikes?symbol=AAPL&expiration=20220930&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/multi_symbol' - $ref: '#/components/parameters/expiration_no_star' - $ref: '#/components/parameters/format' responses: '200': description: List all strikes for an option with a given symbol and expiration date content: text/csv: schema: type: array items: &id007 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. strike: type: number description: Strike price of the contract in dollars 180.00 example: "symbol,strike\r\nAAPL,80.000\r\nAAPL,128.000\r\nAAPL,160.000\r\nAAPL,144.000\r\nAAPL,240.000\r\n" application/json: schema: &id008 type: array items: *id007 example: "{\n \"response\": [\n {\"symbol\":\"AAPL\",\"strike\":80.000},\n {\"symbol\":\"AAPL\",\"strike\":128.000},\n {\"symbol\":\"AAPL\",\"strike\":160.000},\n {\"symbol\":\"AAPL\",\"strike\":144.000},\n {\"symbol\":\"AAPL\",\"strike\":240.000}\n ]\n}\n" application/x-ndjson: schema: *id008 example: '{"symbol":"AAPL","strike":80.000} {"symbol":"AAPL","strike":128.000} {"symbol":"AAPL","strike":160.000} {"symbol":"AAPL","strike":144.000} {"symbol":"AAPL","strike":240.000}' python/pandas: schema: *id008 example: 'symbol strike 0 SPY 597.0 1 SPY 661.0 2 SPY 725.0 3 SPY 640.0 4 SPY 704.0 .. ... ... 200 SPY 683.0 201 SPY 470.0 202 SPY 598.0 203 SPY 662.0 204 SPY 790.0 [205 rows x 2 columns] ' python/polars: schema: *id008 example: 'shape: (205, 2) ┌────────┬────────┐ │ symbol ┆ strike │ │ --- ┆ --- │ │ str ┆ f64 │ ╞════════╪════════╡ │ SPY ┆ 597.0 │ │ SPY ┆ 661.0 │ │ SPY ┆ 725.0 │ │ SPY ┆ 640.0 │ │ SPY ┆ 704.0 │ │ … ┆ … │ │ SPY ┆ 683.0 │ │ SPY ┆ 470.0 │ │ SPY ┆ 598.0 │ │ SPY ┆ 662.0 │ │ SPY ┆ 790.0 │ └────────┴────────┘ ' /option/list/contracts/{request_type}: x-concurrent-limit-ttl-ms: '1716' x-min-subscription: value x-history-access: true get: summary: Contracts operationId: option_list_contracts x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''pandas'') df = client.option_list_contracts(request_type=''trade'', date=date(2022, 9, 30)) ' - lang: Python label: polars source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''polars'') df = client.option_list_contracts(request_type=''trade'', date=date(2022, 9, 30)) ' tags: - Option description: 'Lists all contracts that were traded or quoted on a particular date. If the ``symbol`` parameter is specified, the returned contracts will be filtered to match the symbol. Multiple symbols can be specified by separating them with commas such as ``symbol=AAPL,SPY,AMD`` This endpoint is updated real-time. ' x-sample-urls: - url: http://127.0.0.1:25503/v3/option/list/contracts/trade?date=20220930 description: List all contracts for an option trade with a given date - url: http://127.0.0.1:25503/v3/option/list/contracts/quote?symbol=AAPL&date=20220930 description: List all contracts for an option quote with a given symbol and date - url: http://127.0.0.1:25503/v3/option/list/contracts/quote?symbol=AAPL&date=20220930&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/request_type' - $ref: '#/components/parameters/opt_multi_symbol' - $ref: '#/components/parameters/date' - $ref: '#/components/parameters/max_dte' - $ref: '#/components/parameters/format' responses: '200': description: List all contracts for an option trade with a given date content: text/csv: schema: type: array items: &id009 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. example: "symbol,expiration,strike,right\r\nABNB,2023-06-16,260.000,CALL\r\nAAPL,2023-06-16,260.000,CALL\r\nAAL,2022-09-30,14.500,CALL\r\nABNB,2022-11-04,80.000,PUT\r\nAAPL,2022-11-04,80.000,PUT\r\n" application/json: schema: &id010 type: array items: *id009 example: "{\n \"response\": [\n {\"symbol\":\"ABNB\",\"strike\":260.000,\"expiration\":\"2023-06-16\",\"right\":\"CALL\"},\n {\"symbol\":\"AAPL\",\"strike\":260.000,\"expiration\":\"2023-06-16\",\"right\":\"CALL\"},\n {\"symbol\":\"AAL\",\"strike\":14.500,\"expiration\":\"2022-09-30\",\"right\":\"CALL\"},\n {\"symbol\":\"ABNB\",\"strike\":80.000,\"expiration\":\"2022-11-04\",\"right\":\"PUT\"},\n {\"symbol\":\"AAPL\",\"strike\":80.000,\"expiration\":\"2022-11-04\",\"right\":\"PUT\"}\n ]\n}\n" application/x-ndjson: schema: *id010 example: '{"symbol":"ABNB","strike":260.000,"expiration":"2023-06-16","right":"CALL"} {"symbol":"AAPL","strike":260.000,"expiration":"2023-06-16","right":"CALL"} {"symbol":"AAL","strike":14.500,"expiration":"2022-09-30","right":"CALL"} {"symbol":"ABNB","strike":80.000,"expiration":"2022-11-04","right":"PUT"} {"symbol":"AAPL","strike":80.000,"expiration":"2022-11-04","right":"PUT"}' python/pandas: schema: *id010 example: 'symbol expiration strike right 0 SPY 2026-03-20 605.0 PUT 1 SPY 2026-01-16 475.0 PUT 2 SPY 2025-10-03 608.0 PUT 3 SPY 2026-06-18 735.0 CALL 4 SPY 2025-10-06 608.0 PUT ... ... ... ... ... 4701 SPY 2025-10-10 607.0 PUT 4702 SPY 2025-10-10 607.0 CALL 4703 SPY 2025-10-31 607.0 PUT 4704 SPY 2027-01-15 600.0 PUT 4705 SPY 2027-01-15 600.0 CALL [4706 rows x 4 columns] ' python/polars: schema: *id010 example: 'shape: (4_706, 4) ┌────────┬────────────┬────────┬───────┐ │ symbol ┆ expiration ┆ strike ┆ right │ │ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str │ ╞════════╪════════════╪════════╪═══════╡ │ SPY ┆ 2026-03-20 ┆ 605.0 ┆ PUT │ │ SPY ┆ 2026-01-16 ┆ 475.0 ┆ PUT │ │ SPY ┆ 2025-10-03 ┆ 608.0 ┆ PUT │ │ SPY ┆ 2026-06-18 ┆ 735.0 ┆ CALL │ │ SPY ┆ 2025-10-06 ┆ 608.0 ┆ PUT │ │ … ┆ … ┆ … ┆ … │ │ SPY ┆ 2025-10-10 ┆ 607.0 ┆ PUT │ │ SPY ┆ 2025-10-10 ┆ 607.0 ┆ CALL │ │ SPY ┆ 2025-10-31 ┆ 607.0 ┆ PUT │ │ SPY ┆ 2027-01-15 ┆ 600.0 ┆ PUT │ │ SPY ┆ 2027-01-15 ┆ 600.0 ┆ CALL │ └────────┴────────────┴────────┴───────┘ ' /option/snapshot/ohlc: x-skip-concurrent-limit: true x-min-subscription: value get: summary: Open High Low Close operationId: option_snapshot_ohlc x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''pandas'') df = client.option_snapshot_ohlc(symbol=''AAPL'', expiration=date(2027, 1, 15)) ' - lang: Python label: polars source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''polars'') df = client.option_snapshot_ohlc(symbol=''AAPL'', expiration=date(2027, 1, 15)) ' tags: - Option description: '- Retrieve a real-time last ohlc of an option contract for the trading day. - You might need to change the default expiration date to a different date if it is past the current date. ' x-sample-urls: - url: http://127.0.0.1:25503/v3/option/snapshot/ohlc?symbol=AAPL&expiration=20270115&right=call&strike=270.000 description: Returns OHLC for a given option contract - url: http://127.0.0.1:25503/v3/option/snapshot/ohlc?symbol=AAPL&expiration=* description: Returns OHLC for all option contracts - url: http://127.0.0.1:25503/v3/option/snapshot/ohlc?symbol=AAPL&expiration=*&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/max_dte' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/min_time' - $ref: '#/components/parameters/format' responses: '200': description: Returns OHLC for a given option contract content: text/csv: schema: type: array items: &id011 type: object properties: timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. open: type: number description: The opening trade price. high: type: number description: The highest traded price. low: type: number description: The lowest traded price. close: type: number description: The closing traded price. volume: type: integer description: The amount of contracts / shares traded. count: type: integer description: The amount of trades. example: "timestamp,symbol,expiration,strike,right,open,high,low,close,volume,count\r\n2025-08-20T15:25:31.03,AAPL,2026-01-16,275.000,CALL,1.78,1.78,1.51,1.51,202,29\r\n" application/json: schema: &id012 type: array items: *id011 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"expiration\":\"2026-01-16\",\"strike\":275.000,\"right\":\"CALL\"},\n \"data\": [\n {\"volume\":202,\"high\":1.78,\"low\":1.51,\"count\":29,\"close\":1.51,\"open\":1.78,\"timestamp\":\"2025-08-20T15:25:31.03\"}\n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id012 example: '{"volume":202,"symbol":"AAPL","high":1.78,"low":1.51,"strike":275.000,"count":29,"expiration":"2026-01-16","right":"CALL","close":1.51,"open":1.78,"timestamp":"2025-08-20T15:25:31.03"}' python/pandas: schema: *id012 example: 'timestamp symbol expiration strike right open high low close volume count 0 2026-04-27 11:57:06.802000-04:00 AAPL 2026-12-18 270.0 CALL 24.0 25.75 24.0 24.8 114 22 ' python/polars: schema: *id012 example: 'shape: (1, 11) ┌────────────────────────────────┬────────┬────────────┬────────┬───────┬──────┬───────┬──────┬───────┬────────┬───────┐ │ timestamp ┆ symbol ┆ expiration ┆ strike ┆ right ┆ open ┆ high ┆ low ┆ close ┆ volume ┆ count │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ datetime[ms, America/New_York] ┆ str ┆ str ┆ f64 ┆ str ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ i64 ┆ i64 │ ╞════════════════════════════════╪════════╪════════════╪════════╪═══════╪══════╪═══════╪══════╪═══════╪════════╪═══════╡ │ 2026-04-27 11:57:06.802 EDT ┆ AAPL ┆ 2026-12-18 ┆ 270.0 ┆ CALL ┆ 24.0 ┆ 25.75 ┆ 24.0 ┆ 24.8 ┆ 114 ┆ 22 │ └────────────────────────────────┴────────┴────────────┴────────┴───────┴──────┴───────┴──────┴───────┴────────┴───────┘ ' /option/snapshot/trade: x-skip-concurrent-limit: true x-min-subscription: standard get: summary: Trade operationId: option_snapshot_trade x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''pandas'') df = client.option_snapshot_trade(symbol=''AAPL'', expiration=date(2027, 1, 15)) ' - lang: Python label: polars source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''polars'') df = client.option_snapshot_trade(symbol=''AAPL'', expiration=date(2027, 1, 15)) ' tags: - Option description: '- Retrieve the real-time last trade of an option contract. - You might need to change the default expiration date to a different date if it is past the current date. - This endpoint will return no data if the market was closed for the day. Theta Data resets the snapshot cache at midnight ET every night. ' x-sample-urls: - url: http://127.0.0.1:25503/v3/option/snapshot/trade?symbol=AAPL&expiration=2027-01-15&right=call&strike=270.000 description: Returns last trade for an option contract - url: http://127.0.0.1:25503/v3/option/snapshot/trade?symbol=AAPL&expiration=2027-01-15 description: Returns last trade for all option contracts with an expiration of 2027-01-15 - url: http://127.0.0.1:25503/v3/option/snapshot/trade?symbol=AAPL&expiration=2027-01-15&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration_no_star' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/min_time' - $ref: '#/components/parameters/format' responses: '200': description: Returns last NBBO quote for an option contract content: text/csv: schema: type: array items: &id013 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. sequence: type: integer description: The exchange [sequence](/Articles/Data-And-Requests/Making-Requests.html#trade-sequences). ext_condition1: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition2: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition3: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition4: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. condition: type: integer description: The trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). size: type: integer description: The amount of contracts / shares traded. exchange: type: integer description: The [exchange](/Articles/Errors-Exchanges-Conditions/Exchanges.html) the trade was executed. price: type: number description: The trade price. example: "symbol,expiration,strike,right,timestamp,sequence,ext_condition1,ext_condition2,ext_condition3,ext_condition4,condition,size,exchange,price\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:00.471,18902138,255,255,255,255,130,2,22,3.90\r\n" application/json: schema: &id014 type: array items: *id013 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":220.000,\"right\":\"CALL\",\"expiration\":\"2024-11-08\"},\n \"data\": [\n {\"sequence\":18902138,\"condition\":130,\"size\":2,\"price\":3.90,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":22,\"ext_condition3\":255,\"timestamp\":\"2024-11-04T09:30:00.471\"}\n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id014 example: '{"symbol":"AAPL","strike":220.000,"right":"CALL","sequence":18902138,"condition":130,"size":2,"price":3.90,"ext_condition2":255,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":22,"ext_condition3":255,"timestamp":"2024-11-04T09:30:00.471"}' python/pandas: schema: *id014 example: 'timestamp symbol expiration strike right sequence size condition price 0 2026-04-27 11:57:06.802000-04:00 AAPL 2026-12-18 270.0 CALL 725146037 3 18 24.8 ' python/polars: schema: *id014 example: 'shape: (1, 9) ┌────────────────────────────────┬────────┬────────────┬────────┬───────┬───────────┬──────┬───────────┬───────┐ │ timestamp ┆ symbol ┆ expiration ┆ strike ┆ right ┆ sequence ┆ size ┆ condition ┆ price │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ datetime[ms, America/New_York] ┆ str ┆ str ┆ f64 ┆ str ┆ i64 ┆ i64 ┆ i64 ┆ f64 │ ╞════════════════════════════════╪════════╪════════════╪════════╪═══════╪═══════════╪══════╪═══════════╪═══════╡ │ 2026-04-27 11:57:06.802 EDT ┆ AAPL ┆ 2026-12-18 ┆ 270.0 ┆ CALL ┆ 725146037 ┆ 3 ┆ 18 ┆ 24.8 │ └────────────────────────────────┴────────┴────────────┴────────┴───────┴───────────┴──────┴───────────┴───────┘ ' /option/snapshot/quote: x-skip-concurrent-limit: true x-min-subscription: value get: summary: Quote operationId: option_snapshot_quote x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''pandas'') df = client.option_snapshot_quote(symbol=''AAPL'', expiration=date(2027, 1, 15)) ' - lang: Python label: polars source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''polars'') df = client.option_snapshot_quote(symbol=''AAPL'', expiration=date(2027, 1, 15)) ' tags: - Option description: ' - Retrieve a real-time last NBBO quote of an option contract. - You might need to change the default expiration date to a different date if it is past the current date. - This endpoint will return no data if the market was closed for the day. Theta Data resets the snapshot cache at midnight ET every night. ' x-sample-urls: - url: http://127.0.0.1:25503/v3/option/snapshot/quote?symbol=AAPL&expiration=20270115&right=call&strike=270.000 description: Returns last NBBO quote for an option contract - url: http://127.0.0.1:25503/v3/option/snapshot/quote?symbol=AAPL&expiration=* description: Returns last NBBO quote for all option contracts - url: http://127.0.0.1:25503/v3/option/snapshot/quote?symbol=AAPL&expiration=*&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/max_dte' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/min_time' - $ref: '#/components/parameters/format' responses: '200': description: Returns last NBBO quote for an option contract content: text/csv: schema: type: array items: &id015 type: object properties: timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. bid_size: type: integer description: The last NBBO bid size. bid_exchange: type: integer description: The last NBBO bid [exchange](/Articles/Errors-Exchanges-Conditions/Exchanges.html). bid: type: number description: The last NBBO bid price. bid_condition: type: integer description: The last NBBO bid [condition](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). ask_size: type: integer description: The last NBBO ask size. ask_exchange: type: integer description: The last NBBO ask [exchange](/Articles/Errors-Exchanges-Conditions/Exchanges.html). ask: type: number description: The last NBBO ask price. ask_condition: type: integer description: The last NBBO ask [condition](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). example: "timestamp,symbol,expiration,strike,right,bid_size,bid_exchange,bid,bid_condition,ask_size,ask_exchange,ask,ask_condition\r\n2025-08-20T15:59:59.805,AAPL,2026-01-16,275.000,CALL,5,6,1.47,50,25,6,1.50,50\r\n" application/json: schema: &id016 type: array items: *id015 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":275.000,\"right\":\"CALL\",\"expiration\":\"2026-01-16\"},\n \"data\": [\n {\"ask_size\":25,\"ask_condition\":50,\"bid_size\":5,\"ask_exchange\":6,\"bid_exchange\":6,\"ask\":1.50,\"bid\":1.47,\"bid_condition\":50,\"timestamp\":\"2025-08-20T15:59:59.805\"}\n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id016 example: '{"symbol":"AAPL","ask_size":25,"ask_condition":50,"strike":275.000,"right":"CALL","bid_size":5,"ask_exchange":6,"bid_exchange":6,"ask":1.50,"expiration":"2026-01-16","bid":1.47,"bid_condition":50,"timestamp":"2025-08-20T15:59:59.805"}' python/pandas: schema: *id016 example: 'timestamp symbol expiration strike right bid_size bid_exchange bid bid_condition ask_size ask_exchange ask ask_condition 0 2026-04-27 12:13:34.064000-04:00 AAPL 2026-12-18 270.0 CALL 59 5 24.75 50 200 4 25.0 50 ' python/polars: schema: *id016 example: 'shape: (1, 13) ┌────────────────────────────────┬────────┬────────────┬────────┬───────┬──────────┬──────────────┬───────┬───────────────┬──────────┬──────────────┬──────┬───────────────┐ │ timestamp ┆ symbol ┆ expiration ┆ strike ┆ right ┆ bid_size ┆ bid_exchange ┆ bid ┆ bid_condition ┆ ask_size ┆ ask_exchange ┆ ask ┆ ask_condition │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ datetime[ms, America/New_York] ┆ str ┆ str ┆ f64 ┆ str ┆ i64 ┆ i64 ┆ f64 ┆ i64 ┆ i64 ┆ i64 ┆ f64 ┆ i64 │ ╞════════════════════════════════╪════════╪════════════╪════════╪═══════╪══════════╪══════════════╪═══════╪═══════════════╪══════════╪══════════════╪══════╪═══════════════╡ │ 2026-04-27 12:13:34.064 EDT ┆ AAPL ┆ 2026-12-18 ┆ 270.0 ┆ CALL ┆ 59 ┆ 5 ┆ 24.75 ┆ 50 ┆ 200 ┆ 4 ┆ 25.0 ┆ 50 │ └────────────────────────────────┴────────┴────────────┴────────┴───────┴──────────┴──────────────┴───────┴───────────────┴──────────┴──────────────┴──────┴───────────────┘ ' /option/snapshot/open_interest: x-skip-concurrent-limit: true x-min-subscription: value get: summary: Open Interest operationId: option_snapshot_open_interest x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''pandas'') df = client.option_snapshot_open_interest(symbol=''AAPL'', expiration=date(2027, 1, 15)) ' - lang: Python label: polars source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''polars'') df = client.option_snapshot_open_interest(symbol=''AAPL'', expiration=date(2027, 1, 15)) ' tags: - Option description: "- Retrieve the last open interest message of an option contract.\n- Open interest is reported around 06:30 ET every morning by OPRA and reflects the open interest at the of the previous trading day. \n- You might need to change the default expiration date to a different date if it is past the current date.\n- This endpoint will return no data if the market was closed for the day. Theta Data resets the snapshot cache at midnight ET every night.\n" x-sample-urls: - url: http://127.0.0.1:25503/v3/option/snapshot/open_interest?symbol=AAPL&expiration=20270115&right=call&strike=270.00 description: Returns open interest for an option contract - url: http://127.0.0.1:25503/v3/option/snapshot/open_interest?symbol=AAPL&expiration=* description: Returns open interest for all option contracts - url: http://127.0.0.1:25503/v3/option/snapshot/open_interest?symbol=AAPL&expiration=*&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/max_dte' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/min_time' - $ref: '#/components/parameters/format' responses: '200': description: Returns open interest for an option contract content: text/csv: schema: type: array items: &id017 type: object properties: timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. open_interest: type: integer description: The total amount of outstanding contracts. example: "timestamp,symbol,expiration,strike,right,open_interest\r\n2025-08-20T06:30:13,AAPL,2026-01-16,275.000,CALL,8066\r\n" application/json: schema: &id018 type: array items: *id017 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":275.000,\"expiration\":\"2026-01-16\",\"right\":\"CALL\"},\n \"data\": [\n {\"open_interest\":8066,\"timestamp\":\"2025-08-20T06:30:13\"} \n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id018 example: '{"symbol":"AAPL","strike":275.000,"open_interest":8066,"expiration":"2026-01-16","right":"CALL","timestamp":"2025-08-20T06:30:13"}' python/pandas: schema: *id018 example: 'timestamp symbol expiration strike right open_interest 0 2026-04-27 06:30:00-04:00 AAPL 2026-12-18 270.0 CALL 6725 ' python/polars: schema: *id018 example: 'shape: (1, 6) ┌────────────────────────────────┬────────┬────────────┬────────┬───────┬───────────────┐ │ timestamp ┆ symbol ┆ expiration ┆ strike ┆ right ┆ open_interest │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ datetime[ms, America/New_York] ┆ str ┆ str ┆ f64 ┆ str ┆ i64 │ ╞════════════════════════════════╪════════╪════════════╪════════╪═══════╪═══════════════╡ │ 2026-04-27 06:30:00 EDT ┆ AAPL ┆ 2026-12-18 ┆ 270.0 ┆ CALL ┆ 6725 │ └────────────────────────────────┴────────┴────────────┴────────┴───────┴───────────────┘ ' /option/snapshot/market_value: x-skip-concurrent-limit: true x-min-subscription: standard get: summary: Market Value operationId: option_snapshot_market_value x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient client = ThetaClient(dataframe_type=''pandas'') df = client.option_snapshot_market_value(symbol=''AAPL'', expiration=''*'') ' - lang: Python label: polars source: 'from thetadata import ThetaClient client = ThetaClient(dataframe_type=''polars'') df = client.option_snapshot_market_value(symbol=''AAPL'', expiration=''*'') ' tags: - Option description: '* Returns a real-time market value derived from the last NBBO quote of an option contract. ' x-sample-urls: - url: http://127.0.0.1:25503/v3/option/snapshot/market_value?symbol=AAPL&expiration=* description: Returns last market value for all option contracts for a given symbol - url: http://127.0.0.1:25503/v3/option/snapshot/market_value?symbol=AAPL&expiration=*&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/max_dte' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/min_time' - $ref: '#/components/parameters/format' responses: '200': description: Returns last market value for an option contract content: text/csv: schema: type: array items: &id019 type: object properties: timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. market_bid: type: number description: The last market bid market_ask: type: number description: The last market ask market_price: type: number description: The last market value price example: "timestamp,symbol,expiration,strike,right,market_bid,market_ask,market_price\r\n2025-12-16T11:56:30.811,AAPL,2026-01-16,275.000,CALL,6.01,6.09,6.05" application/json: schema: &id020 type: array items: *id019 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":275.000,\"right\":\"CALL\",\"expiration\":\"2026-01-16\"},\n \"data\": [\n {\"market_bid\":6.01,\"market_ask\":6.09,\"market_price\":6.05}\n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id020 example: '{"symbol":"AAPL","strike":275.000,"right":"CALL","expiration":"2026-01-16","market_bid":6.01,"market_ask":6.09,"market_price":6.05}' python/pandas: schema: *id020 example: 'timestamp symbol expiration strike right market_bid market_ask market_price 0 2026-04-27 12:13:34.064000-04:00 AAPL 2026-12-18 270.0 CALL 24.74 25.01 24.87 ' python/polars: schema: *id020 example: 'shape: (1, 8) ┌────────────────────────────────┬────────┬────────────┬────────┬───────┬────────────┬────────────┬──────────────┐ │ timestamp ┆ symbol ┆ expiration ┆ strike ┆ right ┆ market_bid ┆ market_ask ┆ market_price │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ datetime[ms, America/New_York] ┆ str ┆ str ┆ f64 ┆ str ┆ f64 ┆ f64 ┆ f64 │ ╞════════════════════════════════╪════════╪════════════╪════════╪═══════╪════════════╪════════════╪══════════════╡ │ 2026-04-27 12:13:34.064 EDT ┆ AAPL ┆ 2026-12-18 ┆ 270.0 ┆ CALL ┆ 24.74 ┆ 25.01 ┆ 24.87 │ └────────────────────────────────┴────────┴────────────┴────────┴───────┴────────────┴────────────┴──────────────┘ ' /option/snapshot/greeks/implied_volatility: x-skip-concurrent-limit: true x-min-subscription: standard get: summary: Implied Volatility operationId: option_snapshot_greeks_implied_volatility x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''pandas'') df = client.option_snapshot_greeks_implied_volatility(symbol=''AAPL'', expiration=date(2027, 1, 15)) ' - lang: Python label: polars source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''polars'') df = client.option_snapshot_greeks_implied_volatility(symbol=''AAPL'', expiration=date(2027, 1, 15)) ' tags: - Option description: "Returns implied volatilies calculated using the national best bid, mid, and ask price\nof the option respectively. The underlying price represents whatever the last underlying price was at the\n``underlying_timestamp`` field. You can read more about how Theta Data calculates greeks \n[here](/Articles/Data-And-Requests/Option-Greeks.html).\n" x-sample-urls: - url: http://127.0.0.1:25503/v3/option/snapshot/greeks/implied_volatility?symbol=AAPL&expiration=20270115&strike=270.000&right=call description: Returns implied volatility for an option contract - url: http://127.0.0.1:25503/v3/option/snapshot/greeks/implied_volatility?symbol=AAPL&expiration=* description: Returns implied volatility for all option contracts - url: http://127.0.0.1:25503/v3/option/snapshot/greeks/implied_volatility?symbol=AAPL&expiration=*&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/annual_dividend' - $ref: '#/components/parameters/rate_type' - $ref: '#/components/parameters/rate_value' - $ref: '#/components/parameters/stock_price' - $ref: '#/components/parameters/greeks_version' - $ref: '#/components/parameters/max_dte' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/min_time' - $ref: '#/components/parameters/use_market_value' - $ref: '#/components/parameters/format' responses: '200': description: Returns implied volatility for an option contract content: text/csv: schema: type: array items: &id021 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid: type: number description: The last NBBO bid price. ask: type: number description: The last NBBO ask price. implied_vol: type: number description: The implied volatiltiy calculated using the trade price. iv_error: type: string description: '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.' underlying_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,bid,ask,implied_vol,iv_error,underlying_timestamp,underlying_price\r\nAAPL,2026-01-16,275.000,CALL,2025-08-20T15:59:59.805,1.47,1.50,0.2142,-0.0003,2025-08-20T16:36:52.257,225.74\r\n" application/json: schema: &id022 type: array items: *id021 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"expiration\":\"2026-01-16\",\"strike\":275.000,\"right\":\"CALL\"},\n \"data\": [\n {\"underlying_price\":225.74,\"ask\":1.50,\"implied_vol\":0.2142,\"bid\":1.47,\"underlying_timestamp\":\"2025-08-20T16:36:52.257\",\"iv_error\":-0.0003,\"timestamp\":\"2025-08-20T15:59:59.805\"}\n ]\n }\n ]\n} \n" application/x-ndjson: schema: *id022 example: '{"symbol":"AAPL","underlying_price":225.74,"strike":275.000,"ask":1.50,"expiration":"2026-01-16","right":"CALL","implied_vol":0.2142,"bid":1.47,"underlying_timestamp":"2025-08-20T16:36:52.257","iv_error":-0.0003,"timestamp":"2025-08-20T15:59:59.805"}' python/pandas: schema: *id022 example: 'symbol expiration strike right timestamp bid ask implied_vol iv_error underlying_timestamp underlying_price 0 AAPL 2026-12-18 270.0 CALL 2026-04-27 12:13:34.064000-04:00 24.75 25.0 0.2744 0.0 2026-04-27 12:13:34.811000-04:00 266.87 ' python/polars: schema: *id022 example: 'shape: (1, 11) ┌────────┬────────────┬────────┬───────┬────────────────────────────────┬───────┬──────┬─────────────┬──────────┬────────────────────────────────┬──────────────────┐ │ symbol ┆ expiration ┆ strike ┆ right ┆ timestamp ┆ bid ┆ ask ┆ implied_vol ┆ iv_error ┆ underlying_timestamp ┆ underlying_price │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str ┆ datetime[ms, America/New_York] ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ datetime[ms, America/New_York] ┆ f64 │ ╞════════╪════════════╪════════╪═══════╪════════════════════════════════╪═══════╪══════╪═════════════╪══════════╪════════════════════════════════╪══════════════════╡ │ AAPL ┆ 2026-12-18 ┆ 270.0 ┆ CALL ┆ 2026-04-27 12:13:34.064 EDT ┆ 24.75 ┆ 25.0 ┆ 0.2744 ┆ 0.0 ┆ 2026-04-27 12:13:35.003 EDT ┆ 266.87 │ └────────┴────────────┴────────┴───────┴────────────────────────────────┴───────┴──────┴─────────────┴──────────┴────────────────────────────────┴──────────────────┘ ' /option/snapshot/greeks/all: x-skip-concurrent-limit: true x-min-subscription: professional get: summary: All Greeks operationId: option_snapshot_greeks_all x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''pandas'') df = client.option_snapshot_greeks_all(symbol=''AAPL'', expiration=date(2026, 5, 15)) ' - lang: Python label: polars source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''polars'') df = client.option_snapshot_greeks_all(symbol=''AAPL'', expiration=date(2026, 5, 15)) ' tags: - Option description: '- Retrieve a real-time last greeks calculation for all option contracts that lie on a provided expiration. - You might need to change the default expiration date to a different date if it is past the current date. Some quotes are omitted in the example to reduce the space of the sample output. - Make `expiration` * if you want to get the snapshot for every expiration chain for the underlying. > This endpoint will return no data if the market was closed for the day. Theta Data resets the snapshot cache at midnight ET every night. ' x-sample-urls: - url: http://127.0.0.1:25503/v3/option/snapshot/greeks/all?symbol=AAPL&expiration=2026-05-15&strike=170.00&right=call description: Returns all greeks for an option contract - url: http://127.0.0.1:25503/v3/option/snapshot/greeks/all?symbol=AAPL&expiration=* description: Returns all greeks for all option contracts - url: http://127.0.0.1:25503/v3/option/snapshot/greeks/all?symbol=AAPL&expiration=*&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/annual_dividend' - $ref: '#/components/parameters/rate_type' - $ref: '#/components/parameters/rate_value' - $ref: '#/components/parameters/stock_price' - $ref: '#/components/parameters/greeks_version' - $ref: '#/components/parameters/max_dte' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/min_time' - $ref: '#/components/parameters/use_market_value' - $ref: '#/components/parameters/format' responses: '200': description: Returns all greeks for an option contract content: text/csv: schema: type: array items: &id023 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid: type: number description: The last NBBO bid price. ask: type: number description: The last NBBO ask price. delta: type: number description: The delta. theta: type: string description: The Theta. vega: type: number description: The vega. rho: type: number description: The rho. epsilon: type: string description: The epsilon. lambda: type: number description: The lambda. gamma: type: number description: The gamma. vanna: type: string description: The vanna. charm: type: number description: The charm. vomma: type: number description: The vomma. veta: type: number description: The veta. vera: type: number description: The vera. speed: type: number description: The speed. zomma: type: number description: The zomma. color: type: string description: The color. ultima: type: string description: The ultima. d1: type: number description: The d1. d2: type: number description: The d2. dual_delta: type: string description: The dual delta. dual_gamma: type: number description: The dual gamma. implied_vol: type: number description: The implied volatiltiy calculated using the trade price. iv_error: type: number description: '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.' underlying_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,bid,ask,delta,theta,vega,rho,epsilon,lambda,gamma,vanna,charm,vomma,veta,vera,speed,zomma,color,ultima,d1,d2,dual_delta,dual_gamma,implied_vol,iv_error,underlying_timestamp,underlying_price\r\nAAPL,2026-05-15,170.000,CALL,2025-08-20T15:59:59.677,63.65,64.25,0.9085,-0.0352,31.7235,103.2513,-150.0314,3.2071,0.0027,-0.5710,0.0925,146.8562,22.9525,0.0000,0.0000,0.0000,-0.0816,-100.0000,1.3319,1.0689,-0.8302,0.0003,0.3075,0.0000,2025-08-20T16:36:52.257,225.74\r\n" application/json: schema: &id024 type: array items: *id023 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"expiration\":\"2026-05-15\",\"strike\":170.000,\"right\":\"CALL\"},\n \"data\": [\n {\"dual_delta\":-0.8302,\"color\":-0.0816,\"zomma\":0.0000,\"delta\":0.9085,\"implied_vol\":0.3075,\"theta\":-0.0352,\"d1\":1.3319,\"speed\":0.0000,\"d2\":1.0689,\"epsilon\":-150.0314,\"lambda\":3.2071,\"vomma\":146.8562,\"underlying_timestamp\":\"2025-08-20T16:36:52.257\",\"timestamp\":\"2025-08-20T15:59:59.677\",\"underlying_price\":225.74,\"vera\":0.0000,\"veta\":22.9525,\"iv_error\":0.0000,\"ultima\":-100.0000,\"charm\":0.0925,\"ask\":64.25,\"rho\":103.2513,\"vanna\":-0.5710,\"dual_gamma\":0.0003,\"bid\":63.65,\"vega\":31.7235,\"gamma\":0.0027}\n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id024 example: '{"symbol":"AAPL","dual_delta":-0.8302,"color":-0.0816,"zomma":0.0000,"delta":0.9085,"implied_vol":0.3075,"theta":-0.0352,"d1":1.3319,"speed":0.0000,"d2":1.0689,"epsilon":-150.0314,"lambda":3.2071,"vomma":146.8562,"underlying_timestamp":"2025-08-20T16:36:52.257","timestamp":"2025-08-20T15:59:59.677","underlying_price":225.74,"strike":170.000,"vera":0.0000,"right":"CALL","veta":22.9525,"iv_error":0.0000,"ultima":-100.0000,"charm":0.0925,"ask":64.25,"rho":103.2513,"expiration":"2026-05-15","vanna":-0.5710,"dual_gamma":0.0003,"bid":63.65,"vega":31.7235,"gamma":0.0027}' python/pandas: schema: *id024 example: 'symbol expiration strike right timestamp bid ask delta theta vega rho epsilon lambda gamma vanna charm vomma veta vera speed zomma color ultima d1 d2 dual_delta dual_gamma implied_vol iv_error underlying_timestamp underlying_price 0 AAPL 2026-12-18 270.0 CALL 2026-04-27 12:13:34.064000-04:00 24.75 25.0 0.5651 -0.0618 84.2841 81.1003 -97.1122 6.0649 0.0066 0.0803 -0.0825 -2.825 62.5528 -40.4563 0.0 -0.0246 -0.0054 -23.2858 0.1641 -0.056 -0.4665 0.0065 0.2744 0.0 2026-04-27 12:13:35.003000-04:00 266.87 ' python/polars: schema: *id024 example: 'shape: (1, 31) ┌────────┬────────────┬────────┬───────┬────────────────────────────────┬───────┬──────┬────────┬─────────┬─────────┬─────────┬──────────┬────────┬────────┬────────┬─────────┬────────┬─────────┬──────────┬───────┬─────────┬─────────┬──────────┬────────┬────────┬────────────┬────────────┬─────────────┬──────────┬────────────────────────────────┬──────────────────┐ │ symbol ┆ expiration ┆ strike ┆ right ┆ timestamp ┆ bid ┆ ask ┆ delta ┆ theta ┆ vega ┆ rho ┆ epsilon ┆ lambda ┆ gamma ┆ vanna ┆ charm ┆ vomma ┆ veta ┆ vera ┆ speed ┆ zomma ┆ color ┆ ultima ┆ d1 ┆ d2 ┆ dual_delta ┆ dual_gamma ┆ implied_vol ┆ iv_error ┆ underlying_timestamp ┆ underlying_price │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str ┆ datetime[ms, America/New_York] ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ datetime[ms, America/New_York] ┆ f64 │ ╞════════╪════════════╪════════╪═══════╪════════════════════════════════╪═══════╪══════╪════════╪═════════╪═════════╪═════════╪══════════╪════════╪════════╪════════╪═════════╪════════╪═════════╪══════════╪═══════╪═════════╪═════════╪══════════╪════════╪════════╪════════════╪════════════╪═════════════╪══════════╪════════════════════════════════╪══════════════════╡ │ AAPL ┆ 2026-12-18 ┆ 270.0 ┆ CALL ┆ 2026-04-27 12:13:34.064 EDT ┆ 24.75 ┆ 25.0 ┆ 0.5651 ┆ -0.0618 ┆ 84.2841 ┆ 81.1003 ┆ -97.1122 ┆ 6.0649 ┆ 0.0066 ┆ 0.0803 ┆ -0.0825 ┆ -2.825 ┆ 62.5528 ┆ -40.4563 ┆ 0.0 ┆ -0.0246 ┆ -0.0054 ┆ -23.2858 ┆ 0.1641 ┆ -0.056 ┆ -0.4665 ┆ 0.0065 ┆ 0.2744 ┆ 0.0 ┆ 2026-04-27 12:13:35.003 EDT ┆ 266.87 │ └────────┴────────────┴────────┴───────┴────────────────────────────────┴───────┴──────┴────────┴─────────┴─────────┴─────────┴──────────┴────────┴────────┴────────┴─────────┴────────┴─────────┴──────────┴───────┴─────────┴─────────┴──────────┴────────┴────────┴────────────┴────────────┴─────────────┴──────────┴────────────────────────────────┴──────────────────┘ ' /option/snapshot/greeks/first_order: x-skip-concurrent-limit: true x-min-subscription: standard get: summary: First Order Greeks operationId: option_snapshot_greeks_first_order x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''pandas'') df = client.option_snapshot_greeks_first_order(symbol=''AAPL'', expiration=date(2027, 1, 15)) ' - lang: Python label: polars source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''polars'') df = client.option_snapshot_greeks_first_order(symbol=''AAPL'', expiration=date(2027, 1, 15)) ' tags: - Option description: '- Retrieve a real-time last greeks calculation for all option contracts that lie on a provided expiration. - You might need to change the default expiration date to a different date if it is past the current date. Some quotes are omitted in the example to reduce the space of the sample output. - Make `expiration` * if you want to get the snapshot for every expiration chain for the underlying. > This endpoint will return no data if the market was closed for the day. Theta Data resets the snapshot cache at midnight ET every night. ' x-sample-urls: - url: http://127.0.0.1:25503/v3/option/snapshot/greeks/first_order?symbol=AAPL&expiration=20270115&strike=270.000&right=call description: Returns first order greeks for an option contract - url: http://127.0.0.1:25503/v3/option/snapshot/greeks/first_order?symbol=AAPL&expiration=* description: Returns first order greeks for all option contracts - url: http://127.0.0.1:25503/v3/option/snapshot/greeks/first_order?symbol=AAPL&expiration=*&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/annual_dividend' - $ref: '#/components/parameters/rate_type' - $ref: '#/components/parameters/rate_value' - $ref: '#/components/parameters/stock_price' - $ref: '#/components/parameters/greeks_version' - $ref: '#/components/parameters/max_dte' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/min_time' - $ref: '#/components/parameters/use_market_value' - $ref: '#/components/parameters/format' responses: '200': description: Returns first order greeks for an option contract content: text/csv: schema: type: array items: &id025 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid: type: number description: The last NBBO bid price. ask: type: number description: The last NBBO ask price. delta: type: number description: The delta. theta: type: string description: The Theta. vega: type: number description: The vega. rho: type: number description: The rho. epsilon: type: string description: The epsilon. lambda: type: number description: The lambda. implied_vol: type: number description: The implied volatiltiy calculated using the trade price. iv_error: type: string description: '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.' underlying_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,bid,ask,delta,theta,vega,rho,epsilon,lambda,implied_vol,iv_error,underlying_timestamp,underlying_price\r\nAAPL,2026-01-16,275.000,CALL,2025-08-20T15:59:59.805,1.47,1.50,0.1060,-0.0217,26.3226,9.1050,-9.7049,16.1782,0.2142,-0.0003,2025-08-20T16:37:06.988,225.74\r\n" application/json: schema: &id026 type: array items: *id025 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":275.000,\"right\":\"CALL\",\"expiration\":\"2026-01-16\"},\n \"data\": [\n {\"underlying_price\":225.74,\"delta\":0.1060,\"implied_vol\":0.2142,\"theta\":-0.0217,\"iv_error\":-0.0003,\"epsilon\":-9.7049,\"lambda\":16.1782,\"ask\":1.50,\"rho\":9.1050,\"bid\":1.47,\"underlying_timestamp\":\"2025-08-20T16:37:06.988\",\"vega\":26.3226,\"timestamp\":\"2025-08-20T15:59:59.805\"}\n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id026 example: '{"symbol":"AAPL","underlying_price":225.74,"strike":275.000,"delta":0.1060,"right":"CALL","implied_vol":0.2142,"theta":-0.0217,"iv_error":-0.0003,"epsilon":-9.7049,"lambda":16.1782,"ask":1.50,"rho":9.1050,"expiration":"2026-01-16","bid":1.47,"underlying_timestamp":"2025-08-20T16:37:06.988","vega":26.3226,"timestamp":"2025-08-20T15:59:59.805"}' python/pandas: schema: *id026 example: 'symbol expiration strike right timestamp bid ask delta theta vega rho epsilon lambda implied_vol iv_error underlying_timestamp underlying_price 0 AAPL 2026-12-18 270.0 CALL 2026-04-27 12:13:34.064000-04:00 24.75 25.0 0.5651 -0.0618 84.2841 81.1003 -97.1122 6.0649 0.2744 0.0 2026-04-27 12:13:35.201000-04:00 266.87 ' python/polars: schema: *id026 example: 'shape: (1, 17) ┌────────┬────────────┬────────┬───────┬────────────────────────────────┬───────┬──────┬────────┬─────────┬─────────┬─────────┬──────────┬────────┬─────────────┬──────────┬────────────────────────────────┬──────────────────┐ │ symbol ┆ expiration ┆ strike ┆ right ┆ timestamp ┆ bid ┆ ask ┆ delta ┆ theta ┆ vega ┆ rho ┆ epsilon ┆ lambda ┆ implied_vol ┆ iv_error ┆ underlying_timestamp ┆ underlying_price │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str ┆ datetime[ms, America/New_York] ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ datetime[ms, America/New_York] ┆ f64 │ ╞════════╪════════════╪════════╪═══════╪════════════════════════════════╪═══════╪══════╪════════╪═════════╪═════════╪═════════╪══════════╪════════╪═════════════╪══════════╪════════════════════════════════╪══════════════════╡ │ AAPL ┆ 2026-12-18 ┆ 270.0 ┆ CALL ┆ 2026-04-27 12:13:34.064 EDT ┆ 24.75 ┆ 25.0 ┆ 0.5651 ┆ -0.0618 ┆ 84.2841 ┆ 81.1003 ┆ -97.1122 ┆ 6.0649 ┆ 0.2744 ┆ 0.0 ┆ 2026-04-27 12:13:35.201 EDT ┆ 266.87 │ └────────┴────────────┴────────┴───────┴────────────────────────────────┴───────┴──────┴────────┴─────────┴─────────┴─────────┴──────────┴────────┴─────────────┴──────────┴────────────────────────────────┴──────────────────┘ ' /option/snapshot/greeks/second_order: x-skip-concurrent-limit: true x-min-subscription: professional get: summary: Second Order Greeks operationId: option_snapshot_greeks_second_order x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''pandas'') df = client.option_snapshot_greeks_second_order(symbol=''AAPL'', expiration=date(2027, 1, 15)) ' - lang: Python label: polars source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''polars'') df = client.option_snapshot_greeks_second_order(symbol=''AAPL'', expiration=date(2027, 1, 15)) ' tags: - Option description: '- Retrieve a real-time last second order greeks calculation for all option contracts that lie on a provided expiration. - You might need to change the default expiration date to a different date if it is past the current date. Some quotes are omitted in the example to reduce the space of the sample output. - Make `expiration` * if you want to get the snapshot for every expiration chain for the underlying. > This endpoint will return no data if the market was closed for the day. Theta Data resets the snapshot cache at midnight ET every night. ' x-sample-urls: - url: http://127.0.0.1:25503/v3/option/snapshot/greeks/second_order?symbol=AAPL&expiration=20270115&strike=270.00 description: Returns second order greeks for an option contract - url: http://127.0.0.1:25503/v3/option/snapshot/greeks/second_order?symbol=AAPL&expiration=* description: Returns second order greeks for all option contracts - url: http://127.0.0.1:25503/v3/option/snapshot/greeks/second_order?symbol=AAPL&expiration=*&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/annual_dividend' - $ref: '#/components/parameters/rate_type' - $ref: '#/components/parameters/rate_value' - $ref: '#/components/parameters/stock_price' - $ref: '#/components/parameters/greeks_version' - $ref: '#/components/parameters/max_dte' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/min_time' - $ref: '#/components/parameters/use_market_value' - $ref: '#/components/parameters/format' responses: '200': description: Returns second order greeks for an option contract content: text/csv: schema: type: array items: &id027 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid: type: number description: The last NBBO bid price. ask: type: number description: The last NBBO ask price. gamma: type: number description: The gamma. vanna: type: number description: The vanna. charm: type: string description: The charm. vomma: type: number description: The vomma. veta: type: number description: The veta. implied_vol: type: number description: The implied volatiltiy calculated using the trade price. iv_error: type: string description: '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.' underlying_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,bid,ask,gamma,vanna,charm,vomma,veta,implied_vol,iv_error,underlying_timestamp,underlying_price\r\nAAPL,2026-01-16,275.000,CALL,2025-08-20T15:59:59.805,1.47,1.50,0.0059,1.1833,-0.3716,212.2670,18.8522,0.2142,-0.0003,2025-08-20T16:37:06.988,225.74\r\nAAPL,2026-01-16,275.000,PUT,2025-08-20T15:59:59.839,48.75,49.70,0.0064,0.9320,-0.4210,108.3415,18.2234,0.3106,0.0000,2025-08-20T16:37:06.988,225.74\r\n" application/json: schema: &id028 type: array items: *id027 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":275.000,\"right\":\"CALL\",\"expiration\":\"2026-01-16\"},\n \"data\": [\n {\"underlying_price\":225.74,\"veta\":18.8522,\"implied_vol\":0.2142,\"iv_error\":-0.0003,\"charm\":-0.3716,\"ask\":1.50,\"vanna\":1.1833,\"vomma\":212.2670,\"bid\":1.47,\"underlying_timestamp\":\"2025-08-20T16:37:06.988\",\"gamma\":0.0059,\"timestamp\":\"2025-08-20T15:59:59.805\"}\n ]\n },\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":275.000,\"right\":\"PUT\",\"expiration\":\"2026-01-16\"},\n \"data\": [\n {\"underlying_price\":225.74,\"veta\":18.2234,\"implied_vol\":0.3106,\"iv_error\":0.0000,\"charm\":-0.4210,\"ask\":49.70,\"vanna\":0.9320,\"vomma\":108.3415,\"bid\":48.75,\"underlying_timestamp\":\"2025-08-20T16:37:06.988\",\"gamma\":0.0064,\"timestamp\":\"2025-08-20T15:59:59.839\"} \n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id028 example: '{"symbol":"AAPL","underlying_price":225.74,"strike":275.000,"right":"CALL","veta":18.8522,"implied_vol":0.2142,"iv_error":-0.0003,"charm":-0.3716,"ask":1.50,"expiration":"2026-01-16","vanna":1.1833,"vomma":212.2670,"bid":1.47,"underlying_timestamp":"2025-08-20T16:37:06.988","gamma":0.0059,"timestamp":"2025-08-20T15:59:59.805"} {"symbol":"AAPL","underlying_price":225.74,"strike":275.000,"right":"PUT","veta":18.2234,"implied_vol":0.3106,"iv_error":0.0000,"charm":-0.4210,"ask":49.70,"expiration":"2026-01-16","vanna":0.9320,"vomma":108.3415,"bid":48.75,"underlying_timestamp":"2025-08-20T16:37:06.988","gamma":0.0064,"timestamp":"2025-08-20T15:59:59.839"}' python/pandas: schema: *id028 example: 'symbol expiration strike right timestamp bid ask gamma vanna charm vomma veta implied_vol iv_error underlying_timestamp underlying_price 0 AAPL 2026-12-18 270.0 CALL 2026-04-27 12:13:34.064000-04:00 24.75 25.0 0.0066 0.0803 -0.0825 -2.825 62.5528 0.2744 0.0 2026-04-27 12:13:35.328000-04:00 266.87 ' python/polars: schema: *id028 example: 'shape: (1, 16) ┌────────┬────────────┬────────┬───────┬────────────────────────────────┬───────┬──────┬────────┬────────┬─────────┬────────┬─────────┬─────────────┬──────────┬────────────────────────────────┬──────────────────┐ │ symbol ┆ expiration ┆ strike ┆ right ┆ timestamp ┆ bid ┆ ask ┆ gamma ┆ vanna ┆ charm ┆ vomma ┆ veta ┆ implied_vol ┆ iv_error ┆ underlying_timestamp ┆ underlying_price │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str ┆ datetime[ms, America/New_York] ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ datetime[ms, America/New_York] ┆ f64 │ ╞════════╪════════════╪════════╪═══════╪════════════════════════════════╪═══════╪══════╪════════╪════════╪═════════╪════════╪═════════╪═════════════╪══════════╪════════════════════════════════╪══════════════════╡ │ AAPL ┆ 2026-12-18 ┆ 270.0 ┆ CALL ┆ 2026-04-27 12:13:34.064 EDT ┆ 24.75 ┆ 25.0 ┆ 0.0066 ┆ 0.0803 ┆ -0.0825 ┆ -2.825 ┆ 62.5528 ┆ 0.2744 ┆ 0.0 ┆ 2026-04-27 12:13:35.328 EDT ┆ 266.87 │ └────────┴────────────┴────────┴───────┴────────────────────────────────┴───────┴──────┴────────┴────────┴─────────┴────────┴─────────┴─────────────┴──────────┴────────────────────────────────┴──────────────────┘ ' /option/snapshot/greeks/third_order: x-skip-concurrent-limit: true x-min-subscription: professional get: summary: Third Order Greeks operationId: option_snapshot_greeks_third_order x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''pandas'') df = client.option_snapshot_greeks_third_order(symbol=''AAPL'', expiration=date(2027, 1, 15)) ' - lang: Python label: polars source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''polars'') df = client.option_snapshot_greeks_third_order(symbol=''AAPL'', expiration=date(2027, 1, 15)) ' tags: - Option description: '- Retrieve a real-time last third order greeks calculation for all option contracts that lie on a provided expiration. - You might need to change the default expiration date to a different date if it is past the current date. Some quotes are omitted in the example to reduce the space of the sample output. - Make `expiration` * if you want to get the snapshot for every expiration chain for the underlying. > This endpoint will return no data if the market was closed for the day. Theta Data resets the snapshot cache at midnight ET every night. ' x-sample-urls: - url: http://127.0.0.1:25503/v3/option/snapshot/greeks/third_order?symbol=AAPL&expiration=20270115&strike=270.00 description: Returns third order greeks for an option contract - url: http://127.0.0.1:25503/v3/option/snapshot/greeks/third_order?symbol=AAPL&expiration=* description: Returns third order greeks for all option contracts - url: http://127.0.0.1:25503/v3/option/snapshot/greeks/third_order?symbol=AAPL&expiration=*&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/annual_dividend' - $ref: '#/components/parameters/rate_type' - $ref: '#/components/parameters/rate_value' - $ref: '#/components/parameters/stock_price' - $ref: '#/components/parameters/greeks_version' - $ref: '#/components/parameters/max_dte' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/min_time' - $ref: '#/components/parameters/use_market_value' - $ref: '#/components/parameters/format' responses: '200': description: Returns third order greeks for an option contract content: text/csv: schema: type: array items: &id029 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid: type: number description: The last NBBO bid price. ask: type: number description: The last NBBO ask price. speed: type: number description: The speed. zomma: type: number description: The zomma. color: type: string description: The color. ultima: type: string description: The ultima. implied_vol: type: number description: The implied volatiltiy calculated using the trade price. iv_error: type: string description: '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.' underlying_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,bid,ask,speed,zomma,color,ultima,implied_vol,iv_error,underlying_timestamp,underlying_price\r\nAAPL,2026-01-16,275.000,CALL,2025-08-20T15:59:59.805,1.47,1.50,0.0000,0.0000,-0.3832,-100.0000,0.2142,-0.0003,2025-08-20T16:37:06.988,225.74\r\nAAPL,2026-01-16,275.000,PUT,2025-08-20T15:59:59.839,48.75,49.70,0.0000,0.0000,-1.8378,-100.0000,0.3106,0.0000,2025-08-20T16:37:06.988,225.74\r\n" application/json: schema: &id030 type: array items: *id029 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":275.000,\"right\":\"CALL\",\"expiration\":\"2026-01-16\"},\n \"data\": [\n {\"underlying_price\":225.74,\"color\":-0.3832,\"zomma\":0.0000,\"implied_vol\":0.2142,\"iv_error\":-0.0003,\"speed\":0.0000,\"ultima\":-100.0000,\"ask\":1.50,\"bid\":1.47,\"underlying_timestamp\":\"2025-08-20T16:37:06.988\",\"timestamp\":\"2025-08-20T15:59:59.805\"}\n ]\n },\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":275.000,\"right\":\"PUT\",\"expiration\":\"2026-01-16\"},\n \"data\": [\n {\"underlying_price\":225.74,\"color\":-1.8378,\"zomma\":0.0000,\"implied_vol\":0.3106,\"iv_error\":0.0000,\"speed\":0.0000,\"ultima\":-100.0000,\"ask\":49.70,\"bid\":48.75,\"underlying_timestamp\":\"2025-08-20T16:37:06.988\",\"timestamp\":\"2025-08-20T15:59:59.839\"}\n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id030 example: '{"symbol":"AAPL","underlying_price":225.74,"color":-0.3832,"strike":275.000,"zomma":0.0000,"right":"CALL","implied_vol":0.2142,"iv_error":-0.0003,"speed":0.0000,"ultima":-100.0000,"ask":1.50,"expiration":"2026-01-16","bid":1.47,"underlying_timestamp":"2025-08-20T16:37:06.988","timestamp":"2025-08-20T15:59:59.805"} {"symbol":"AAPL","underlying_price":225.74,"color":-1.8378,"strike":275.000,"zomma":0.0000,"right":"PUT","implied_vol":0.3106,"iv_error":0.0000,"speed":0.0000,"ultima":-100.0000,"ask":49.70,"expiration":"2026-01-16","bid":48.75,"underlying_timestamp":"2025-08-20T16:37:06.988","timestamp":"2025-08-20T15:59:59.839"}' python/pandas: schema: *id030 example: 'symbol expiration strike right timestamp bid ask speed zomma color ultima implied_vol iv_error underlying_timestamp underlying_price 0 AAPL 2026-12-18 270.0 CALL 2026-04-27 12:13:35.614000-04:00 24.75 25.0 0.0 -0.0246 -0.0054 -23.2147 0.2744 0.0 2026-04-27 12:13:35.494000-04:00 266.86 ' python/polars: schema: *id030 example: 'shape: (1, 15) ┌────────┬────────────┬────────┬───────┬────────────────────────────────┬───────┬──────┬───────┬─────────┬─────────┬──────────┬─────────────┬──────────┬────────────────────────────────┬──────────────────┐ │ symbol ┆ expiration ┆ strike ┆ right ┆ timestamp ┆ bid ┆ ask ┆ speed ┆ zomma ┆ color ┆ ultima ┆ implied_vol ┆ iv_error ┆ underlying_timestamp ┆ underlying_price │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str ┆ datetime[ms, America/New_York] ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ datetime[ms, America/New_York] ┆ f64 │ ╞════════╪════════════╪════════╪═══════╪════════════════════════════════╪═══════╪══════╪═══════╪═════════╪═════════╪══════════╪═════════════╪══════════╪════════════════════════════════╪══════════════════╡ │ AAPL ┆ 2026-12-18 ┆ 270.0 ┆ CALL ┆ 2026-04-27 12:13:35.656 EDT ┆ 24.75 ┆ 25.0 ┆ 0.0 ┆ -0.0246 ┆ -0.0054 ┆ -23.2147 ┆ 0.2744 ┆ 0.0 ┆ 2026-04-27 12:13:35.650 EDT ┆ 266.86 │ └────────┴────────────┴────────┴───────┴────────────────────────────────┴───────┴──────┴───────┴─────────┴─────────┴──────────┴─────────────┴──────────┴────────────────────────────────┴──────────────────┘ ' /option/history/eod: x-concurrent-limit-ttl-ms: '2091' x-min-subscription: free x-history-access: true get: summary: End of Day operationId: option_history_eod x-codeSamples: - lang: Python label: pandas source: "from thetadata import ThetaClient\nfrom datetime import date\n\nclient = ThetaClient(dataframe_type='pandas')\ndf = client.option_history_eod(\n start_date=date(2024, 11, 4),\n end_date=date(2024, 11, 4),\n symbol='AAPL',\n expiration=date(2024, 11, 15),\n)\n" - lang: Python label: polars source: "from thetadata import ThetaClient\nfrom datetime import date\n\nclient = ThetaClient(dataframe_type='polars')\ndf = client.option_history_eod(\n start_date=date(2024, 11, 4),\n end_date=date(2024, 11, 4),\n symbol='AAPL',\n expiration=date(2024, 11, 15),\n)\n" tags: - Option description: "- Since [OPRA](/Articles/Data-And-Requests/The-SIPs.html) does not provide a national EOD report for options, Theta Data generates a national EOD report at 17:15 ET each day.\n- ``created`` represents the datetime the report was generated and ``last_trade`` represents the datetime of the last trade. \n- The quote in the response represents the last NBBO reported by OPRA at the time of report generation. \n- You can read more about EOD & OHLC data [here](/Articles/Data-And-Requests/OHLC-EOD.html).\n" x-sample-urls: - url: http://127.0.0.1:25503/v3/option/history/eod?symbol=AAPL&expiration=20241115&strike=170.000&right=call&start_date=20241104&end_date=20241104 description: Returns EOD report for an option contract - url: http://127.0.0.1:25503/v3/option/history/eod?symbol=AAPL&expiration=*&start_date=20241104&end_date=20241104 description: Returns EOD report for all option contracts - url: http://127.0.0.1:25503/v3/option/history/eod?symbol=AAPL&expiration=*&start_date=20241104&end_date=20241104&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/start_date' - $ref: '#/components/parameters/end_date' - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/max_dte' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/format' responses: '200': description: Returns EOD report for an option contract content: text/csv: schema: type: array items: &id031 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. created: type: string format: date-time description: The date formated as YYYY-MM-DDTHH:mm:ss.SSS format. last_trade: type: string format: date-time description: The last trade date formated as YYYY-MM-DDTHH:mm:ss.SSS format. open: type: number description: The opening trade price. high: type: number description: The highest traded price. low: type: number description: The lowest traded price. close: type: number description: The closing traded price. volume: type: integer description: The amount of contracts / shares traded. count: type: integer description: The amount of trades. bid_size: type: integer description: The last NBBO bid size. bid_exchange: type: integer description: The last NBBO bid [exchange](/Articles/Errors-Exchanges-Conditions/Exchanges.html). bid: type: number description: The last NBBO bid price. bid_condition: type: integer description: The last NBBO bid [condition](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). ask_size: type: integer description: The last NBBO ask size. ask_exchange: type: integer description: The last NBBO ask [exchange](/Articles/Errors-Exchanges-Conditions/Exchanges.html). ask: type: number description: The last NBBO ask price. ask_condition: type: integer description: The last NBBO ask [condition](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). example: "symbol,expiration,strike,right,created,last_trade,open,high,low,close,volume,count,bid_size,bid_exchange,bid,bid_condition,ask_size,ask_exchange,ask,ask_condition\r\nAAPL,2024-11-15,170.000,CALL,2024-11-04T17:16:56.205,2024-11-04T15:48:12.005,52.54,52.75,52.40,52.40,10,3,70,60,52.05,50,15,47,52.45,50\r\n" application/json: schema: &id032 type: array items: *id031 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":170.000,\"right\":\"CALL\",\"expiration\":\"2024-11-15\"},\n \"data\": [\n {\"ask_size\":15,\"last_trade\":\"2024-11-04T15:48:12.005\",\"created\":\"2024-11-04T17:16:56.205\",\"ask_condition\":50,\"count\":3,\"volume\":10,\"high\":52.75,\"low\":52.40,\"bid_size\":70,\"ask_exchange\":47,\"bid_exchange\":60,\"ask\":52.45,\"bid\":52.05,\"bid_condition\":50,\"close\":52.40,\"open\":52.54} \n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id032 example: '{"symbol":"AAPL","ask_size":15,"last_trade":"2024-11-04T15:48:12.005","created":"2024-11-04T17:16:56.205","ask_condition":50,"strike":170.000,"count":3,"right":"CALL","volume":10,"high":52.75,"low":52.40,"bid_size":70,"ask_exchange":47,"bid_exchange":60,"ask":52.45,"expiration":"2024-11-15","bid":52.05,"bid_condition":50,"close":52.40,"open":52.54}' python/pandas: schema: *id032 example: 'symbol expiration strike right created last_trade open high low close volume count bid_size bid_exchange bid bid_condition ask_size ask_exchange ask ask_condition 0 SPY 2025-10-17 420.0 CALL 2025-10-02 17:17:36.964000-04:00 2025-10-02 00:00:00-04:00 0.0 0.0 0.0 0.0 0 0 8 7 248.73 50 60 4 251.53 50 1 SPY 2025-10-17 420.0 CALL 2025-10-03 17:15:49.173000-04:00 2025-10-03 00:00:00-04:00 0.0 0.0 0.0 0.0 0 0 16 42 248.23 50 10 9 251.05 50 ' python/polars: schema: *id032 example: 'shape: (2, 20) ┌────────┬────────────┬────────┬───────┬────────────────────────────────┬────────────────────────────────┬──────┬──────┬─────┬───────┬────────┬───────┬──────────┬──────────────┬────────┬───────────────┬──────────┬──────────────┬────────┬───────────────┐ │ symbol ┆ expiration ┆ strike ┆ right ┆ created ┆ last_trade ┆ open ┆ high ┆ low ┆ close ┆ volume ┆ count ┆ bid_size ┆ bid_exchange ┆ bid ┆ bid_condition ┆ ask_size ┆ ask_exchange ┆ ask ┆ ask_condition │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str ┆ datetime[ms, America/New_York] ┆ datetime[ms, America/New_York] ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ f64 ┆ i64 ┆ i64 ┆ i64 ┆ f64 ┆ i64 │ ╞════════╪════════════╪════════╪═══════╪════════════════════════════════╪════════════════════════════════╪══════╪══════╪═════╪═══════╪════════╪═══════╪══════════╪══════════════╪════════╪═══════════════╪══════════╪══════════════╪════════╪═══════════════╡ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-10-02 17:17:36.964 EDT ┆ 2025-10-02 00:00:00 EDT ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0 ┆ 0 ┆ 8 ┆ 7 ┆ 248.73 ┆ 50 ┆ 60 ┆ 4 ┆ 251.53 ┆ 50 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-10-03 17:15:49.173 EDT ┆ 2025-10-03 00:00:00 EDT ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0 ┆ 0 ┆ 16 ┆ 42 ┆ 248.23 ┆ 50 ┆ 10 ┆ 9 ┆ 251.05 ┆ 50 │ └────────┴────────────┴────────┴───────┴────────────────────────────────┴────────────────────────────────┴──────┴──────┴─────┴───────┴────────┴───────┴──────────┴──────────────┴────────┴───────────────┴──────────┴──────────────┴────────┴───────────────┘ ' /option/history/ohlc: x-concurrent-limit-ttl-ms: '1045' x-min-subscription: value x-history-access: true get: summary: Open High Low Close operationId: option_history_ohlc x-codeSamples: - lang: Python label: pandas source: "from thetadata import ThetaClient\nfrom datetime import date\n\nclient = ThetaClient(dataframe_type='pandas')\ndf = client.option_history_ohlc(\n symbol='AAPL',\n expiration=date(2023, 11, 3),\n interval='1m',\n)\n" - lang: Python label: polars source: "from thetadata import ThetaClient\nfrom datetime import date\n\nclient = ThetaClient(dataframe_type='polars')\ndf = client.option_history_ohlc(\n symbol='AAPL',\n expiration=date(2023, 11, 3),\n interval='1m',\n)\n" tags: - Option description: "- Aggregated OHLC bars that use [SIP rules](/Articles/Data-And-Requests/OHLC-EOD.html) for each bar. \n- Time timestamp of the bar represents the opening time of the bar. For a trade to be part of the bar: ``bar timestamp`` <= ``trade time`` < ``bar timestamp + interval``.\n- Multi-day requests are limited to 1 month of data.\n" x-sample-urls: - url: http://127.0.0.1:25503/v3/option/history/ohlc?symbol=AAPL&expiration=20231103&strike=170.000&right=call&date=20231103&interval=1m description: Returns OHLC for an option contract - url: http://127.0.0.1:25503/v3/option/history/ohlc?symbol=AAPL&expiration=20231103&strike=170.000&right=call&date=20231103&interval=1m&format=html description: Click to open in browser (HTML) - url: http://127.0.0.1:25503/v3/option/history/ohlc?symbol=AAPL&expiration=20231103&strike=170.000&right=call&start_date=20231103&end_date=20231110&interval=1m description: Returns OHLC for an option contract - url: http://127.0.0.1:25503/v3/option/history/ohlc?symbol=AAPL&expiration=20231103&strike=170.000&right=call&start_date=20231103&end_date=20231110&interval=1m&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/opt_date' - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration_no_star' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/interval' - $ref: '#/components/parameters/start_time' - $ref: '#/components/parameters/end_time' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/format' - $ref: '#/components/parameters/opt_start_date' - $ref: '#/components/parameters/opt_end_date' responses: '200': description: Returns OHLC for an option contract content: text/csv: schema: type: array items: &id033 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. open: type: number description: The opening trade price. high: type: number description: The highest traded price. low: type: number description: The lowest traded price. close: type: number description: The closing traded price. volume: type: integer description: The amount of contracts / shares traded. count: type: integer description: The amount of trades. vwap: type: number description: The volume weighted average price of the trading session. example: "symbol,expiration,strike,right,timestamp,open,high,low,close,volume,count,vwap\r\nAAPL,2023-11-03,170.000,CALL,2023-11-03T09:30:00,4.48,7.05,3.60,4.00,147,24,4.39\r\nAAPL,2023-11-03,170.000,CALL,2023-11-03T09:31:00,3.85,4.65,3.65,4.65,39,19,4.31\r\nAAPL,2023-11-03,170.000,CALL,2023-11-03T09:32:00,4.75,5.20,4.65,5.00,45,14,4.45\r\nAAPL,2023-11-03,170.000,CALL,2023-11-03T09:33:00,4.95,5.05,4.48,4.49,142,23,4.53\r\nAAPL,2023-11-03,170.000,CALL,2023-11-03T09:34:00,4.50,5.05,4.50,4.73,29,11,4.56\r\n" application/json: schema: &id034 type: array items: *id033 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":170.000,\"right\":\"CALL\",\"expiration\":\"2023-11-03\"},\n \"data\": [\n {\"volume\":147,\"high\":7.05,\"low\":3.60,\"vwap\":4.39,\"count\":24,\"close\":4.00,\"open\":4.48,\"timestamp\":\"2023-11-03T09:30:00\"},\n {\"volume\":39,\"high\":4.65,\"low\":3.65,\"vwap\":4.31,\"count\":19,\"close\":4.65,\"open\":3.85,\"timestamp\":\"2023-11-03T09:31:00\"},\n {\"volume\":45,\"high\":5.20,\"low\":4.65,\"vwap\":4.45,\"count\":14,\"close\":5.00,\"open\":4.75,\"timestamp\":\"2023-11-03T09:32:00\"},\n {\"volume\":142,\"high\":5.05,\"low\":4.48,\"vwap\":4.53,\"count\":23,\"close\":4.49,\"open\":4.95,\"timestamp\":\"2023-11-03T09:33:00\"}, \n {\"volume\":29,\"high\":5.05,\"low\":4.50,\"vwap\":4.56,\"count\":11,\"close\":4.73,\"open\":4.50,\"timestamp\":\"2023-11-03T09:34:00\"}\n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id034 example: '{"volume":147,"symbol":"AAPL","high":7.05,"low":3.60,"strike":170.000,"vwap":4.39,"count":24,"expiration":"2023-11-03","right":"CALL","close":4.00,"open":4.48,"timestamp":"2023-11-03T09:30:00"} {"volume":39,"symbol":"AAPL","high":4.65,"low":3.65,"strike":170.000,"vwap":4.31,"count":19,"expiration":"2023-11-03","right":"CALL","close":4.65,"open":3.85,"timestamp":"2023-11-03T09:31:00"} {"volume":45,"symbol":"AAPL","high":5.20,"low":4.65,"strike":170.000,"vwap":4.45,"count":14,"expiration":"2023-11-03","right":"CALL","close":5.00,"open":4.75,"timestamp":"2023-11-03T09:32:00"} {"volume":142,"symbol":"AAPL","high":5.05,"low":4.48,"strike":170.000,"vwap":4.53,"count":23,"expiration":"2023-11-03","right":"CALL","close":4.49,"open":4.95,"timestamp":"2023-11-03T09:33:00"} {"volume":29,"symbol":"AAPL","high":5.05,"low":4.50,"strike":170.000,"vwap":4.56,"count":11,"expiration":"2023-11-03","right":"CALL","close":4.73,"open":4.50,"timestamp":"2023-11-03T09:34:00"}' python/pandas: schema: *id034 example: 'symbol expiration strike right timestamp open high low close volume count vwap 0 SPY 2025-10-17 420.0 CALL 2025-09-19 09:30:00-04:00 NaN NaN NaN NaN 0 0 0.00 1 SPY 2025-10-17 420.0 CALL 2025-09-19 09:31:00-04:00 243.33 243.33 243.33 243.33 2 2 243.33 2 SPY 2025-10-17 420.0 CALL 2025-09-19 09:32:00-04:00 NaN NaN NaN NaN 0 0 243.33 3 SPY 2025-10-17 420.0 CALL 2025-09-19 09:33:00-04:00 NaN NaN NaN NaN 0 0 243.33 4 SPY 2025-10-17 420.0 CALL 2025-09-19 09:34:00-04:00 NaN NaN NaN NaN 0 0 243.33 5 SPY 2025-10-17 420.0 CALL 2025-09-19 09:35:00-04:00 NaN NaN NaN NaN 0 0 243.33 6 SPY 2025-10-17 420.0 CALL 2025-09-19 09:36:00-04:00 243.18 243.18 243.18 243.18 1 1 243.28 7 SPY 2025-10-17 420.0 CALL 2025-09-19 09:37:00-04:00 NaN NaN NaN NaN 0 0 243.28 8 SPY 2025-10-17 420.0 CALL 2025-09-19 09:38:00-04:00 NaN NaN NaN NaN 0 0 243.28 9 SPY 2025-10-17 420.0 CALL 2025-09-19 09:39:00-04:00 NaN NaN NaN NaN 0 0 243.28 10 SPY 2025-10-17 420.0 CALL 2025-09-19 09:40:00-04:00 NaN NaN NaN NaN 0 0 243.28 11 SPY 2025-10-17 420.0 CALL 2025-09-19 09:41:00-04:00 NaN NaN NaN NaN 0 0 243.28 12 SPY 2025-10-17 420.0 CALL 2025-09-19 09:42:00-04:00 NaN NaN NaN NaN 0 0 243.28 13 SPY 2025-10-17 420.0 CALL 2025-09-19 09:43:00-04:00 NaN NaN NaN NaN 0 0 243.28 14 SPY 2025-10-17 420.0 CALL 2025-09-19 09:44:00-04:00 NaN NaN NaN NaN 0 0 243.28 15 SPY 2025-10-17 420.0 CALL 2025-09-19 09:45:00-04:00 NaN NaN NaN NaN 0 0 243.28 16 SPY 2025-10-17 420.0 CALL 2025-09-19 09:46:00-04:00 NaN NaN NaN NaN 0 0 243.28 17 SPY 2025-10-17 420.0 CALL 2025-09-19 09:47:00-04:00 NaN NaN NaN NaN 0 0 243.28 18 SPY 2025-10-17 420.0 CALL 2025-09-19 09:48:00-04:00 NaN NaN NaN NaN 0 0 243.28 19 SPY 2025-10-17 420.0 CALL 2025-09-19 09:49:00-04:00 NaN NaN NaN NaN 0 0 243.28 20 SPY 2025-10-17 420.0 CALL 2025-09-19 09:50:00-04:00 NaN NaN NaN NaN 0 0 243.28 21 SPY 2025-10-17 420.0 CALL 2025-09-19 09:51:00-04:00 NaN NaN NaN NaN 0 0 243.28 22 SPY 2025-10-17 420.0 CALL 2025-09-19 09:52:00-04:00 NaN NaN NaN NaN 0 0 243.28 23 SPY 2025-10-17 420.0 CALL 2025-09-19 09:53:00-04:00 NaN NaN NaN NaN 0 0 243.28 24 SPY 2025-10-17 420.0 CALL 2025-09-19 09:54:00-04:00 NaN NaN NaN NaN 0 0 243.28 25 SPY 2025-10-17 420.0 CALL 2025-09-19 09:55:00-04:00 NaN NaN NaN NaN 0 0 243.28 26 SPY 2025-10-17 420.0 CALL 2025-09-19 09:56:00-04:00 NaN NaN NaN NaN 0 0 243.28 27 SPY 2025-10-17 420.0 CALL 2025-09-19 09:57:00-04:00 NaN NaN NaN NaN 0 0 243.28 28 SPY 2025-10-17 420.0 CALL 2025-09-19 09:58:00-04:00 NaN NaN NaN NaN 0 0 243.28 29 SPY 2025-10-17 420.0 CALL 2025-09-19 09:59:00-04:00 NaN NaN NaN NaN 0 0 243.28 30 SPY 2025-10-17 420.0 CALL 2025-09-19 10:00:00-04:00 NaN NaN NaN NaN 0 0 243.28 ' python/polars: schema: *id034 example: 'shape: (31, 12) ┌────────┬────────────┬────────┬───────┬────────────────────────────────┬────────┬────────┬────────┬────────┬────────┬───────┬────────┐ │ symbol ┆ expiration ┆ strike ┆ right ┆ timestamp ┆ open ┆ high ┆ low ┆ close ┆ volume ┆ count ┆ vwap │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str ┆ datetime[ms, America/New_York] ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ i64 ┆ i64 ┆ f64 │ ╞════════╪════════════╪════════╪═══════╪════════════════════════════════╪════════╪════════╪════════╪════════╪════════╪═══════╪════════╡ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:30:00 EDT ┆ NaN ┆ NaN ┆ NaN ┆ NaN ┆ 0 ┆ 0 ┆ 0.0 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:31:00 EDT ┆ 243.33 ┆ 243.33 ┆ 243.33 ┆ 243.33 ┆ 2 ┆ 2 ┆ 243.33 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:32:00 EDT ┆ NaN ┆ NaN ┆ NaN ┆ NaN ┆ 0 ┆ 0 ┆ 243.33 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:33:00 EDT ┆ NaN ┆ NaN ┆ NaN ┆ NaN ┆ 0 ┆ 0 ┆ 243.33 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:34:00 EDT ┆ NaN ┆ NaN ┆ NaN ┆ NaN ┆ 0 ┆ 0 ┆ 243.33 │ │ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:56:00 EDT ┆ NaN ┆ NaN ┆ NaN ┆ NaN ┆ 0 ┆ 0 ┆ 243.28 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:57:00 EDT ┆ NaN ┆ NaN ┆ NaN ┆ NaN ┆ 0 ┆ 0 ┆ 243.28 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:58:00 EDT ┆ NaN ┆ NaN ┆ NaN ┆ NaN ┆ 0 ┆ 0 ┆ 243.28 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:59:00 EDT ┆ NaN ┆ NaN ┆ NaN ┆ NaN ┆ 0 ┆ 0 ┆ 243.28 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 10:00:00 EDT ┆ NaN ┆ NaN ┆ NaN ┆ NaN ┆ 0 ┆ 0 ┆ 243.28 │ └────────┴────────────┴────────┴───────┴────────────────────────────────┴────────┴────────┴────────┴────────┴────────┴───────┴────────┘ ' /option/history/trade: x-concurrent-limit-ttl-ms: '822' x-min-subscription: standard x-history-access: true get: summary: Trade operationId: option_history_trade x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''pandas'') df = client.option_history_trade(symbol=''AAPL'', expiration=date(2024, 11, 8)) ' - lang: Python label: polars source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''polars'') df = client.option_history_trade(symbol=''AAPL'', expiration=date(2024, 11, 8)) ' tags: - Option description: "- Returns every trade reported by [OPRA](/Articles/Data-And-Requests/The-SIPs.html). \n- Trade condition mappings can be found [here](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html).\n- Extended trade conditions are not reported by [OPRA](/Articles/Data-And-Requests/The-SIPs.html) for options, so they can be ignored.\n- Multi-day requests are limited to 1 month of data, and must specify an expiration.\n" x-sample-urls: - url: http://127.0.0.1:25503/v3/option/history/trade?symbol=AAPL&expiration=20241108&strike=220.000&right=call&date=20241104 description: Returns every trade for an option contract - url: http://127.0.0.1:25503/v3/option/history/trade?symbol=AAPL&expiration=20241108&strike=220.000&right=call&start_date=20241104&end_date=20241110 description: Returns every trade for an option contract between the specified dates (inclusive) - url: http://127.0.0.1:25503/v3/option/history/trade?symbol=AAPL&expiration=*&date=20241104 description: Returns every trade for all option contracts - url: http://127.0.0.1:25503/v3/option/history/trade?symbol=AAPL&expiration=*&date=20241104&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/opt_date' - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/start_time' - $ref: '#/components/parameters/end_time' - $ref: '#/components/parameters/max_dte' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/format' - $ref: '#/components/parameters/opt_start_date' - $ref: '#/components/parameters/opt_end_date' responses: '200': description: Returns every trade for an option contract content: text/csv: schema: type: array items: &id035 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. sequence: type: integer description: The exchange [sequence](/Articles/Data-And-Requests/Making-Requests.html#trade-sequences). ext_condition1: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition2: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition3: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition4: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. condition: type: integer description: The trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). size: type: integer description: The amount of contracts / shares traded. exchange: type: integer description: The [exchange](/Articles/Errors-Exchanges-Conditions/Exchanges.html) the trade was executed. price: type: number description: The trade price. example: "symbol,expiration,strike,right,timestamp,sequence,ext_condition1,ext_condition2,ext_condition3,ext_condition4,condition,size,exchange,price\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:00.471,18902138,255,255,255,255,130,2,22,3.90\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:01.626,19368856,255,255,255,255,130,1,6,4.25\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:01.698,19403970,255,255,255,255,130,1,6,4.22\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:02.064,19598457,255,255,255,255,18,1,5,4.15\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:02.064,19598464,255,255,255,255,18,1,5,4.15\r\n" application/json: schema: &id036 type: array items: *id035 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":220.000,\"right\":\"CALL\",\"expiration\":\"2024-11-08\"},\n \"data\": [\n {\"sequence\":18902138,\"condition\":130,\"size\":2,\"price\":3.90,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":22,\"ext_condition3\":255,\"timestamp\":\"2024-11-04T09:30:00.471\"},\n {\"sequence\":19368856,\"condition\":130,\"size\":1,\"price\":4.25,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":6,\"ext_condition3\":255,\"timestamp\":\"2024-11-04T09:30:01.626\"},\n {\"sequence\":19403970,\"condition\":130,\"size\":1,\"price\":4.22,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":6,\"ext_condition3\":255,\"timestamp\":\"2024-11-04T09:30:01.698\"},\n {\"sequence\":19598457,\"condition\":18,\"size\":1,\"price\":4.15,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":5,\"ext_condition3\":255,\"timestamp\":\"2024-11-04T09:30:02.064\"},\n {\"sequence\":19598464,\"condition\":18,\"size\":1,\"price\":4.15,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":5,\"ext_condition3\":255,\"timestamp\":\"2024-11-04T09:30:02.064\"}\n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id036 example: '{"symbol":"AAPL","strike":220.000,"right":"CALL","sequence":18902138,"condition":130,"size":2,"price":3.90,"ext_condition2":255,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":22,"ext_condition3":255,"timestamp":"2024-11-04T09:30:00.471"} {"symbol":"AAPL","strike":220.000,"right":"CALL","sequence":19368856,"condition":130,"size":1,"price":4.25,"ext_condition2":255,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":6,"ext_condition3":255,"timestamp":"2024-11-04T09:30:01.626"} {"symbol":"AAPL","strike":220.000,"right":"CALL","sequence":19403970,"condition":130,"size":1,"price":4.22,"ext_condition2":255,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":6,"ext_condition3":255,"timestamp":"2024-11-04T09:30:01.698"} {"symbol":"AAPL","strike":220.000,"right":"CALL","sequence":19598457,"condition":18,"size":1,"price":4.15,"ext_condition2":255,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":5,"ext_condition3":255,"timestamp":"2024-11-04T09:30:02.064"} {"symbol":"AAPL","strike":220.000,"right":"CALL","sequence":19598464,"condition":18,"size":1,"price":4.15,"ext_condition2":255,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":5,"ext_condition3":255,"timestamp":"2024-11-04T09:30:02.064"}' python/pandas: schema: *id036 example: 'symbol expiration strike right timestamp sequence ext_condition1 ext_condition2 ext_condition3 ext_condition4 condition size exchange price 0 AAPL 2025-11-07 220.0 CALL 2025-11-04 10:15:30.932000-05:00 2007064912 255 255 255 255 18 11 7 48.30 1 AAPL 2025-11-07 220.0 CALL 2025-11-04 10:50:31.982000-05:00 -2145289500 255 255 255 255 18 7 7 48.30 2 AAPL 2025-11-07 220.0 CALL 2025-11-04 15:45:43.083000-05:00 -1190941781 255 255 255 255 131 2 65 50.31 ' python/polars: schema: *id036 example: 'shape: (3, 14) ┌────────┬────────────┬────────┬───────┬────────────────────────────────┬─────────────┬────────────────┬────────────────┬────────────────┬────────────────┬───────────┬──────┬──────────┬───────┐ │ symbol ┆ expiration ┆ strike ┆ right ┆ timestamp ┆ sequence ┆ ext_condition1 ┆ ext_condition2 ┆ ext_condition3 ┆ ext_condition4 ┆ condition ┆ size ┆ exchange ┆ price │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str ┆ datetime[ms, America/New_York] ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ f64 │ ╞════════╪════════════╪════════╪═══════╪════════════════════════════════╪═════════════╪════════════════╪════════════════╪════════════════╪════════════════╪═══════════╪══════╪══════════╪═══════╡ │ AAPL ┆ 2025-11-07 ┆ 220.0 ┆ CALL ┆ 2025-11-04 10:15:30.932 EST ┆ 2007064912 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 11 ┆ 7 ┆ 48.3 │ │ AAPL ┆ 2025-11-07 ┆ 220.0 ┆ CALL ┆ 2025-11-04 10:50:31.982 EST ┆ -2145289500 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 7 ┆ 7 ┆ 48.3 │ │ AAPL ┆ 2025-11-07 ┆ 220.0 ┆ CALL ┆ 2025-11-04 15:45:43.083 EST ┆ -1190941781 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 131 ┆ 2 ┆ 65 ┆ 50.31 │ └────────┴────────────┴────────┴───────┴────────────────────────────────┴─────────────┴────────────────┴────────────────┴────────────────┴────────────────┴───────────┴──────┴──────────┴───────┘ ' /option/history/quote: x-concurrent-limit-ttl-ms: '1435' x-min-subscription: value x-history-access: true get: summary: Quote operationId: option_history_quote x-codeSamples: - lang: Python label: pandas source: "from thetadata import ThetaClient\nfrom datetime import date\n\nclient = ThetaClient(dataframe_type='pandas')\ndf = client.option_history_quote(\n symbol='AAPL',\n expiration=date(2024, 11, 8),\n interval='1m',\n)\n" - lang: Python label: polars source: "from thetadata import ThetaClient\nfrom datetime import date\n\nclient = ThetaClient(dataframe_type='polars')\ndf = client.option_history_quote(\n symbol='AAPL',\n expiration=date(2024, 11, 8),\n interval='1m',\n)\n" tags: - Option description: "- Returns every NBBO quote reported by [OPRA](/Articles/Data-And-Requests/The-SIPs.html). \n- If the ``interval`` parameter is specified, the quote for each interval represents the last quote at the interval's timestamp.\n- Multi-day requests are limited to 1 month of data, and must specify an expiration.\n" x-sample-urls: - url: http://127.0.0.1:25503/v3/option/history/quote?symbol=AAPL&expiration=20241108&strike=220.000&right=call&date=20241104&interval=1m description: Returns every quote for an option contract - url: http://127.0.0.1:25503/v3/option/history/quote?symbol=AAPL&expiration=20241108&strike=220.000&right=call&start_date=20241104&end_date=20241111&interval=1m description: Returns every quote for an option contract in the specified date range - url: http://127.0.0.1:25503/v3/option/history/quote?symbol=AAPL&expiration=*&date=20241104&interval=1m description: Returns every quote for all option contracts - url: http://127.0.0.1:25503/v3/option/history/quote?symbol=AAPL&expiration=*&date=20241104&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/opt_date' - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/start_time' - $ref: '#/components/parameters/end_time' - $ref: '#/components/parameters/interval' - $ref: '#/components/parameters/max_dte' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/format' - $ref: '#/components/parameters/opt_start_date' - $ref: '#/components/parameters/opt_end_date' responses: '200': description: Returns every quote for an option contract content: text/csv: schema: type: array items: &id037 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid_size: type: integer description: The last NBBO bid size. bid_exchange: type: integer description: The last NBBO bid [exchange](/Articles/Errors-Exchanges-Conditions/Exchanges.html). bid: type: number description: The last NBBO bid price. bid_condition: type: integer description: The last NBBO bid [condition](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). ask_size: type: integer description: The last NBBO ask size. ask_exchange: type: integer description: The last NBBO ask [exchange](/Articles/Errors-Exchanges-Conditions/Exchanges.html). ask: type: number description: The last NBBO ask price. ask_condition: type: integer description: The last NBBO ask [condition](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). example: "symbol,expiration,strike,right,timestamp,bid_size,bid_exchange,bid,bid_condition,ask_size,ask_exchange,ask,ask_condition\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:00,0,42,0.00,50,0,42,0.00,50\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:31:00,598,5,4.55,50,424,9,4.70,50\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:32:00,58,46,4.30,50,221,11,4.40,50\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:33:00,394,43,3.90,50,45,47,4.00,50\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:34:00,194,11,4.15,50,121,11,4.30,50\r\n" application/json: schema: &id038 type: array items: *id037 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":220.000,\"right\":\"CALL\",\"expiration\":\"2024-11-08\"},\n \"data\": [\n {\"ask_size\":0,\"ask_condition\":50,\"bid_size\":0,\"ask_exchange\":42,\"bid_exchange\":42,\"ask\":0.00,\"bid\":0.00,\"bid_condition\":50,\"timestamp\":\"2024-11-04T09:30:00\"},\n {\"ask_size\":424,\"ask_condition\":50,\"bid_size\":598,\"ask_exchange\":9,\"bid_exchange\":5,\"ask\":4.70,\"bid\":4.55,\"bid_condition\":50,\"timestamp\":\"2024-11-04T09:31:00\"},\n {\"ask_size\":221,\"ask_condition\":50,\"bid_size\":58,\"ask_exchange\":11,\"bid_exchange\":46,\"ask\":4.40,\"bid\":4.30,\"bid_condition\":50,\"timestamp\":\"2024-11-04T09:32:00\"},\n {\"ask_size\":45,\"ask_condition\":50,\"bid_size\":394,\"ask_exchange\":47,\"bid_exchange\":43,\"ask\":4.00,\"bid\":3.90,\"bid_condition\":50,\"timestamp\":\"2024-11-04T09:33:00\"},\n {\"ask_size\":121,\"ask_condition\":50,\"bid_size\":194,\"ask_exchange\":11,\"bid_exchange\":11,\"ask\":4.30,\"bid\":4.15,\"bid_condition\":50,\"timestamp\":\"2024-11-04T09:34:00\"}\n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id038 example: '{"symbol":"AAPL","ask_size":0,"ask_condition":50,"strike":220.000,"right":"CALL","bid_size":0,"ask_exchange":42,"bid_exchange":42,"ask":0.00,"expiration":"2024-11-08","bid":0.00,"bid_condition":50,"timestamp":"2024-11-04T09:30:00"} {"symbol":"AAPL","ask_size":424,"ask_condition":50,"strike":220.000,"right":"CALL","bid_size":598,"ask_exchange":9,"bid_exchange":5,"ask":4.70,"expiration":"2024-11-08","bid":4.55,"bid_condition":50,"timestamp":"2024-11-04T09:31:00"} {"symbol":"AAPL","ask_size":221,"ask_condition":50,"strike":220.000,"right":"CALL","bid_size":58,"ask_exchange":11,"bid_exchange":46,"ask":4.40,"expiration":"2024-11-08","bid":4.30,"bid_condition":50,"timestamp":"2024-11-04T09:32:00"} {"symbol":"AAPL","ask_size":45,"ask_condition":50,"strike":220.000,"right":"CALL","bid_size":394,"ask_exchange":47,"bid_exchange":43,"ask":4.00,"expiration":"2024-11-08","bid":3.90,"bid_condition":50,"timestamp":"2024-11-04T09:33:00"} {"symbol":"AAPL","ask_size":121,"ask_condition":50,"strike":220.000,"right":"CALL","bid_size":194,"ask_exchange":11,"bid_exchange":11,"ask":4.30,"expiration":"2024-11-08","bid":4.15,"bid_condition":50,"timestamp":"2024-11-04T09:34:00"}' python/pandas: schema: *id038 example: 'symbol expiration strike right timestamp bid_size bid_exchange bid bid_condition ask_size ask_exchange ask ask_condition 0 SPY 2025-10-17 420.0 CALL 2025-09-19 09:30:00-04:00 0 5 0.00 50 0 5 0.00 50 1 SPY 2025-10-17 420.0 CALL 2025-09-19 09:31:00-04:00 1 5 241.85 50 11 4 245.21 50 2 SPY 2025-10-17 420.0 CALL 2025-09-19 09:32:00-04:00 1 5 241.85 50 1 69 245.24 50 3 SPY 2025-10-17 420.0 CALL 2025-09-19 09:33:00-04:00 1 5 241.85 50 30 65 245.05 50 4 SPY 2025-10-17 420.0 CALL 2025-09-19 09:34:00-04:00 30 42 241.71 50 10 46 244.84 50 5 SPY 2025-10-17 420.0 CALL 2025-09-19 09:35:00-04:00 30 5 241.71 50 30 65 244.85 50 6 SPY 2025-10-17 420.0 CALL 2025-09-19 09:36:00-04:00 30 5 241.71 50 30 5 244.66 50 7 SPY 2025-10-17 420.0 CALL 2025-09-19 09:37:00-04:00 30 5 241.71 50 10 46 244.71 50 8 SPY 2025-10-17 420.0 CALL 2025-09-19 09:38:00-04:00 30 5 241.71 50 1 69 244.88 50 9 SPY 2025-10-17 420.0 CALL 2025-09-19 09:39:00-04:00 30 5 241.71 50 10 46 244.67 50 10 SPY 2025-10-17 420.0 CALL 2025-09-19 09:40:00-04:00 30 65 241.71 50 30 65 244.80 50 11 SPY 2025-10-17 420.0 CALL 2025-09-19 09:41:00-04:00 30 5 241.71 50 100 31 244.94 50 12 SPY 2025-10-17 420.0 CALL 2025-09-19 09:42:00-04:00 30 65 241.71 50 100 31 244.94 50 13 SPY 2025-10-17 420.0 CALL 2025-09-19 09:43:00-04:00 8 60 241.93 50 100 31 244.94 50 14 SPY 2025-10-17 420.0 CALL 2025-09-19 09:44:00-04:00 30 5 241.80 50 10 46 244.89 50 15 SPY 2025-10-17 420.0 CALL 2025-09-19 09:45:00-04:00 30 65 241.71 50 100 31 244.94 50 16 SPY 2025-10-17 420.0 CALL 2025-09-19 09:46:00-04:00 30 42 241.71 50 10 46 244.83 50 17 SPY 2025-10-17 420.0 CALL 2025-09-19 09:47:00-04:00 30 5 241.80 50 9 60 244.60 50 18 SPY 2025-10-17 420.0 CALL 2025-09-19 09:48:00-04:00 30 65 241.71 50 30 65 244.77 50 19 SPY 2025-10-17 420.0 CALL 2025-09-19 09:49:00-04:00 30 65 241.74 50 100 31 244.94 50 20 SPY 2025-10-17 420.0 CALL 2025-09-19 09:50:00-04:00 1 5 242.13 50 1 76 245.74 50 21 SPY 2025-10-17 420.0 CALL 2025-09-19 09:51:00-04:00 1 5 242.13 50 1 60 245.37 50 22 SPY 2025-10-17 420.0 CALL 2025-09-19 09:52:00-04:00 10 46 242.31 50 10 46 245.83 50 23 SPY 2025-10-17 420.0 CALL 2025-09-19 09:53:00-04:00 10 6 242.75 50 10 6 245.56 50 24 SPY 2025-10-17 420.0 CALL 2025-09-19 09:54:00-04:00 10 46 242.38 50 10 46 245.89 50 25 SPY 2025-10-17 420.0 CALL 2025-09-19 09:55:00-04:00 10 46 242.26 50 10 46 245.77 50 26 SPY 2025-10-17 420.0 CALL 2025-09-19 09:56:00-04:00 10 46 242.26 50 10 46 245.77 50 27 SPY 2025-10-17 420.0 CALL 2025-09-19 09:57:00-04:00 50 4 242.44 50 10 46 245.60 50 28 SPY 2025-10-17 420.0 CALL 2025-09-19 09:58:00-04:00 100 9 242.15 50 10 46 245.63 50 29 SPY 2025-10-17 420.0 CALL 2025-09-19 09:59:00-04:00 100 9 242.15 50 10 46 245.37 50 30 SPY 2025-10-17 420.0 CALL 2025-09-19 10:00:00-04:00 100 9 242.15 50 2 76 245.52 50 ' python/polars: schema: *id038 example: 'shape: (31, 13) ┌────────┬────────────┬────────┬───────┬────────────────────────────────┬──────────┬──────────────┬────────┬───────────────┬──────────┬──────────────┬────────┬───────────────┐ │ symbol ┆ expiration ┆ strike ┆ right ┆ timestamp ┆ bid_size ┆ bid_exchange ┆ bid ┆ bid_condition ┆ ask_size ┆ ask_exchange ┆ ask ┆ ask_condition │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str ┆ datetime[ms, America/New_York] ┆ i64 ┆ i64 ┆ f64 ┆ i64 ┆ i64 ┆ i64 ┆ f64 ┆ i64 │ ╞════════╪════════════╪════════╪═══════╪════════════════════════════════╪══════════╪══════════════╪════════╪═══════════════╪══════════╪══════════════╪════════╪═══════════════╡ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:30:00 EDT ┆ 0 ┆ 5 ┆ 0.0 ┆ 50 ┆ 0 ┆ 5 ┆ 0.0 ┆ 50 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:31:00 EDT ┆ 1 ┆ 5 ┆ 241.85 ┆ 50 ┆ 11 ┆ 4 ┆ 245.21 ┆ 50 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:32:00 EDT ┆ 1 ┆ 5 ┆ 241.85 ┆ 50 ┆ 1 ┆ 69 ┆ 245.24 ┆ 50 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:33:00 EDT ┆ 1 ┆ 5 ┆ 241.85 ┆ 50 ┆ 30 ┆ 65 ┆ 245.05 ┆ 50 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:34:00 EDT ┆ 30 ┆ 42 ┆ 241.71 ┆ 50 ┆ 10 ┆ 46 ┆ 244.84 ┆ 50 │ │ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:56:00 EDT ┆ 10 ┆ 46 ┆ 242.26 ┆ 50 ┆ 10 ┆ 46 ┆ 245.77 ┆ 50 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:57:00 EDT ┆ 50 ┆ 4 ┆ 242.44 ┆ 50 ┆ 10 ┆ 46 ┆ 245.6 ┆ 50 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:58:00 EDT ┆ 100 ┆ 9 ┆ 242.15 ┆ 50 ┆ 10 ┆ 46 ┆ 245.63 ┆ 50 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:59:00 EDT ┆ 100 ┆ 9 ┆ 242.15 ┆ 50 ┆ 10 ┆ 46 ┆ 245.37 ┆ 50 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 10:00:00 EDT ┆ 100 ┆ 9 ┆ 242.15 ┆ 50 ┆ 2 ┆ 76 ┆ 245.52 ┆ 50 │ └────────┴────────────┴────────┴───────┴────────────────────────────────┴──────────┴──────────────┴────────┴───────────────┴──────────┴──────────────┴────────┴───────────────┘ ' /option/history/trade_quote: x-concurrent-limit-ttl-ms: '1110' x-min-subscription: standard x-history-access: true get: summary: Trade Quote operationId: option_history_trade_quote x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''pandas'') df = client.option_history_trade_quote(symbol=''AAPL'', expiration=date(2024, 11, 8)) ' - lang: Python label: polars source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''polars'') df = client.option_history_trade_quote(symbol=''AAPL'', expiration=date(2024, 11, 8)) ' tags: - Option description: "- Returns every [trade](/operations/option_history_trade.html) reported by [OPRA](/Articles/Data-And-Requests/The-SIPs.html) paired with the last NBBO quote reported by [OPRA](/Articles/Data-And-Requests/The-SIPs.html) at the time of trade.\n- A quote is matched with a trade if its timestamp ``<=`` the trade timestamp. \n- To match trades with quotes timestamps that are ``<`` the trade timestamp, specify the ``exclusive``parameter to ``true``. After thorough testing, we have determined that using ``exclusive=true`` might yield better results for various applications.\n- Multi-day requests are limited to 1 month of data, and must specify an expiration.\n" x-sample-urls: - url: http://127.0.0.1:25503/v3/option/history/trade_quote?symbol=AAPL&expiration=20241108&strike=220.000&right=call&date=20241104 description: Returns every trade quote for an option contract - url: http://127.0.0.1:25503/v3/option/history/trade_quote?symbol=AAPL&expiration=20241108&strike=220.000&right=call&start_date=20241104&end_date=20241110 description: Returns every trade quote for an option contract between the specified dates (inclusive) - url: http://127.0.0.1:25503/v3/option/history/trade_quote?symbol=AAPL&expiration=*&date=20241104 description: Returns every trade quote for all option contracts - url: http://127.0.0.1:25503/v3/option/history/trade_quote?symbol=AAPL&expiration=*&date=20241104&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/opt_date' - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/start_time' - $ref: '#/components/parameters/end_time' - $ref: '#/components/parameters/exclusive' - $ref: '#/components/parameters/max_dte' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/format' - $ref: '#/components/parameters/opt_start_date' - $ref: '#/components/parameters/opt_end_date' responses: '200': description: Returns every trade quote for an option contract content: text/csv: schema: type: array items: &id039 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. trade_timestamp: type: string format: date-time description: The trade date formated as YYYY-MM-DDTHH:mm:ss.SSS format. quote_timestamp: type: string format: date-time description: The quote date formated as YYYY-MM-DDTHH:mm:ss.SSS format. sequence: type: integer description: The exchange [sequence](/Articles/Data-And-Requests/Making-Requests.html#trade-sequences). ext_condition1: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition2: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition3: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition4: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. condition: type: integer description: The trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). size: type: integer description: The amount of contracts / shares traded. exchange: type: integer description: The [exchange](/Articles/Errors-Exchanges-Conditions/Exchanges.html) the trade was executed. price: type: number description: The trade price. bid_size: type: integer description: The last NBBO bid size. bid_exchange: type: integer description: The last NBBO bid [exchange](/Articles/Errors-Exchanges-Conditions/Exchanges.html). bid: type: number description: The last NBBO bid price. bid_condition: type: integer description: The last NBBO bid [condition](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). ask_size: type: integer description: The last NBBO ask size. ask_exchange: type: integer description: The last NBBO ask [exchange](/Articles/Errors-Exchanges-Conditions/Exchanges.html). ask: type: number description: The last NBBO ask price. ask_condition: type: integer description: The last NBBO ask [condition](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). example: "symbol,expiration,strike,right,trade_timestamp,quote_timestamp,sequence,ext_condition1,ext_condition2,ext_condition3,ext_condition4,condition,size,exchange,price,bid_size,bid_exchange,bid,bid_condition,ask_size,ask_exchange,ask,ask_condition\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:00.471,2024-11-04T09:30:00.396,18902138,255,255,255,255,130,2,22,3.90,14,47,3.90,50,14,47,4.05,50\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:01.626,2024-11-04T09:30:01.594,19368856,255,255,255,255,130,1,6,4.25,93,76,4.15,50,35,73,4.30,50\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:01.698,2024-11-04T09:30:01.643,19403970,255,255,255,255,130,1,6,4.22,59,69,4.15,50,59,69,4.30,50\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:02.064,2024-11-04T09:30:02.039,19598457,255,255,255,255,18,1,5,4.15,31,69,4.15,50,81,11,4.30,50\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:02.064,2024-11-04T09:30:02.039,19598464,255,255,255,255,18,1,5,4.15,31,69,4.15,50,81,11,4.30,50\r\n" application/json: schema: &id040 type: array items: *id039 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":220.000,\"right\":\"CALL\",\"expiration\":\"2024-11-08\"},\n \"data\": [\n {\"ask_size\":14,\"trade_timestamp\":\"2024-11-04T09:30:00.471\",\"ask_condition\":50,\"sequence\":18902138,\"condition\":130,\"size\":2,\"bid_size\":14,\"ask_exchange\":47,\"price\":3.90,\"ext_condition2\":255,\"bid_exchange\":47,\"ask\":4.05,\"quote_timestamp\":\"2024-11-04T09:30:00.396\",\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":22,\"ext_condition3\":255,\"bid\":3.90,\"bid_condition\":50},\n {\"ask_size\":35,\"trade_timestamp\":\"2024-11-04T09:30:01.626\",\"ask_condition\":50,\"sequence\":19368856,\"condition\":130,\"size\":1,\"bid_size\":93,\"ask_exchange\":73,\"price\":4.25,\"ext_condition2\":255,\"bid_exchange\":76,\"ask\":4.30,\"quote_timestamp\":\"2024-11-04T09:30:01.594\",\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":6,\"ext_condition3\":255,\"bid\":4.15,\"bid_condition\":50},\n {\"ask_size\":59,\"trade_timestamp\":\"2024-11-04T09:30:01.698\",\"ask_condition\":50,\"sequence\":19403970,\"condition\":130,\"size\":1,\"bid_size\":59,\"ask_exchange\":69,\"price\":4.22,\"ext_condition2\":255,\"bid_exchange\":69,\"ask\":4.30,\"quote_timestamp\":\"2024-11-04T09:30:01.643\",\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":6,\"ext_condition3\":255,\"bid\":4.15,\"bid_condition\":50},\n {\"ask_size\":81,\"trade_timestamp\":\"2024-11-04T09:30:02.064\",\"ask_condition\":50,\"sequence\":19598457,\"condition\":18,\"size\":1,\"bid_size\":31,\"ask_exchange\":11,\"price\":4.15,\"ext_condition2\":255,\"bid_exchange\":69,\"ask\":4.30,\"quote_timestamp\":\"2024-11-04T09:30:02.039\",\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":5,\"ext_condition3\":255,\"bid\":4.15,\"bid_condition\":50},\n {\"ask_size\":81,\"trade_timestamp\":\"2024-11-04T09:30:02.064\",\"ask_condition\":50,\"sequence\":19598464,\"condition\":18,\"size\":1,\"bid_size\":31,\"ask_exchange\":11,\"price\":4.15,\"ext_condition2\":255,\"bid_exchange\":69,\"ask\":4.30,\"quote_timestamp\":\"2024-11-04T09:30:02.039\",\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":5,\"ext_condition3\":255,\"bid\":4.15,\"bid_condition\":50} \n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id040 example: '{"symbol":"AAPL","ask_size":14,"trade_timestamp":"2024-11-04T09:30:00.471","ask_condition":50,"strike":220.000,"right":"CALL","sequence":18902138,"condition":130,"size":2,"bid_size":14,"ask_exchange":47,"price":3.90,"ext_condition2":255,"bid_exchange":47,"ask":4.05,"quote_timestamp":"2024-11-04T09:30:00.396","ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":22,"ext_condition3":255,"bid":3.90,"bid_condition":50} {"symbol":"AAPL","ask_size":35,"trade_timestamp":"2024-11-04T09:30:01.626","ask_condition":50,"strike":220.000,"right":"CALL","sequence":19368856,"condition":130,"size":1,"bid_size":93,"ask_exchange":73,"price":4.25,"ext_condition2":255,"bid_exchange":76,"ask":4.30,"quote_timestamp":"2024-11-04T09:30:01.594","ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":6,"ext_condition3":255,"bid":4.15,"bid_condition":50} {"symbol":"AAPL","ask_size":59,"trade_timestamp":"2024-11-04T09:30:01.698","ask_condition":50,"strike":220.000,"right":"CALL","sequence":19403970,"condition":130,"size":1,"bid_size":59,"ask_exchange":69,"price":4.22,"ext_condition2":255,"bid_exchange":69,"ask":4.30,"quote_timestamp":"2024-11-04T09:30:01.643","ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":6,"ext_condition3":255,"bid":4.15,"bid_condition":50} {"symbol":"AAPL","ask_size":81,"trade_timestamp":"2024-11-04T09:30:02.064","ask_condition":50,"strike":220.000,"right":"CALL","sequence":19598457,"condition":18,"size":1,"bid_size":31,"ask_exchange":11,"price":4.15,"ext_condition2":255,"bid_exchange":69,"ask":4.30,"quote_timestamp":"2024-11-04T09:30:02.039","ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":5,"ext_condition3":255,"bid":4.15,"bid_condition":50} {"symbol":"AAPL","ask_size":81,"trade_timestamp":"2024-11-04T09:30:02.064","ask_condition":50,"strike":220.000,"right":"CALL","sequence":19598464,"condition":18,"size":1,"bid_size":31,"ask_exchange":11,"price":4.15,"ext_condition2":255,"bid_exchange":69,"ask":4.30,"quote_timestamp":"2024-11-04T09:30:02.039","ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":5,"ext_condition3":255,"bid":4.15,"bid_condition":50}' python/pandas: schema: *id040 example: 'symbol expiration strike right trade_timestamp quote_timestamp sequence ext_condition1 ext_condition2 ext_condition3 ext_condition4 condition size exchange price bid_size bid_exchange bid bid_condition ask_size ask_exchange ask ask_condition 0 AAPL 2025-11-07 220.0 CALL 2025-11-04 10:15:30.932000-05:00 2025-11-04 10:15:30.932000-05:00 2007064912 255 255 255 255 18 11 7 48.30 10 5 48.30 50 172 4 49.10 50 1 AAPL 2025-11-07 220.0 CALL 2025-11-04 10:50:31.982000-05:00 2025-11-04 10:50:31.982000-05:00 -2145289500 255 255 255 255 18 7 7 48.30 2 76 47.95 50 323 4 49.05 50 2 AAPL 2025-11-07 220.0 CALL 2025-11-04 15:45:43.083000-05:00 2025-11-04 15:45:33.488000-05:00 -1190941781 255 255 255 255 131 2 65 50.31 348 4 49.95 50 179 4 50.80 50 ' python/polars: schema: *id040 example: 'shape: (3, 23) ┌────────┬────────────┬────────┬───────┬────────────────────────────────┬────────────────────────────────┬─────────────┬────────────────┬────────────────┬────────────────┬────────────────┬───────────┬──────┬──────────┬───────┬──────────┬──────────────┬───────┬───────────────┬──────────┬──────────────┬───────┬───────────────┐ │ symbol ┆ expiration ┆ strike ┆ right ┆ trade_timestamp ┆ quote_timestamp ┆ sequence ┆ ext_condition1 ┆ ext_condition2 ┆ ext_condition3 ┆ ext_condition4 ┆ condition ┆ size ┆ exchange ┆ price ┆ bid_size ┆ bid_exchange ┆ bid ┆ bid_condition ┆ ask_size ┆ ask_exchange ┆ ask ┆ ask_condition │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str ┆ datetime[ms, America/New_York] ┆ datetime[ms, America/New_York] ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ f64 ┆ i64 ┆ i64 ┆ f64 ┆ i64 ┆ i64 ┆ i64 ┆ f64 ┆ i64 │ ╞════════╪════════════╪════════╪═══════╪════════════════════════════════╪════════════════════════════════╪═════════════╪════════════════╪════════════════╪════════════════╪════════════════╪═══════════╪══════╪══════════╪═══════╪══════════╪══════════════╪═══════╪═══════════════╪══════════╪══════════════╪═══════╪═══════════════╡ │ AAPL ┆ 2025-11-07 ┆ 220.0 ┆ CALL ┆ 2025-11-04 10:15:30.932 EST ┆ 2025-11-04 10:15:30.932 EST ┆ 2007064912 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 11 ┆ 7 ┆ 48.3 ┆ 10 ┆ 5 ┆ 48.3 ┆ 50 ┆ 172 ┆ 4 ┆ 49.1 ┆ 50 │ │ AAPL ┆ 2025-11-07 ┆ 220.0 ┆ CALL ┆ 2025-11-04 10:50:31.982 EST ┆ 2025-11-04 10:50:31.982 EST ┆ -2145289500 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 7 ┆ 7 ┆ 48.3 ┆ 2 ┆ 76 ┆ 47.95 ┆ 50 ┆ 323 ┆ 4 ┆ 49.05 ┆ 50 │ │ AAPL ┆ 2025-11-07 ┆ 220.0 ┆ CALL ┆ 2025-11-04 15:45:43.083 EST ┆ 2025-11-04 15:45:33.488 EST ┆ -1190941781 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 131 ┆ 2 ┆ 65 ┆ 50.31 ┆ 348 ┆ 4 ┆ 49.95 ┆ 50 ┆ 179 ┆ 4 ┆ 50.8 ┆ 50 │ └────────┴────────────┴────────┴───────┴────────────────────────────────┴────────────────────────────────┴─────────────┴────────────────┴────────────────┴────────────────┴────────────────┴───────────┴──────┴──────────┴───────┴──────────┴──────────────┴───────┴───────────────┴──────────┴──────────────┴───────┴───────────────┘ ' /option/history/open_interest: x-concurrent-limit-ttl-ms: '1191' x-min-subscription: value x-history-access: true get: summary: Open Interest operationId: option_history_open_interest x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''pandas'') df = client.option_history_open_interest(symbol=''AAPL'', expiration=date(2024, 11, 8)) ' - lang: Python label: polars source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''polars'') df = client.option_history_open_interest(symbol=''AAPL'', expiration=date(2024, 11, 8)) ' tags: - Option description: '- Open Interest is normally reported once per day by [OPRA](/Articles/Data-And-Requests/The-SIPs.html) at approximately 06:30 ET. - A new open interest message might not be sent by [OPRA](/Articles/Data-And-Requests/The-SIPs.html) if there is no open interest for the option contract. - The reported open interest represents the open interest at the end of the previous trading day. ' x-sample-urls: - url: http://127.0.0.1:25503/v3/option/history/open_interest?symbol=AAPL&expiration=20241108&strike=220.000&right=call&date=20241104 description: Returns open interest for an option contract - url: http://127.0.0.1:25503/v3/option/history/open_interest?symbol=AAPL&expiration=20241108&strike=220.000&right=call&start_date=20241104&end_date=20241107 description: Returns open interest for an option contract between the specified dates (inclusive) - url: http://127.0.0.1:25503/v3/option/history/open_interest?symbol=AAPL&expiration=*&date=20241104 description: Returns open interest for all option contracts - url: http://127.0.0.1:25503/v3/option/history/open_interest?symbol=AAPL&expiration=*&date=20241104&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/opt_date' - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/max_dte' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/format' - $ref: '#/components/parameters/opt_start_date' - $ref: '#/components/parameters/opt_end_date' responses: '200': description: Returns open interest for an option contract content: text/csv: schema: type: array items: &id041 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. open_interest: type: integer description: The total amount of outstanding contracts. example: "symbol,expiration,strike,right,timestamp,open_interest\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T06:30:04,2732\r\n" application/json: schema: &id042 type: array items: *id041 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":220.000,\"right\":\"CALL\",\"expiration\":\"2024-11-08\"},\n \"data\": [\n {\"open_interest\":2732,\"timestamp\":\"2024-11-04T06:30:04\"}\n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id042 example: '{"symbol":"AAPL","strike":220.000,"open_interest":2732,"expiration":"2024-11-08","right":"CALL","timestamp":"2024-11-04T06:30:04"}' python/pandas: schema: *id042 example: 'symbol expiration strike right timestamp open_interest 0 SPY 2025-10-17 420.0 CALL 2025-09-19 06:30:00.997000-04:00 3 ' python/polars: schema: *id042 example: 'shape: (1, 6) ┌────────┬────────────┬────────┬───────┬────────────────────────────────┬───────────────┐ │ symbol ┆ expiration ┆ strike ┆ right ┆ timestamp ┆ open_interest │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str ┆ datetime[ms, America/New_York] ┆ i64 │ ╞════════╪════════════╪════════╪═══════╪════════════════════════════════╪═══════════════╡ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 06:30:00.997 EDT ┆ 3 │ └────────┴────────────┴────────┴───────┴────────────────────────────────┴───────────────┘ ' /option/history/greeks/eod: x-concurrent-limit-ttl-ms: '820' x-min-subscription: standard x-history-access: true get: summary: End of Day Greeks operationId: option_history_greeks_eod x-codeSamples: - lang: Python label: pandas source: "from thetadata import ThetaClient\nfrom datetime import date\n\nclient = ThetaClient(dataframe_type='pandas')\ndf = client.option_history_greeks_eod(\n symbol='AAPL',\n expiration=date(2024, 11, 8),\n start_date=date(2024, 11, 4),\n end_date=date(2024, 11, 4),\n)\n" - lang: Python label: polars source: "from thetadata import ThetaClient\nfrom datetime import date\n\nclient = ThetaClient(dataframe_type='polars')\ndf = client.option_history_greeks_eod(\n symbol='AAPL',\n expiration=date(2024, 11, 8),\n start_date=date(2024, 11, 4),\n end_date=date(2024, 11, 4),\n)\n" tags: - Option description: "- Returns the data for all contracts that share the same provided symbol and expiration. \n- 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.\n- **Set `expiration` to ``*`` if you want to retrieve data for every option that shares the same ``symbol``. (note: Any ``expiration=*`` must be requested day by day)**\n" x-sample-urls: - url: http://127.0.0.1:25503/v3/option/history/greeks/eod?symbol=AAPL&expiration=20241108&strike=220.000&right=call&start_date=20241104&end_date=20241104 description: Returns EOD report for an option contract - url: http://127.0.0.1:25503/v3/option/history/greeks/eod?symbol=AAPL&expiration=*&start_date=20241104&end_date=20241104 description: Returns EOD report for all option contracts - url: http://127.0.0.1:25503/v3/option/history/greeks/eod?symbol=AAPL&expiration=*&start_date=20241104&end_date=20241104&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/start_date' - $ref: '#/components/parameters/end_date' - $ref: '#/components/parameters/annual_dividend' - $ref: '#/components/parameters/rate_type' - $ref: '#/components/parameters/rate_value' - $ref: '#/components/parameters/greeks_version' - $ref: '#/components/parameters/underlyer_use_nbbo' - $ref: '#/components/parameters/max_dte' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/format' responses: '200': description: Returns EOD report for an option contract content: text/csv: schema: type: array items: &id043 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. open: type: number description: The opening trade price. high: type: number description: The highest traded price. low: type: number description: The lowest traded price. close: type: number description: The closing traded price. volume: type: integer description: The amount of contracts / shares traded. count: type: integer description: The amount of trades. bid_size: type: integer description: The last NBBO bid size. bid_exchange: type: integer description: The last NBBO bid [exchange](/Articles/Errors-Exchanges-Conditions/Exchanges.html). bid: type: number description: The last NBBO bid price. bid_condition: type: integer description: The last NBBO bid [condition](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). ask_size: type: integer description: The last NBBO ask size. ask_exchange: type: integer description: The last NBBO ask [exchange](/Articles/Errors-Exchanges-Conditions/Exchanges.html). ask: type: number description: The last NBBO ask price. ask_condition: type: integer description: The last NBBO ask [condition](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). delta: type: number description: The delta. theta: type: string description: The Theta. vega: type: number description: The vega. rho: type: number description: The rho. epsilon: type: string description: The epsilon. lambda: type: number description: The lambda. gamma: type: number description: The gamma. vanna: type: string description: The vanna. charm: type: number description: The charm. vomma: type: number description: The vomma. veta: type: number description: The veta. vera: type: number description: The vera. speed: type: number description: The speed. zomma: type: number description: The zomma. color: type: string description: The color. ultima: type: string description: The ultima. d1: type: number description: The d1. d2: type: number description: The d2. dual_delta: type: string description: The dual delta. dual_gamma: type: number description: The dual gamma. implied_vol: type: number description: The implied volatiltiy calculated using the trade price. iv_error: type: number description: '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.' underlying_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,open,high,low,close,volume,count,bid_size,bid_exchange,bid,bid_condition,ask_size,ask_exchange,ask,ask_condition,delta,theta,vega,rho,epsilon,lambda,gamma,vanna,charm,vomma,veta,vera,speed,zomma,color,ultima,d1,d2,dual_delta,dual_gamma,implied_vol,iv_error,underlying_timestamp,underlying_price\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T15:59:59.828,3.90,4.85,3.35,4.15,7425,1511,9,11,4.10,50,12,5,4.25,50,0.6083,-0.3892,8.9221,1.4334,-1.4791,32.3623,0.0495,-0.2765,3.6779,1.7667,0.0149,0.0000,0.0000,0.0000,-0.0163,-15.6407,0.2750,0.2401,-0.5945,0.0000,0.3334,0.0001,2024-11-04T17:15:28.71,221.870\r\n" application/json: schema: &id044 type: array items: *id043 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":220.000,\"right\":\"CALL\",\"expiration\":\"2024-11-08\"},\n \"data\": [\n {\"ask_size\":12,\"dual_delta\":-0.5945,\"color\":-0.0163,\"zomma\":0.0000,\"delta\":0.6083,\"implied_vol\":0.3334,\"theta\":-0.3892,\"d1\":0.2750,\"speed\":0.0000,\"d2\":0.2401,\"epsilon\":-1.4791,\"high\":4.85,\"lambda\":32.3623,\"low\":3.35,\"ask_exchange\":5,\"bid_exchange\":11,\"vomma\":1.7667,\"bid_condition\":50,\"underlying_timestamp\":\"2024-11-04T17:15:28.71\",\"close\":4.15,\"timestamp\":\"2024-11-04T15:59:59.828\",\"underlying_price\":221.870,\"ask_condition\":50,\"count\":1511,\"vera\":0.0000,\"veta\":0.0149,\"iv_error\":0.0001,\"ultima\":-15.6407,\"volume\":7425,\"charm\":3.6779,\"bid_size\":9,\"ask\":4.25,\"rho\":1.4334,\"vanna\":-0.2765,\"dual_gamma\":0.0000,\"bid\":4.10,\"open\":3.90,\"vega\":8.9221,\"gamma\":0.0495}\n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id044 example: '{"symbol":"AAPL","ask_size":12,"dual_delta":-0.5945,"color":-0.0163,"zomma":0.0000,"delta":0.6083,"implied_vol":0.3334,"theta":-0.3892,"d1":0.2750,"speed":0.0000,"d2":0.2401,"epsilon":-1.4791,"high":4.85,"lambda":32.3623,"low":3.35,"ask_exchange":5,"bid_exchange":11,"vomma":1.7667,"bid_condition":50,"underlying_timestamp":"2024-11-04T17:15:28.71","close":4.15,"timestamp":"2024-11-04T15:59:59.828","underlying_price":221.870,"ask_condition":50,"strike":220.000,"count":1511,"vera":0.0000,"right":"CALL","veta":0.0149,"iv_error":0.0001,"ultima":-15.6407,"volume":7425,"charm":3.6779,"bid_size":9,"ask":4.25,"rho":1.4334,"expiration":"2024-11-08","vanna":-0.2765,"dual_gamma":0.0000,"bid":4.10,"open":3.90,"vega":8.9221,"gamma":0.0495}' python/pandas: schema: *id044 example: 'symbol expiration strike right timestamp open high low close volume count bid_size bid_exchange bid bid_condition ask_size ask_exchange ask ask_condition delta theta vega rho epsilon lambda gamma vanna charm vomma veta vera speed zomma color ultima d1 d2 dual_delta dual_gamma implied_vol iv_error underlying_timestamp underlying_price 0 SPY 2025-10-17 420.0 CALL 2025-10-02 00:00:00-04:00 0.0 0.0 0.0 0.0 0 0 8 7 248.73 50 60 4 251.53 50 0.9954 -0.1025 1.7913 17.0986 -27.3779 2.6634 0.0001 -0.0349 0.3866 12.3821 158.7341 -1.035 0.0 0.0006 0.0068 44.9632 2.6108 2.4251 -0.9906 0.0002 0.916 0.0000 2025-10-02 17:15:37.150000-04:00 669.22 1 SPY 2025-10-17 420.0 CALL 2025-10-03 00:00:00-04:00 0.0 0.0 0.0 0.0 0 0 16 42 248.23 50 10 9 251.05 50 1.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.000 0.0 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.000 0.0009 2025-10-03 17:15:42.078000-04:00 669.21 ' python/polars: schema: *id044 example: 'shape: (2, 43) ┌────────┬────────────┬────────┬───────┬────────────────────────────────┬──────┬──────┬─────┬───────┬────────┬───────┬──────────┬──────────────┬────────┬───────────────┬──────────┬──────────────┬────────┬───────────────┬────────┬─────────┬────────┬─────────┬──────────┬────────┬────────┬─────────┬────────┬─────────┬──────────┬────────┬───────┬────────┬────────┬─────────┬────────┬────────┬────────────┬────────────┬─────────────┬──────────┬────────────────────────────────┬──────────────────┐ │ symbol ┆ expiration ┆ strike ┆ right ┆ timestamp ┆ open ┆ high ┆ low ┆ close ┆ volume ┆ count ┆ bid_size ┆ bid_exchange ┆ bid ┆ bid_condition ┆ ask_size ┆ ask_exchange ┆ ask ┆ ask_condition ┆ delta ┆ theta ┆ vega ┆ rho ┆ epsilon ┆ lambda ┆ gamma ┆ vanna ┆ charm ┆ vomma ┆ veta ┆ vera ┆ speed ┆ zomma ┆ color ┆ ultima ┆ d1 ┆ d2 ┆ dual_delta ┆ dual_gamma ┆ implied_vol ┆ iv_error ┆ underlying_timestamp ┆ underlying_price │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str ┆ datetime[ms, America/New_York] ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ f64 ┆ i64 ┆ i64 ┆ i64 ┆ f64 ┆ i64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ datetime[ms, America/New_York] ┆ f64 │ ╞════════╪════════════╪════════╪═══════╪════════════════════════════════╪══════╪══════╪═════╪═══════╪════════╪═══════╪══════════╪══════════════╪════════╪═══════════════╪══════════╪══════════════╪════════╪═══════════════╪════════╪═════════╪════════╪═════════╪══════════╪════════╪════════╪═════════╪════════╪═════════╪══════════╪════════╪═══════╪════════╪════════╪═════════╪════════╪════════╪════════════╪════════════╪═════════════╪══════════╪════════════════════════════════╪══════════════════╡ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-10-02 00:00:00 EDT ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0 ┆ 0 ┆ 8 ┆ 7 ┆ 248.73 ┆ 50 ┆ 60 ┆ 4 ┆ 251.53 ┆ 50 ┆ 0.9954 ┆ -0.1025 ┆ 1.7913 ┆ 17.0986 ┆ -27.3779 ┆ 2.6634 ┆ 0.0001 ┆ -0.0349 ┆ 0.3866 ┆ 12.3821 ┆ 158.7341 ┆ -1.035 ┆ 0.0 ┆ 0.0006 ┆ 0.0068 ┆ 44.9632 ┆ 2.6108 ┆ 2.4251 ┆ -0.9906 ┆ 0.0002 ┆ 0.916 ┆ 0.0 ┆ 2025-10-02 17:15:37.150 EDT ┆ 669.22 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-10-03 00:00:00 EDT ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0 ┆ 0 ┆ 16 ┆ 42 ┆ 248.23 ┆ 50 ┆ 10 ┆ 9 ┆ 251.05 ┆ 50 ┆ 1.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0009 ┆ 2025-10-03 17:15:42.078 EDT ┆ 669.21 │ └────────┴────────────┴────────┴───────┴────────────────────────────────┴──────┴──────┴─────┴───────┴────────┴───────┴──────────┴──────────────┴────────┴───────────────┴──────────┴──────────────┴────────┴───────────────┴────────┴─────────┴────────┴─────────┴──────────┴────────┴────────┴─────────┴────────┴─────────┴──────────┴────────┴───────┴────────┴────────┴─────────┴────────┴────────┴────────────┴────────────┴─────────────┴──────────┴────────────────────────────────┴──────────────────┘ ' /option/history/greeks/all: x-concurrent-limit-ttl-ms: '5944' x-min-subscription: professional x-history-access: true get: summary: All Greeks operationId: option_history_greeks_all x-codeSamples: - lang: Python label: pandas source: "from thetadata import ThetaClient\nfrom datetime import date\n\nclient = ThetaClient(dataframe_type='pandas')\ndf = client.option_history_greeks_all(\n symbol='AAPL',\n expiration=date(2024, 11, 8),\n interval='10m',\n)\n" - lang: Python label: polars source: "from thetadata import ThetaClient\nfrom datetime import date\n\nclient = ThetaClient(dataframe_type='polars')\ndf = client.option_history_greeks_all(\n symbol='AAPL',\n expiration=date(2024, 11, 8),\n interval='10m',\n)\n" tags: - Option description: "- Returns the data for all contracts that share the same provided symbol and expiration. \n- 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](/operations/option_history_quote.html) endpoint. \n- The underlying price represents whatever the last underlying price was at the ``timestamp`` field. You can read more about how Theta Data calculates greeks [here](/Articles/Data-And-Requests/Option-Greeks.html).\n- Multi-day requests are limited to 1 month of data.\n" x-sample-urls: - url: http://127.0.0.1:25503/v3/option/history/greeks/all?symbol=AAPL&expiration=20241108&date=20241104&interval=10m description: Returns all greeks for an option contract - url: http://127.0.0.1:25503/v3/option/history/greeks/all?symbol=AAPL&expiration=20241108&date=20241104&interval=10m&format=html description: Click to open in browser (HTML) - url: http://127.0.0.1:25503/v3/option/history/greeks/all?symbol=AAPL&expiration=20241108&start_date=20241104&end_date=20241111&interval=10m description: Returns all greeks for an option contract between the specified dates (inclusive) - url: http://127.0.0.1:25503/v3/option/history/greeks/all?symbol=AAPL&expiration=20241108&start_date=20241104&end_date=20241111&interval=10m&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/opt_date' - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration_no_star' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/start_time' - $ref: '#/components/parameters/end_time' - $ref: '#/components/parameters/interval' - $ref: '#/components/parameters/annual_dividend' - $ref: '#/components/parameters/rate_type' - $ref: '#/components/parameters/rate_value' - $ref: '#/components/parameters/greeks_version' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/format' - $ref: '#/components/parameters/opt_start_date' - $ref: '#/components/parameters/opt_end_date' responses: '200': description: Returns all greeks for an option contract content: text/csv: schema: type: array items: &id045 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid: type: number description: The last NBBO bid price. ask: type: number description: The last NBBO ask price. delta: type: number description: The delta. theta: type: number description: The Theta. vega: type: number description: The vega. rho: type: number description: The rho. epsilon: type: number description: The epsilon. lambda: type: number description: The lambda. gamma: type: number description: The gamma. vanna: type: number description: The vanna. charm: type: number description: The charm. vomma: type: number description: The vomma. veta: type: number description: The veta. vera: type: number description: The vera. speed: type: number description: The speed. zomma: type: number description: The zomma. color: type: number description: The color. ultima: type: number description: The ultima. d1: type: string description: The d1. d2: type: string description: The d2. dual_delta: type: number description: The dual delta. dual_gamma: type: number description: The dual gamma. implied_vol: type: number description: The implied volatiltiy calculated using the trade price. iv_error: type: number description: '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.' underlying_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,bid,ask,delta,theta,vega,rho,epsilon,lambda,gamma,vanna,charm,vomma,veta,vera,speed,zomma,color,ultima,d1,d2,dual_delta,dual_gamma,implied_vol,iv_error,underlying_timestamp,underlying_price\r\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:30:00,0.00,0.00,0.0000,0.0000,0.0000,0.0000,0.0000,261.9304,0.0000,0.0000,0.0000,0.0000,0.0000,0.0000,0.0000,0.0000,0.0000,0.0001,-6.5422,-6.5683,0.0000,0.0000,0.2500,100.0000,2024-11-04T09:30:00,221.00\r\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:40:00,0.00,0.02,0.0026,-0.0138,0.1873,0.0062,-0.0063,55.3974,0.0005,0.0393,-1.0623,2.5389,0.0136,0.0000,0.0000,0.0000,-0.0005,21.4427,-2.7911,-2.8526,-0.0021,0.0000,0.5874,0.0455,2024-11-04T09:40:00,220.56\r\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:50:00,0.00,0.02,0.0025,-0.0130,0.1807,0.0059,-0.0060,56.7822,0.0005,0.0388,-1.0265,2.5262,0.0133,0.0000,0.0000,0.0000,-0.0005,22.1272,-2.8050,-2.8652,-0.0020,0.0000,0.5749,-0.0199,2024-11-04T09:50:00,221.20\r\nAAPL,2024-11-08,262.500,CALL,2024-11-04T10:00:00,0.00,0.02,0.0025,-0.0129,0.1825,0.0060,-0.0061,57.9900,0.0006,0.0399,-1.0319,2.6034,0.0136,0.0000,0.0000,0.0000,-0.0005,23.2345,-2.8027,-2.8616,-0.0021,0.0000,0.5625,-0.0299,2024-11-04T10:00:00,222.06\r\nAAPL,2024-11-08,262.500,CALL,2024-11-04T10:10:00,0.00,0.01,0.0000,0.0000,0.0000,0.0000,0.0000,254.5285,0.0000,0.0000,0.0000,0.0000,0.0000,0.0000,0.0000,0.0000,0.0000,0.0004,-6.3404,-6.3666,0.0000,0.0000,0.2500,100.0000,2024-11-04T10:10:00,222.17\r\n" application/json: schema: &id046 type: array items: *id045 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":262.500,\"right\":\"CALL\",\"expiration\":\"2024-11-08\"},\n \"data\": [\n {\"dual_delta\":0.0000,\"color\":0.0000,\"zomma\":0.0000,\"delta\":0.0000,\"implied_vol\":0.2500,\"theta\":0.0000,\"d1\":-6.5422,\"speed\":0.0000,\"d2\":-6.5683,\"epsilon\":0.0000,\"lambda\":261.9304,\"vomma\":0.0000,\"underlying_timestamp\":\"2024-11-04T09:30:00\",\"timestamp\":\"2024-11-04T09:30:00\",\"underlying_price\":221.00,\"vera\":0.0000,\"veta\":0.0000,\"iv_error\":100.0000,\"ultima\":0.0001,\"charm\":0.0000,\"ask\":0.00,\"rho\":0.0000,\"vanna\":0.0000,\"dual_gamma\":0.0000,\"bid\":0.00,\"vega\":0.0000,\"gamma\":0.0000},\n {\"dual_delta\":-0.0021,\"color\":-0.0005,\"zomma\":0.0000,\"delta\":0.0026,\"implied_vol\":0.5874,\"theta\":-0.0138,\"d1\":-2.7911,\"speed\":0.0000,\"d2\":-2.8526,\"epsilon\":-0.0063,\"lambda\":55.3974,\"vomma\":2.5389,\"underlying_timestamp\":\"2024-11-04T09:40:00\",\"timestamp\":\"2024-11-04T09:40:00\",\"underlying_price\":220.56,\"vera\":0.0000,\"veta\":0.0136,\"iv_error\":0.0455,\"ultima\":21.4427,\"charm\":-1.0623,\"ask\":0.02,\"rho\":0.0062,\"vanna\":0.0393,\"dual_gamma\":0.0000,\"bid\":0.00,\"vega\":0.1873,\"gamma\":0.0005},\n {\"dual_delta\":-0.0020,\"color\":-0.0005,\"zomma\":0.0000,\"delta\":0.0025,\"implied_vol\":0.5749,\"theta\":-0.0130,\"d1\":-2.8050,\"speed\":0.0000,\"d2\":-2.8652,\"epsilon\":-0.0060,\"lambda\":56.7822,\"vomma\":2.5262,\"underlying_timestamp\":\"2024-11-04T09:50:00\",\"timestamp\":\"2024-11-04T09:50:00\",\"underlying_price\":221.20,\"vera\":0.0000,\"veta\":0.0133,\"iv_error\":-0.0199,\"ultima\":22.1272,\"charm\":-1.0265,\"ask\":0.02,\"rho\":0.0059,\"vanna\":0.0388,\"dual_gamma\":0.0000,\"bid\":0.00,\"vega\":0.1807,\"gamma\":0.0005},\n {\"dual_delta\":-0.0021,\"color\":-0.0005,\"zomma\":0.0000,\"delta\":0.0025,\"implied_vol\":0.5625,\"theta\":-0.0129,\"d1\":-2.8027,\"speed\":0.0000,\"d2\":-2.8616,\"epsilon\":-0.0061,\"lambda\":57.9900,\"vomma\":2.6034,\"underlying_timestamp\":\"2024-11-04T10:00:00\",\"timestamp\":\"2024-11-04T10:00:00\",\"underlying_price\":222.06,\"vera\":0.0000,\"veta\":0.0136,\"iv_error\":-0.0299,\"ultima\":23.2345,\"charm\":-1.0319,\"ask\":0.02,\"rho\":0.0060,\"vanna\":0.0399,\"dual_gamma\":0.0000,\"bid\":0.00,\"vega\":0.1825,\"gamma\":0.0006},\n {\"dual_delta\":0.0000,\"color\":0.0000,\"zomma\":0.0000,\"delta\":0.0000,\"implied_vol\":0.2500,\"theta\":0.0000,\"d1\":-6.3404,\"speed\":0.0000,\"d2\":-6.3666,\"epsilon\":0.0000,\"lambda\":254.5285,\"vomma\":0.0000,\"underlying_timestamp\":\"2024-11-04T10:10:00\",\"timestamp\":\"2024-11-04T10:10:00\",\"underlying_price\":222.17,\"vera\":0.0000,\"veta\":0.0000,\"iv_error\":100.0000,\"ultima\":0.0004,\"charm\":0.0000,\"ask\":0.01,\"rho\":0.0000,\"vanna\":0.0000,\"dual_gamma\":0.0000,\"bid\":0.00,\"vega\":0.0000,\"gamma\":0.0000}\n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id046 example: '{"symbol":"AAPL","dual_delta":0.0000,"color":0.0000,"zomma":0.0000,"delta":0.0000,"implied_vol":0.2500,"theta":0.0000,"d1":-6.5422,"speed":0.0000,"d2":-6.5683,"epsilon":0.0000,"lambda":261.9304,"vomma":0.0000,"underlying_timestamp":"2024-11-04T09:30:00","timestamp":"2024-11-04T09:30:00","underlying_price":221.00,"strike":262.500,"vera":0.0000,"right":"CALL","veta":0.0000,"iv_error":100.0000,"ultima":0.0001,"charm":0.0000,"ask":0.00,"rho":0.0000,"expiration":"2024-11-08","vanna":0.0000,"dual_gamma":0.0000,"bid":0.00,"vega":0.0000,"gamma":0.0000} {"symbol":"AAPL","dual_delta":-0.0021,"color":-0.0005,"zomma":0.0000,"delta":0.0026,"implied_vol":0.5874,"theta":-0.0138,"d1":-2.7911,"speed":0.0000,"d2":-2.8526,"epsilon":-0.0063,"lambda":55.3974,"vomma":2.5389,"underlying_timestamp":"2024-11-04T09:40:00","timestamp":"2024-11-04T09:40:00","underlying_price":220.56,"strike":262.500,"vera":0.0000,"right":"CALL","veta":0.0136,"iv_error":0.0455,"ultima":21.4427,"charm":-1.0623,"ask":0.02,"rho":0.0062,"expiration":"2024-11-08","vanna":0.0393,"dual_gamma":0.0000,"bid":0.00,"vega":0.1873,"gamma":0.0005} {"symbol":"AAPL","dual_delta":-0.0020,"color":-0.0005,"zomma":0.0000,"delta":0.0025,"implied_vol":0.5749,"theta":-0.0130,"d1":-2.8050,"speed":0.0000,"d2":-2.8652,"epsilon":-0.0060,"lambda":56.7822,"vomma":2.5262,"underlying_timestamp":"2024-11-04T09:50:00","timestamp":"2024-11-04T09:50:00","underlying_price":221.20,"strike":262.500,"vera":0.0000,"right":"CALL","veta":0.0133,"iv_error":-0.0199,"ultima":22.1272,"charm":-1.0265,"ask":0.02,"rho":0.0059,"expiration":"2024-11-08","vanna":0.0388,"dual_gamma":0.0000,"bid":0.00,"vega":0.1807,"gamma":0.0005} {"symbol":"AAPL","dual_delta":-0.0021,"color":-0.0005,"zomma":0.0000,"delta":0.0025,"implied_vol":0.5625,"theta":-0.0129,"d1":-2.8027,"speed":0.0000,"d2":-2.8616,"epsilon":-0.0061,"lambda":57.9900,"vomma":2.6034,"underlying_timestamp":"2024-11-04T10:00:00","timestamp":"2024-11-04T10:00:00","underlying_price":222.06,"strike":262.500,"vera":0.0000,"right":"CALL","veta":0.0136,"iv_error":-0.0299,"ultima":23.2345,"charm":-1.0319,"ask":0.02,"rho":0.0060,"expiration":"2024-11-08","vanna":0.0399,"dual_gamma":0.0000,"bid":0.00,"vega":0.1825,"gamma":0.0006} {"symbol":"AAPL","dual_delta":0.0000,"color":0.0000,"zomma":0.0000,"delta":0.0000,"implied_vol":0.2500,"theta":0.0000,"d1":-6.3404,"speed":0.0000,"d2":-6.3666,"epsilon":0.0000,"lambda":254.5285,"vomma":0.0000,"underlying_timestamp":"2024-11-04T10:10:00","timestamp":"2024-11-04T10:10:00","underlying_price":222.17,"strike":262.500,"vera":0.0000,"right":"CALL","veta":0.0000,"iv_error":100.0000,"ultima":0.0004,"charm":0.0000,"ask":0.01,"rho":0.0000,"expiration":"2024-11-08","vanna":0.0000,"dual_gamma":0.0000,"bid":0.00,"vega":0.0000,"gamma":0.0000}' python/pandas: schema: *id046 example: 'symbol expiration strike right timestamp bid ask delta theta vega rho epsilon lambda gamma vanna charm vomma veta vera speed zomma color ultima d1 d2 dual_delta dual_gamma implied_vol iv_error underlying_timestamp underlying_price 0 SPY 2025-10-17 420.0 CALL 2025-09-19 09:30:00-04:00 0.00 0.00 1.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 100.0 2025-09-19 09:30:00-04:00 662.31 1 SPY 2025-10-17 420.0 CALL 2025-09-19 09:31:00-04:00 241.85 245.21 0.9922 -0.0968 3.9248 31.6941 -50.3758 2.6965 0.0001 -0.0667 0.3054 29.5861 161.0257 -3.6891 0.0 0.0010 0.0045 98.1837 2.4186 2.2212 -0.9837 0.0004 0.7126 0.0 2025-09-19 09:31:00-04:00 661.84 2 SPY 2025-10-17 420.0 CALL 2025-09-19 09:32:00-04:00 241.85 245.24 0.9930 -0.0911 3.5425 31.7413 -50.4238 2.6989 0.0001 -0.0626 0.2813 28.2454 150.0252 -3.4510 0.0 0.0009 0.0044 103.8173 2.4606 2.2669 -0.9851 0.0003 0.6996 0.0 2025-09-19 09:32:00-04:00 661.90 3 SPY 2025-10-17 420.0 CALL 2025-09-19 09:33:00-04:00 241.85 245.05 0.9934 -0.0888 3.3830 31.7607 -50.4363 2.7006 0.0001 -0.0608 0.2711 27.6521 145.2796 -3.3486 0.0 0.0009 0.0043 106.1833 2.4792 2.2871 -0.9857 0.0003 0.6937 0.0 2025-09-19 09:33:00-04:00 661.83 4 SPY 2025-10-17 420.0 CALL 2025-09-19 09:34:00-04:00 241.71 244.84 0.9923 -0.0957 3.8551 31.7028 -50.3645 2.6988 0.0001 -0.0660 0.3012 29.3738 159.0453 -3.6494 0.0 0.0010 0.0045 99.3614 2.4258 2.2293 -0.9839 0.0004 0.7097 0.0 2025-09-19 09:34:00-04:00 661.59 5 SPY 2025-10-17 420.0 CALL 2025-09-19 09:35:00-04:00 241.71 244.85 0.9905 -0.1078 4.6515 31.6018 -50.2644 2.6933 0.0001 -0.0739 0.3495 31.8146 180.6250 -4.1110 0.0 0.0010 0.0048 87.4841 2.3471 2.1434 -0.9808 0.0004 0.7355 0.0 2025-09-19 09:35:00-04:00 661.49 6 SPY 2025-10-17 420.0 CALL 2025-09-19 09:36:00-04:00 241.71 244.66 0.9925 -0.0945 3.7746 31.7127 -50.3676 2.6999 0.0001 -0.0652 0.2962 29.1057 156.7512 -3.6008 0.0 0.0010 0.0045 100.6047 2.4345 2.2387 -0.9842 0.0003 0.7068 0.0 2025-09-19 09:36:00-04:00 661.51 7 SPY 2025-10-17 420.0 CALL 2025-09-19 09:37:00-04:00 241.71 244.71 0.9908 -0.1055 4.5070 31.6204 -50.2775 2.6948 0.0001 -0.0726 0.3410 31.4143 176.8465 -4.0317 0.0 0.0010 0.0048 89.6676 2.3605 2.1580 -0.9814 0.0004 0.7308 0.0 2025-09-19 09:37:00-04:00 661.44 8 SPY 2025-10-17 420.0 CALL 2025-09-19 09:38:00-04:00 241.71 244.88 0.9910 -0.1046 4.4454 31.6283 -50.2917 2.6946 0.0001 -0.0720 0.3373 31.2290 175.2241 -3.9961 0.0 0.0010 0.0047 90.5455 2.3663 2.1644 -0.9816 0.0004 0.7291 0.0 2025-09-19 09:38:00-04:00 661.53 9 SPY 2025-10-17 420.0 CALL 2025-09-19 09:39:00-04:00 241.71 244.67 0.9898 -0.1120 4.9253 31.5662 -50.2219 2.6920 0.0001 -0.0765 0.3655 32.5539 187.6142 -4.2599 0.0 0.0010 0.0049 83.4768 2.3225 2.1165 -0.9797 0.0004 0.7437 0.0 2025-09-19 09:39:00-04:00 661.36 10 SPY 2025-10-17 420.0 CALL 2025-09-19 09:40:00-04:00 241.71 244.80 0.9941 -0.0841 3.0549 31.8000 -50.4604 2.7041 0.0001 -0.0570 0.2496 26.3452 135.2032 -3.1299 0.0 0.0009 0.0041 110.9452 2.5200 2.3313 -0.9869 0.0003 0.6812 0.0 2025-09-19 09:40:00-04:00 661.67 11 SPY 2025-10-17 420.0 CALL 2025-09-19 09:41:00-04:00 241.71 244.94 0.9953 -0.0765 2.4993 31.8649 -50.5305 2.7071 0.0001 -0.0499 0.2116 23.7953 117.0834 -2.7280 0.0 0.0009 0.0038 118.0956 2.5985 2.4158 -0.9890 0.0002 0.6593 0.0 2025-09-19 09:41:00-04:00 661.80 12 SPY 2025-10-17 420.0 CALL 2025-09-19 09:42:00-04:00 241.71 244.94 0.9951 -0.0778 2.5936 31.8541 -50.5197 2.7065 0.0001 -0.0512 0.2182 24.2576 120.2646 -2.7988 0.0 0.0009 0.0038 116.9578 2.5842 2.4005 -0.9886 0.0002 0.6632 0.0 2025-09-19 09:42:00-04:00 661.79 13 SPY 2025-10-17 420.0 CALL 2025-09-19 09:43:00-04:00 241.93 244.94 0.9947 -0.0804 2.7818 31.8322 -50.5063 2.7046 0.0001 -0.0536 0.2311 25.1332 126.4828 -2.9357 0.0 0.0009 0.0040 114.5016 2.5570 2.3711 -0.9879 0.0003 0.6710 0.0 2025-09-19 09:43:00-04:00 661.88 14 SPY 2025-10-17 420.0 CALL 2025-09-19 09:44:00-04:00 241.80 244.89 0.9911 -0.1034 4.3682 31.6382 -50.3053 2.6948 0.0001 -0.0712 0.3326 30.9975 173.1709 -3.9517 0.0 0.0010 0.0047 91.6728 2.3738 2.1725 -0.9819 0.0004 0.7267 0.0 2025-09-19 09:44:00-04:00 661.59 15 SPY 2025-10-17 420.0 CALL 2025-09-19 09:45:00-04:00 241.71 244.94 0.9921 -0.0969 3.9389 31.6923 -50.3580 2.6978 0.0001 -0.0669 0.3064 29.6507 161.4115 -3.6998 0.0 0.0010 0.0045 98.0874 2.4170 2.2196 -0.9836 0.0004 0.7126 0.0 2025-09-19 09:45:00-04:00 661.63 16 SPY 2025-10-17 420.0 CALL 2025-09-19 09:46:00-04:00 241.71 244.83 0.9907 -0.1066 4.5772 31.6114 -50.2731 2.6939 0.0001 -0.0732 0.3451 31.6083 178.6905 -4.0701 0.0 0.0010 0.0048 88.5935 2.3539 2.1509 -0.9811 0.0004 0.7332 0.0 2025-09-19 09:46:00-04:00 661.49 17 SPY 2025-10-17 420.0 CALL 2025-09-19 09:47:00-04:00 241.80 244.60 0.9939 -0.0853 3.1413 31.7897 -50.4462 2.7039 0.0001 -0.0580 0.2554 26.7091 137.8938 -3.1895 0.0 0.0009 0.0042 109.7741 2.5088 2.3193 -0.9866 0.0003 0.6843 0.0 2025-09-19 09:47:00-04:00 661.61 18 SPY 2025-10-17 420.0 CALL 2025-09-19 09:48:00-04:00 241.71 244.77 0.9979 -0.0600 1.2003 32.0064 -50.6660 2.7152 0.0000 -0.0298 0.1136 15.6634 67.5747 -1.6053 0.0 0.0006 0.0026 125.1561 2.8669 2.7024 -0.9933 0.0001 0.5937 0.0 2025-09-19 09:48:00-04:00 661.84 19 SPY 2025-10-17 420.0 CALL 2025-09-19 09:49:00-04:00 241.74 244.94 0.9979 -0.0600 1.1973 32.0067 -50.6740 2.7145 0.0000 -0.0297 0.1134 15.6349 67.4468 -1.6018 0.0 0.0006 0.0025 125.0630 2.8678 2.7033 -0.9934 0.0001 0.5937 0.0 2025-09-19 09:49:00-04:00 661.94 20 SPY 2025-10-17 420.0 CALL 2025-09-19 09:50:00-04:00 242.13 245.74 0.9953 -0.0766 2.5060 31.8641 -50.5766 2.7028 0.0001 -0.0499 0.2118 23.7857 117.3279 -2.7281 0.0 0.0008 0.0038 117.6049 2.5978 2.4147 -0.9889 0.0002 0.6609 0.0 2025-09-19 09:50:00-04:00 662.41 21 SPY 2025-10-17 420.0 CALL 2025-09-19 09:51:00-04:00 242.13 245.37 0.9982 -0.0582 1.0449 32.0222 -50.7208 2.7125 0.0000 -0.0268 0.1007 14.3523 60.6982 -1.4437 0.0 0.0006 0.0023 123.3656 2.9151 2.7532 -0.9938 0.0001 0.5843 0.0 2025-09-19 09:51:00-04:00 662.36 22 SPY 2025-10-17 420.0 CALL 2025-09-19 09:52:00-04:00 242.31 245.83 0.9951 -0.0778 2.5931 31.8541 -50.5773 2.7013 0.0001 -0.0510 0.2179 24.2017 120.2697 -2.7922 0.0 0.0009 0.0038 116.4647 2.5847 2.4005 -0.9886 0.0002 0.6648 0.0 2025-09-19 09:52:00-04:00 662.54 23 SPY 2025-10-17 420.0 CALL 2025-09-19 09:53:00-04:00 242.75 245.56 0.9951 -0.0778 2.5891 31.8546 -50.5839 2.7007 0.0001 -0.0509 0.2176 24.1763 120.1353 -2.7886 0.0 0.0009 0.0038 116.4618 2.5853 2.4012 -0.9886 0.0002 0.6648 0.0 2025-09-19 09:53:00-04:00 662.62 24 SPY 2025-10-17 420.0 CALL 2025-09-19 09:54:00-04:00 242.38 245.89 0.9943 -0.0828 2.9538 31.8120 -50.5398 2.6986 0.0001 -0.0555 0.2425 25.8456 132.0392 -3.0517 0.0 0.0009 0.0040 111.7739 2.5338 2.3457 -0.9873 0.0003 0.6792 0.0 2025-09-19 09:54:00-04:00 662.56 25 SPY 2025-10-17 420.0 CALL 2025-09-19 09:55:00-04:00 242.26 245.77 0.9951 -0.0779 2.5962 31.8538 -50.5723 2.7017 0.0001 -0.0510 0.2181 24.2207 120.3705 -2.7950 0.0 0.0009 0.0038 116.4668 2.5842 2.4000 -0.9886 0.0002 0.6648 0.0 2025-09-19 09:55:00-04:00 662.48 26 SPY 2025-10-17 420.0 CALL 2025-09-19 09:56:00-04:00 242.26 245.77 0.9949 -0.0792 2.6922 31.8426 -50.5613 2.7011 0.0001 -0.0523 0.2248 24.6765 123.5617 -2.8657 0.0 0.0009 0.0039 115.2726 2.5701 2.3849 -0.9883 0.0002 0.6687 0.0 2025-09-19 09:56:00-04:00 662.47 27 SPY 2025-10-17 420.0 CALL 2025-09-19 09:57:00-04:00 242.44 245.60 0.9915 -0.1014 4.2287 31.6559 -50.3753 2.6910 0.0001 -0.0696 0.3239 30.5157 169.4446 -3.8639 0.0 0.0010 0.0046 93.4068 2.3878 2.1874 -0.9825 0.0004 0.7238 0.0 2025-09-19 09:57:00-04:00 662.29 28 SPY 2025-10-17 420.0 CALL 2025-09-19 09:58:00-04:00 242.15 245.63 0.9930 -0.0912 3.5426 31.7413 -50.4506 2.6965 0.0001 -0.0625 0.2812 28.2172 150.0430 -3.4475 0.0 0.0009 0.0044 103.6132 2.4608 2.2668 -0.9851 0.0003 0.7003 0.0 2025-09-19 09:58:00-04:00 662.25 29 SPY 2025-10-17 420.0 CALL 2025-09-19 09:59:00-04:00 242.15 245.37 0.9922 -0.0968 3.9268 31.6938 -50.3932 2.6949 0.0001 -0.0666 0.3055 29.5729 161.0912 -3.6878 0.0 0.0010 0.0045 98.0299 2.4185 2.2210 -0.9836 0.0004 0.7132 0.0 2025-09-19 09:59:00-04:00 662.07 30 SPY 2025-10-17 420.0 CALL 2025-09-19 10:00:00-04:00 242.15 245.52 0.9922 -0.0968 3.9221 31.6944 -50.3991 2.6944 0.0001 -0.0666 0.3051 29.5515 160.9628 -3.6843 0.0 0.0010 0.0045 98.0618 2.4191 2.2215 -0.9837 0.0004 0.7132 0.0 2025-09-19 10:00:00-04:00 662.14 ' python/polars: schema: *id046 example: 'shape: (31, 31) ┌────────┬────────────┬────────┬───────┬────────────────────────────────┬────────┬────────┬────────┬─────────┬────────┬─────────┬──────────┬────────┬────────┬─────────┬────────┬─────────┬──────────┬─────────┬───────┬────────┬────────┬──────────┬────────┬────────┬────────────┬────────────┬─────────────┬──────────┬────────────────────────────────┬──────────────────┐ │ symbol ┆ expiration ┆ strike ┆ right ┆ timestamp ┆ bid ┆ ask ┆ delta ┆ theta ┆ vega ┆ rho ┆ epsilon ┆ lambda ┆ gamma ┆ vanna ┆ charm ┆ vomma ┆ veta ┆ vera ┆ speed ┆ zomma ┆ color ┆ ultima ┆ d1 ┆ d2 ┆ dual_delta ┆ dual_gamma ┆ implied_vol ┆ iv_error ┆ underlying_timestamp ┆ underlying_price │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str ┆ datetime[ms, America/New_York] ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ datetime[ms, America/New_York] ┆ f64 │ ╞════════╪════════════╪════════╪═══════╪════════════════════════════════╪════════╪════════╪════════╪═════════╪════════╪═════════╪══════════╪════════╪════════╪═════════╪════════╪═════════╪══════════╪═════════╪═══════╪════════╪════════╪══════════╪════════╪════════╪════════════╪════════════╪═════════════╪══════════╪════════════════════════════════╪══════════════════╡ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:30:00 EDT ┆ 0.0 ┆ 0.0 ┆ 1.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 100.0 ┆ 2025-09-19 09:30:00 EDT ┆ 662.31 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:31:00 EDT ┆ 241.85 ┆ 245.21 ┆ 0.9922 ┆ -0.0968 ┆ 3.9248 ┆ 31.6941 ┆ -50.3758 ┆ 2.6965 ┆ 0.0001 ┆ -0.0667 ┆ 0.3054 ┆ 29.5861 ┆ 161.0257 ┆ -3.6891 ┆ 0.0 ┆ 0.001 ┆ 0.0045 ┆ 98.1837 ┆ 2.4186 ┆ 2.2212 ┆ -0.9837 ┆ 0.0004 ┆ 0.7126 ┆ 0.0 ┆ 2025-09-19 09:31:00 EDT ┆ 661.84 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:32:00 EDT ┆ 241.85 ┆ 245.24 ┆ 0.993 ┆ -0.0911 ┆ 3.5425 ┆ 31.7413 ┆ -50.4238 ┆ 2.6989 ┆ 0.0001 ┆ -0.0626 ┆ 0.2813 ┆ 28.2454 ┆ 150.0252 ┆ -3.451 ┆ 0.0 ┆ 0.0009 ┆ 0.0044 ┆ 103.8173 ┆ 2.4606 ┆ 2.2669 ┆ -0.9851 ┆ 0.0003 ┆ 0.6996 ┆ 0.0 ┆ 2025-09-19 09:32:00 EDT ┆ 661.9 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:33:00 EDT ┆ 241.85 ┆ 245.05 ┆ 0.9934 ┆ -0.0888 ┆ 3.383 ┆ 31.7607 ┆ -50.4363 ┆ 2.7006 ┆ 0.0001 ┆ -0.0608 ┆ 0.2711 ┆ 27.6521 ┆ 145.2796 ┆ -3.3486 ┆ 0.0 ┆ 0.0009 ┆ 0.0043 ┆ 106.1833 ┆ 2.4792 ┆ 2.2871 ┆ -0.9857 ┆ 0.0003 ┆ 0.6937 ┆ 0.0 ┆ 2025-09-19 09:33:00 EDT ┆ 661.83 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:34:00 EDT ┆ 241.71 ┆ 244.84 ┆ 0.9923 ┆ -0.0957 ┆ 3.8551 ┆ 31.7028 ┆ -50.3645 ┆ 2.6988 ┆ 0.0001 ┆ -0.066 ┆ 0.3012 ┆ 29.3738 ┆ 159.0453 ┆ -3.6494 ┆ 0.0 ┆ 0.001 ┆ 0.0045 ┆ 99.3614 ┆ 2.4258 ┆ 2.2293 ┆ -0.9839 ┆ 0.0004 ┆ 0.7097 ┆ 0.0 ┆ 2025-09-19 09:34:00 EDT ┆ 661.59 │ │ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:56:00 EDT ┆ 242.26 ┆ 245.77 ┆ 0.9949 ┆ -0.0792 ┆ 2.6922 ┆ 31.8426 ┆ -50.5613 ┆ 2.7011 ┆ 0.0001 ┆ -0.0523 ┆ 0.2248 ┆ 24.6765 ┆ 123.5617 ┆ -2.8657 ┆ 0.0 ┆ 0.0009 ┆ 0.0039 ┆ 115.2726 ┆ 2.5701 ┆ 2.3849 ┆ -0.9883 ┆ 0.0002 ┆ 0.6687 ┆ 0.0 ┆ 2025-09-19 09:56:00 EDT ┆ 662.47 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:57:00 EDT ┆ 242.44 ┆ 245.6 ┆ 0.9915 ┆ -0.1014 ┆ 4.2287 ┆ 31.6559 ┆ -50.3753 ┆ 2.691 ┆ 0.0001 ┆ -0.0696 ┆ 0.3239 ┆ 30.5157 ┆ 169.4446 ┆ -3.8639 ┆ 0.0 ┆ 0.001 ┆ 0.0046 ┆ 93.4068 ┆ 2.3878 ┆ 2.1874 ┆ -0.9825 ┆ 0.0004 ┆ 0.7238 ┆ 0.0 ┆ 2025-09-19 09:57:00 EDT ┆ 662.29 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:58:00 EDT ┆ 242.15 ┆ 245.63 ┆ 0.993 ┆ -0.0912 ┆ 3.5426 ┆ 31.7413 ┆ -50.4506 ┆ 2.6965 ┆ 0.0001 ┆ -0.0625 ┆ 0.2812 ┆ 28.2172 ┆ 150.043 ┆ -3.4475 ┆ 0.0 ┆ 0.0009 ┆ 0.0044 ┆ 103.6132 ┆ 2.4608 ┆ 2.2668 ┆ -0.9851 ┆ 0.0003 ┆ 0.7003 ┆ 0.0 ┆ 2025-09-19 09:58:00 EDT ┆ 662.25 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:59:00 EDT ┆ 242.15 ┆ 245.37 ┆ 0.9922 ┆ -0.0968 ┆ 3.9268 ┆ 31.6938 ┆ -50.3932 ┆ 2.6949 ┆ 0.0001 ┆ -0.0666 ┆ 0.3055 ┆ 29.5729 ┆ 161.0912 ┆ -3.6878 ┆ 0.0 ┆ 0.001 ┆ 0.0045 ┆ 98.0299 ┆ 2.4185 ┆ 2.221 ┆ -0.9836 ┆ 0.0004 ┆ 0.7132 ┆ 0.0 ┆ 2025-09-19 09:59:00 EDT ┆ 662.07 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 10:00:00 EDT ┆ 242.15 ┆ 245.52 ┆ 0.9922 ┆ -0.0968 ┆ 3.9221 ┆ 31.6944 ┆ -50.3991 ┆ 2.6944 ┆ 0.0001 ┆ -0.0666 ┆ 0.3051 ┆ 29.5515 ┆ 160.9628 ┆ -3.6843 ┆ 0.0 ┆ 0.001 ┆ 0.0045 ┆ 98.0618 ┆ 2.4191 ┆ 2.2215 ┆ -0.9837 ┆ 0.0004 ┆ 0.7132 ┆ 0.0 ┆ 2025-09-19 10:00:00 EDT ┆ 662.14 │ └────────┴────────────┴────────┴───────┴────────────────────────────────┴────────┴────────┴────────┴─────────┴────────┴─────────┴──────────┴────────┴────────┴─────────┴────────┴─────────┴──────────┴─────────┴───────┴────────┴────────┴──────────┴────────┴────────┴────────────┴────────────┴─────────────┴──────────┴────────────────────────────────┴──────────────────┘ ' /option/history/trade_greeks/all: x-concurrent-limit-ttl-ms: '3388' x-min-subscription: professional x-history-access: true get: summary: All Trade Greeks operationId: option_history_trade_greeks_all x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''pandas'') df = client.option_history_trade_greeks_all(symbol=''AAPL'', expiration=date(2023, 11, 17)) ' - lang: Python label: polars source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''polars'') df = client.option_history_trade_greeks_all(symbol=''AAPL'', expiration=date(2023, 11, 17)) ' tags: - Option description: "- Returns the data for all contracts that share the same provided symbol and expiration. \n- Calculates greeks for every trade reported by [OPRA](/Articles/Data-And-Requests/The-SIPs.html).\n- The underlying price represents whatever the last underlying price was at the ``timestamp`` field. You can read more about how Theta Data calculates greeks [here](/Articles/Data-And-Requests/Option-Greeks.html).\n- Multi-day requests are limited to 1 month of data, and must specify an expiration.\n" x-sample-urls: - url: http://127.0.0.1:25503/v3/option/history/trade_greeks/all?symbol=AAPL&expiration=20231117&date=20231110 description: Returns all trade greeks for an option contract - url: http://127.0.0.1:25503/v3/option/history/trade_greeks/all?symbol=AAPL&expiration=20231117&start_date=20231110&end_date=20231116 description: Returns all trade greeks for an option contract between the specified dates (inclusive) - url: http://127.0.0.1:25503/v3/option/history/trade_greeks/all?symbol=AAPL&expiration=*&date=20231110 description: Returns all trade greeks for an full chain of option contracts - url: http://127.0.0.1:25503/v3/option/history/trade_greeks/all?symbol=AAPL&expiration=*&date=20231110&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/opt_date' - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/start_time' - $ref: '#/components/parameters/end_time' - $ref: '#/components/parameters/annual_dividend' - $ref: '#/components/parameters/rate_type' - $ref: '#/components/parameters/rate_value' - $ref: '#/components/parameters/greeks_version' - $ref: '#/components/parameters/max_dte' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/format' - $ref: '#/components/parameters/opt_start_date' - $ref: '#/components/parameters/opt_end_date' responses: '200': description: Returns all trade greeks for an option contract content: text/csv: schema: type: array items: &id047 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. sequence: type: string description: The exchange [sequence](/Articles/Data-And-Requests/Making-Requests.html#trade-sequences). ext_condition1: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition2: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition3: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition4: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. condition: type: integer description: The trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). size: type: integer description: The amount of contracts / shares traded. exchange: type: integer description: The [exchange](/Articles/Errors-Exchanges-Conditions/Exchanges.html) the trade was executed. price: type: number description: The trade price. delta: type: number description: The delta. theta: type: string description: The Theta. vega: type: number description: The vega. rho: type: number description: The rho. epsilon: type: string description: The epsilon. lambda: type: number description: The lambda. gamma: type: number description: The gamma. vanna: type: number description: The vanna. charm: type: string description: The charm. vomma: type: number description: The vomma. veta: type: number description: The veta. vera: type: number description: The vera. speed: type: number description: The speed. zomma: type: number description: The zomma. color: type: string description: The color. ultima: type: string description: The ultima. d1: type: string description: The d1. d2: type: string description: The d2. dual_delta: type: string description: The dual delta. dual_gamma: type: number description: The dual gamma. implied_vol: type: number description: The implied volatiltiy calculated using the trade price. iv_error: type: string description: '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.' underlying_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,sequence,ext_condition1,ext_condition2,ext_condition3,ext_condition4,condition,size,exchange,price,delta,theta,vega,rho,epsilon,lambda,gamma,vanna,charm,vomma,veta,vera,speed,zomma,color,ultima,d1,d2,dual_delta,dual_gamma,implied_vol,iv_error,underlying_timestamp,underlying_price\r\nAAPL,2023-11-17,187.500,CALL,2023-11-10T09:30:00.004,-1391330475,255,255,255,255,18,1,9,0.59,0.2289,-0.1031,7.7122,0.7960,-0.8073,71.4109,0.0674,1.3174,-6.7146,24.9086,0.3553,0.0000,0.0000,0.0000,-0.0129,-100.0000,-0.7424,-0.7668,-0.2213,0.0000,0.1762,-0.0008,2023-11-10T09:30:00,183.89\r\nAAPL,2023-11-17,187.500,CALL,2023-11-10T09:30:00.154,-1391317465,255,255,255,255,18,1,47,0.59,0.2289,-0.1031,7.7122,0.7960,-0.8073,71.4109,0.0674,1.3174,-6.7146,24.9086,0.3553,0.0000,0.0000,0.0000,-0.0129,-100.0000,-0.7424,-0.7668,-0.2213,0.0000,0.1762,-0.0008,2023-11-10T09:30:00,183.89\r\nAAPL,2023-11-17,187.500,CALL,2023-11-10T09:30:00.22,-1391313694,255,255,255,255,18,8,6,0.52,0.2162,-0.0947,7.4656,0.7526,-0.7625,76.6064,0.0689,1.4186,-6.8508,28.3594,0.3755,0.0000,0.0000,0.0000,-0.0118,-100.0000,-0.7849,-0.8081,-0.2093,0.0000,0.1669,-0.0018,2023-11-10T09:30:00,183.89\r\nAAPL,2023-11-17,187.500,CALL,2023-11-10T09:30:00.221,-1391313652,255,255,255,255,130,1,6,0.57,0.2256,-0.1009,7.6504,0.7849,-0.7958,72.7109,0.0678,1.3432,-6.7516,25.7650,0.3605,0.0000,0.0000,0.0000,-0.0126,-100.0000,-0.7531,-0.7772,-0.2182,0.0000,0.1738,0.0012,2023-11-10T09:30:00,183.89\r\nAAPL,2023-11-17,187.500,CALL,2023-11-10T09:30:00.452,-1391297309,255,255,255,255,18,6,31,0.60,0.2308,-0.1044,7.7484,0.8025,-0.8140,70.6522,0.0672,1.3022,-6.6920,24.4114,0.3523,0.0000,0.0000,0.0000,-0.0130,-100.0000,-0.7360,-0.7607,-0.2231,0.0000,0.1777,0.0013,2023-11-10T09:30:00,183.89\r\n" application/json: schema: &id048 type: array items: *id047 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":187.500,\"right\":\"CALL\",\"expiration\":\"2023-11-17\"},\n \"data\": [\n {\"dual_delta\":-0.2213,\"color\":-0.0129,\"zomma\":0.0000,\"delta\":0.2289,\"implied_vol\":0.1762,\"theta\":-0.1031,\"d1\":-0.7424,\"speed\":0.0000,\"d2\":-0.7668,\"epsilon\":-0.8073,\"lambda\":71.4109,\"price\":0.59,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"vomma\":24.9086,\"ext_condition3\":255,\"underlying_timestamp\":\"2023-11-10T09:30:00\",\"timestamp\":\"2023-11-10T09:30:00.004\",\"underlying_price\":183.89,\"vera\":0.0000,\"veta\":0.3553,\"iv_error\":-0.0008,\"ultima\":-100.0000,\"sequence\":-1391330475,\"condition\":18,\"size\":1,\"charm\":-6.7146,\"rho\":0.7960,\"exchange\":9,\"vanna\":1.3174,\"dual_gamma\":0.0000,\"vega\":7.7122,\"gamma\":0.0674},\n {\"dual_delta\":-0.2213,\"color\":-0.0129,\"zomma\":0.0000,\"delta\":0.2289,\"implied_vol\":0.1762,\"theta\":-0.1031,\"d1\":-0.7424,\"speed\":0.0000,\"d2\":-0.7668,\"epsilon\":-0.8073,\"lambda\":71.4109,\"price\":0.59,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"vomma\":24.9086,\"ext_condition3\":255,\"underlying_timestamp\":\"2023-11-10T09:30:00\",\"timestamp\":\"2023-11-10T09:30:00.154\",\"underlying_price\":183.89,\"vera\":0.0000,\"veta\":0.3553,\"iv_error\":-0.0008,\"ultima\":-100.0000,\"sequence\":-1391317465,\"condition\":18,\"size\":1,\"charm\":-6.7146,\"rho\":0.7960,\"exchange\":47,\"vanna\":1.3174,\"dual_gamma\":0.0000,\"vega\":7.7122,\"gamma\":0.0674},\n {\"dual_delta\":-0.2093,\"color\":-0.0118,\"zomma\":0.0000,\"delta\":0.2162,\"implied_vol\":0.1669,\"theta\":-0.0947,\"d1\":-0.7849,\"speed\":0.0000,\"d2\":-0.8081,\"epsilon\":-0.7625,\"lambda\":76.6064,\"price\":0.52,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"vomma\":28.3594,\"ext_condition3\":255,\"underlying_timestamp\":\"2023-11-10T09:30:00\",\"timestamp\":\"2023-11-10T09:30:00.22\",\"underlying_price\":183.89,\"vera\":0.0000,\"veta\":0.3755,\"iv_error\":-0.0018,\"ultima\":-100.0000,\"sequence\":-1391313694,\"condition\":18,\"size\":8,\"charm\":-6.8508,\"rho\":0.7526,\"exchange\":6,\"vanna\":1.4186,\"dual_gamma\":0.0000,\"vega\":7.4656,\"gamma\":0.0689},\n {\"dual_delta\":-0.2182,\"color\":-0.0126,\"zomma\":0.0000,\"delta\":0.2256,\"implied_vol\":0.1738,\"theta\":-0.1009,\"d1\":-0.7531,\"speed\":0.0000,\"d2\":-0.7772,\"epsilon\":-0.7958,\"lambda\":72.7109,\"price\":0.57,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"vomma\":25.7650,\"ext_condition3\":255,\"underlying_timestamp\":\"2023-11-10T09:30:00\",\"timestamp\":\"2023-11-10T09:30:00.221\",\"underlying_price\":183.89,\"vera\":0.0000,\"veta\":0.3605,\"iv_error\":0.0012,\"ultima\":-100.0000,\"sequence\":-1391313652,\"condition\":130,\"size\":1,\"charm\":-6.7516,\"rho\":0.7849,\"exchange\":6,\"vanna\":1.3432,\"dual_gamma\":0.0000,\"vega\":7.6504,\"gamma\":0.0678},\n {\"dual_delta\":-0.2231,\"color\":-0.0130,\"zomma\":0.0000,\"delta\":0.2308,\"implied_vol\":0.1777,\"theta\":-0.1044,\"d1\":-0.7360,\"speed\":0.0000,\"d2\":-0.7607,\"epsilon\":-0.8140,\"lambda\":70.6522,\"price\":0.60,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"vomma\":24.4114,\"ext_condition3\":255,\"underlying_timestamp\":\"2023-11-10T09:30:00\",\"timestamp\":\"2023-11-10T09:30:00.452\",\"underlying_price\":183.89,\"vera\":0.0000,\"veta\":0.3523,\"iv_error\":0.0013,\"ultima\":-100.0000,\"sequence\":-1391297309,\"condition\":18,\"size\":6,\"charm\":-6.6920,\"rho\":0.8025,\"exchange\":31,\"vanna\":1.3022,\"dual_gamma\":0.0000,\"vega\":7.7484,\"gamma\":0.0672}\n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id048 example: '{"symbol":"AAPL","dual_delta":-0.2213,"color":-0.0129,"zomma":0.0000,"delta":0.2289,"implied_vol":0.1762,"theta":-0.1031,"d1":-0.7424,"speed":0.0000,"d2":-0.7668,"epsilon":-0.8073,"lambda":71.4109,"price":0.59,"ext_condition2":255,"ext_condition1":255,"ext_condition4":255,"vomma":24.9086,"ext_condition3":255,"underlying_timestamp":"2023-11-10T09:30:00","timestamp":"2023-11-10T09:30:00.004","underlying_price":183.89,"strike":187.500,"vera":0.0000,"right":"CALL","veta":0.3553,"iv_error":-0.0008,"ultima":-100.0000,"sequence":-1391330475,"condition":18,"size":1,"charm":-6.7146,"rho":0.7960,"expiration":"2023-11-17","exchange":9,"vanna":1.3174,"dual_gamma":0.0000,"vega":7.7122,"gamma":0.0674} {"symbol":"AAPL","dual_delta":-0.2213,"color":-0.0129,"zomma":0.0000,"delta":0.2289,"implied_vol":0.1762,"theta":-0.1031,"d1":-0.7424,"speed":0.0000,"d2":-0.7668,"epsilon":-0.8073,"lambda":71.4109,"price":0.59,"ext_condition2":255,"ext_condition1":255,"ext_condition4":255,"vomma":24.9086,"ext_condition3":255,"underlying_timestamp":"2023-11-10T09:30:00","timestamp":"2023-11-10T09:30:00.154","underlying_price":183.89,"strike":187.500,"vera":0.0000,"right":"CALL","veta":0.3553,"iv_error":-0.0008,"ultima":-100.0000,"sequence":-1391317465,"condition":18,"size":1,"charm":-6.7146,"rho":0.7960,"expiration":"2023-11-17","exchange":47,"vanna":1.3174,"dual_gamma":0.0000,"vega":7.7122,"gamma":0.0674} {"symbol":"AAPL","dual_delta":-0.2093,"color":-0.0118,"zomma":0.0000,"delta":0.2162,"implied_vol":0.1669,"theta":-0.0947,"d1":-0.7849,"speed":0.0000,"d2":-0.8081,"epsilon":-0.7625,"lambda":76.6064,"price":0.52,"ext_condition2":255,"ext_condition1":255,"ext_condition4":255,"vomma":28.3594,"ext_condition3":255,"underlying_timestamp":"2023-11-10T09:30:00","timestamp":"2023-11-10T09:30:00.22","underlying_price":183.89,"strike":187.500,"vera":0.0000,"right":"CALL","veta":0.3755,"iv_error":-0.0018,"ultima":-100.0000,"sequence":-1391313694,"condition":18,"size":8,"charm":-6.8508,"rho":0.7526,"expiration":"2023-11-17","exchange":6,"vanna":1.4186,"dual_gamma":0.0000,"vega":7.4656,"gamma":0.0689} {"symbol":"AAPL","dual_delta":-0.2182,"color":-0.0126,"zomma":0.0000,"delta":0.2256,"implied_vol":0.1738,"theta":-0.1009,"d1":-0.7531,"speed":0.0000,"d2":-0.7772,"epsilon":-0.7958,"lambda":72.7109,"price":0.57,"ext_condition2":255,"ext_condition1":255,"ext_condition4":255,"vomma":25.7650,"ext_condition3":255,"underlying_timestamp":"2023-11-10T09:30:00","timestamp":"2023-11-10T09:30:00.221","underlying_price":183.89,"strike":187.500,"vera":0.0000,"right":"CALL","veta":0.3605,"iv_error":0.0012,"ultima":-100.0000,"sequence":-1391313652,"condition":130,"size":1,"charm":-6.7516,"rho":0.7849,"expiration":"2023-11-17","exchange":6,"vanna":1.3432,"dual_gamma":0.0000,"vega":7.6504,"gamma":0.0678} {"symbol":"AAPL","dual_delta":-0.2231,"color":-0.0130,"zomma":0.0000,"delta":0.2308,"implied_vol":0.1777,"theta":-0.1044,"d1":-0.7360,"speed":0.0000,"d2":-0.7607,"epsilon":-0.8140,"lambda":70.6522,"price":0.60,"ext_condition2":255,"ext_condition1":255,"ext_condition4":255,"vomma":24.4114,"ext_condition3":255,"underlying_timestamp":"2023-11-10T09:30:00","timestamp":"2023-11-10T09:30:00.452","underlying_price":183.89,"strike":187.500,"vera":0.0000,"right":"CALL","veta":0.3523,"iv_error":0.0013,"ultima":-100.0000,"sequence":-1391297309,"condition":18,"size":6,"charm":-6.6920,"rho":0.8025,"expiration":"2023-11-17","exchange":31,"vanna":1.3022,"dual_gamma":0.0000,"vega":7.7484,"gamma":0.0672}' python/pandas: schema: *id048 example: 'symbol expiration strike right timestamp sequence ext_condition1 ext_condition2 ext_condition3 ext_condition4 condition size exchange price delta theta vega rho epsilon lambda gamma vanna charm vomma veta vera speed zomma color ultima d1 d2 dual_delta dual_gamma implied_vol iv_error underlying_timestamp underlying_price 0 AAPL 2025-11-14 290.0 CALL 2025-11-10 09:30:01.503000-05:00 58765096 255 255 255 255 18 1 6 0.04 0.0127 -0.0347 0.9585 0.0397 -0.0401 87.5339 0.0036 0.2434 -3.2295 15.8242 250.8588 0.7551 0.0009 0.0489 0.6506 106.4223 -2.2334 -2.2666 -0.0117 0.0031 0.3066 -0.0196 2025-11-10 09:30:01-05:00 269.02 1 AAPL 2025-11-14 290.0 CALL 2025-11-10 09:30:02.123000-05:00 59131360 255 255 255 255 18 3 9 0.04 0.0132 -0.0358 0.9880 0.0411 -0.0415 87.1943 0.0038 0.2493 -3.3081 16.1180 256.0347 0.7737 0.0009 0.0496 0.6602 105.2274 -2.2200 -2.2531 -0.0121 0.0032 0.3066 0.0192 2025-11-10 09:30:02-05:00 269.14 2 AAPL 2025-11-14 290.0 CALL 2025-11-10 09:30:02.126000-05:00 59133877 255 255 255 255 18 1 9 0.04 0.0132 -0.0358 0.9880 0.0411 -0.0415 87.1943 0.0038 0.2493 -3.3081 16.1180 256.0347 0.7737 0.0009 0.0496 0.6602 105.2274 -2.2200 -2.2531 -0.0121 0.0032 0.3066 0.0192 2025-11-10 09:30:02-05:00 269.14 3 AAPL 2025-11-14 290.0 CALL 2025-11-10 09:30:03.929000-05:00 60102776 255 255 255 255 95 1 1 0.03 0.0105 -0.0278 0.8125 0.0328 -0.0331 94.7817 0.0033 0.2254 -2.8197 15.1647 224.4088 0.7014 0.0008 0.0502 0.6305 125.6337 -2.3071 -2.3383 -0.0096 0.0028 0.2890 -0.0023 2025-11-10 09:30:03-05:00 269.56 4 AAPL 2025-11-14 290.0 CALL 2025-11-10 09:30:31.912000-05:00 66164357 255 255 255 255 18 1 69 0.04 0.0135 -0.0350 1.0163 0.0424 -0.0429 91.5404 0.0040 0.2676 -3.3727 17.2871 261.2468 0.8345 0.0010 0.0554 0.7011 115.8098 -2.2091 -2.2406 -0.0125 0.0035 0.2910 0.0025 2025-11-10 09:30:31-05:00 270.26 .. ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... 588 AAPL 2025-11-14 265.0 CALL 2025-11-10 09:30:11.904000-05:00 62754770 255 255 255 255 130 1 42 6.22 0.7305 -0.3366 9.6372 2.2328 -2.3055 31.6826 0.0404 -0.6890 7.8150 12.3536 551.9376 -2.2874 -0.0031 -0.0925 -1.1398 -116.6237 0.6144 0.5841 -0.7201 0.0418 0.2800 0.0000 2025-11-10 09:30:11-05:00 269.73 589 AAPL 2025-11-14 265.0 CALL 2025-11-10 09:30:35.448000-05:00 66662366 255 255 255 255 18 3 7 6.35 0.7569 -0.3048 9.1457 2.3176 -2.3918 32.1952 0.0404 -0.7898 8.5013 16.0696 563.8117 -2.6030 -0.0037 -0.0818 -0.9646 -154.0341 0.6963 0.6677 -0.7475 0.0420 0.2646 0.0000 2025-11-10 09:30:35-05:00 270.10 590 AAPL 2025-11-14 265.0 CALL 2025-11-10 09:30:56.546000-05:00 69301579 255 255 255 255 130 2 6 6.45 0.7427 -0.3302 9.4218 2.2710 -2.3465 31.0967 0.0394 -0.7153 8.1488 13.6211 557.8317 -2.3702 -0.0032 -0.0836 -1.0351 -126.2168 0.6518 0.6215 -0.7325 0.0409 0.2802 0.0000 2025-11-10 09:30:56-05:00 270.04 591 AAPL 2025-11-14 297.5 CALL 2025-11-10 09:30:01.510000-05:00 58769718 255 255 255 255 18 1 6 0.02 0.0057 -0.0203 0.4737 0.0177 -0.0179 80.4149 0.0015 0.1151 -1.8034 8.4732 152.9860 0.3568 0.0003 0.0233 0.3656 81.5593 -2.5293 -2.5686 -0.0051 0.0012 0.3632 -0.0442 2025-11-10 09:30:01-05:00 269.02 592 AAPL 2025-11-14 297.5 CALL 2025-11-10 09:30:03.095000-05:00 59706894 255 255 255 255 125 1 6 0.02 0.0061 -0.0213 0.5038 0.0190 -0.0192 80.7578 0.0016 0.1223 -1.8965 8.9394 160.0960 0.3800 0.0003 0.0246 0.3830 83.9693 -2.5056 -2.5445 -0.0054 0.0013 0.3593 0.0198 2025-11-10 09:30:03-05:00 269.56 [593 rows x 38 columns] ' python/polars: schema: *id048 example: 'shape: (593, 38) ┌────────┬────────────┬────────┬───────┬────────────────────────────────┬──────────┬────────────────┬────────────────┬────────────────┬────────────────┬───────────┬──────┬──────────┬───────┬────────┬─────────┬────────┬────────┬─────────┬─────────┬────────┬─────────┬─────────┬─────────┬──────────┬─────────┬─────────┬─────────┬─────────┬───────────┬─────────┬─────────┬────────────┬────────────┬─────────────┬──────────┬────────────────────────────────┬──────────────────┐ │ symbol ┆ expiration ┆ strike ┆ right ┆ timestamp ┆ sequence ┆ ext_condition1 ┆ ext_condition2 ┆ ext_condition3 ┆ ext_condition4 ┆ condition ┆ size ┆ exchange ┆ price ┆ delta ┆ theta ┆ vega ┆ rho ┆ epsilon ┆ lambda ┆ gamma ┆ vanna ┆ charm ┆ vomma ┆ veta ┆ vera ┆ speed ┆ zomma ┆ color ┆ ultima ┆ d1 ┆ d2 ┆ dual_delta ┆ dual_gamma ┆ implied_vol ┆ iv_error ┆ underlying_timestamp ┆ underlying_price │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str ┆ datetime[ms, America/New_York] ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ datetime[ms, America/New_York] ┆ f64 │ ╞════════╪════════════╪════════╪═══════╪════════════════════════════════╪══════════╪════════════════╪════════════════╪════════════════╪════════════════╪═══════════╪══════╪══════════╪═══════╪════════╪═════════╪════════╪════════╪═════════╪═════════╪════════╪═════════╪═════════╪═════════╪══════════╪═════════╪═════════╪═════════╪═════════╪═══════════╪═════════╪═════════╪════════════╪════════════╪═════════════╪══════════╪════════════════════════════════╪══════════════════╡ │ AAPL ┆ 2025-11-14 ┆ 290.0 ┆ CALL ┆ 2025-11-10 09:30:01.503 EST ┆ 58765096 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 1 ┆ 6 ┆ 0.04 ┆ 0.0127 ┆ -0.0347 ┆ 0.9585 ┆ 0.0397 ┆ -0.0401 ┆ 87.5339 ┆ 0.0036 ┆ 0.2434 ┆ -3.2295 ┆ 15.8242 ┆ 250.8588 ┆ 0.7551 ┆ 0.0009 ┆ 0.0489 ┆ 0.6506 ┆ 106.4223 ┆ -2.2334 ┆ -2.2666 ┆ -0.0117 ┆ 0.0031 ┆ 0.3066 ┆ -0.0196 ┆ 2025-11-10 09:30:01 EST ┆ 269.02 │ │ AAPL ┆ 2025-11-14 ┆ 290.0 ┆ CALL ┆ 2025-11-10 09:30:02.123 EST ┆ 59131360 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 3 ┆ 9 ┆ 0.04 ┆ 0.0132 ┆ -0.0358 ┆ 0.988 ┆ 0.0411 ┆ -0.0415 ┆ 87.1943 ┆ 0.0038 ┆ 0.2493 ┆ -3.3081 ┆ 16.118 ┆ 256.0347 ┆ 0.7737 ┆ 0.0009 ┆ 0.0496 ┆ 0.6602 ┆ 105.2274 ┆ -2.22 ┆ -2.2531 ┆ -0.0121 ┆ 0.0032 ┆ 0.3066 ┆ 0.0192 ┆ 2025-11-10 09:30:02 EST ┆ 269.14 │ │ AAPL ┆ 2025-11-14 ┆ 290.0 ┆ CALL ┆ 2025-11-10 09:30:02.126 EST ┆ 59133877 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 1 ┆ 9 ┆ 0.04 ┆ 0.0132 ┆ -0.0358 ┆ 0.988 ┆ 0.0411 ┆ -0.0415 ┆ 87.1943 ┆ 0.0038 ┆ 0.2493 ┆ -3.3081 ┆ 16.118 ┆ 256.0347 ┆ 0.7737 ┆ 0.0009 ┆ 0.0496 ┆ 0.6602 ┆ 105.2274 ┆ -2.22 ┆ -2.2531 ┆ -0.0121 ┆ 0.0032 ┆ 0.3066 ┆ 0.0192 ┆ 2025-11-10 09:30:02 EST ┆ 269.14 │ │ AAPL ┆ 2025-11-14 ┆ 290.0 ┆ CALL ┆ 2025-11-10 09:30:03.929 EST ┆ 60102776 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 95 ┆ 1 ┆ 1 ┆ 0.03 ┆ 0.0105 ┆ -0.0278 ┆ 0.8125 ┆ 0.0328 ┆ -0.0331 ┆ 94.7817 ┆ 0.0033 ┆ 0.2254 ┆ -2.8197 ┆ 15.1647 ┆ 224.4088 ┆ 0.7014 ┆ 0.0008 ┆ 0.0502 ┆ 0.6305 ┆ 125.6337 ┆ -2.3071 ┆ -2.3383 ┆ -0.0096 ┆ 0.0028 ┆ 0.289 ┆ -0.0023 ┆ 2025-11-10 09:30:03 EST ┆ 269.56 │ │ AAPL ┆ 2025-11-14 ┆ 290.0 ┆ CALL ┆ 2025-11-10 09:30:31.912 EST ┆ 66164357 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 1 ┆ 69 ┆ 0.04 ┆ 0.0135 ┆ -0.035 ┆ 1.0163 ┆ 0.0424 ┆ -0.0429 ┆ 91.5404 ┆ 0.004 ┆ 0.2676 ┆ -3.3727 ┆ 17.2871 ┆ 261.2468 ┆ 0.8345 ┆ 0.001 ┆ 0.0554 ┆ 0.7011 ┆ 115.8098 ┆ -2.2091 ┆ -2.2406 ┆ -0.0125 ┆ 0.0035 ┆ 0.291 ┆ 0.0025 ┆ 2025-11-10 09:30:31 EST ┆ 270.26 │ │ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … │ │ AAPL ┆ 2025-11-14 ┆ 265.0 ┆ CALL ┆ 2025-11-10 09:30:11.904 EST ┆ 62754770 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 130 ┆ 1 ┆ 42 ┆ 6.22 ┆ 0.7305 ┆ -0.3366 ┆ 9.6372 ┆ 2.2328 ┆ -2.3055 ┆ 31.6826 ┆ 0.0404 ┆ -0.689 ┆ 7.815 ┆ 12.3536 ┆ 551.9376 ┆ -2.2874 ┆ -0.0031 ┆ -0.0925 ┆ -1.1398 ┆ -116.6237 ┆ 0.6144 ┆ 0.5841 ┆ -0.7201 ┆ 0.0418 ┆ 0.28 ┆ 0.0 ┆ 2025-11-10 09:30:11 EST ┆ 269.73 │ │ AAPL ┆ 2025-11-14 ┆ 265.0 ┆ CALL ┆ 2025-11-10 09:30:35.448 EST ┆ 66662366 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 3 ┆ 7 ┆ 6.35 ┆ 0.7569 ┆ -0.3048 ┆ 9.1457 ┆ 2.3176 ┆ -2.3918 ┆ 32.1952 ┆ 0.0404 ┆ -0.7898 ┆ 8.5013 ┆ 16.0696 ┆ 563.8117 ┆ -2.603 ┆ -0.0037 ┆ -0.0818 ┆ -0.9646 ┆ -154.0341 ┆ 0.6963 ┆ 0.6677 ┆ -0.7475 ┆ 0.042 ┆ 0.2646 ┆ 0.0 ┆ 2025-11-10 09:30:35 EST ┆ 270.1 │ │ AAPL ┆ 2025-11-14 ┆ 265.0 ┆ CALL ┆ 2025-11-10 09:30:56.546 EST ┆ 69301579 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 130 ┆ 2 ┆ 6 ┆ 6.45 ┆ 0.7427 ┆ -0.3302 ┆ 9.4218 ┆ 2.271 ┆ -2.3465 ┆ 31.0967 ┆ 0.0394 ┆ -0.7153 ┆ 8.1488 ┆ 13.6211 ┆ 557.8317 ┆ -2.3702 ┆ -0.0032 ┆ -0.0836 ┆ -1.0351 ┆ -126.2168 ┆ 0.6518 ┆ 0.6215 ┆ -0.7325 ┆ 0.0409 ┆ 0.2802 ┆ 0.0 ┆ 2025-11-10 09:30:56 EST ┆ 270.04 │ │ AAPL ┆ 2025-11-14 ┆ 297.5 ┆ CALL ┆ 2025-11-10 09:30:01.510 EST ┆ 58769718 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 1 ┆ 6 ┆ 0.02 ┆ 0.0057 ┆ -0.0203 ┆ 0.4737 ┆ 0.0177 ┆ -0.0179 ┆ 80.4149 ┆ 0.0015 ┆ 0.1151 ┆ -1.8034 ┆ 8.4732 ┆ 152.986 ┆ 0.3568 ┆ 0.0003 ┆ 0.0233 ┆ 0.3656 ┆ 81.5593 ┆ -2.5293 ┆ -2.5686 ┆ -0.0051 ┆ 0.0012 ┆ 0.3632 ┆ -0.0442 ┆ 2025-11-10 09:30:01 EST ┆ 269.02 │ │ AAPL ┆ 2025-11-14 ┆ 297.5 ┆ CALL ┆ 2025-11-10 09:30:03.095 EST ┆ 59706894 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 125 ┆ 1 ┆ 6 ┆ 0.02 ┆ 0.0061 ┆ -0.0213 ┆ 0.5038 ┆ 0.019 ┆ -0.0192 ┆ 80.7578 ┆ 0.0016 ┆ 0.1223 ┆ -1.8965 ┆ 8.9394 ┆ 160.096 ┆ 0.38 ┆ 0.0003 ┆ 0.0246 ┆ 0.383 ┆ 83.9693 ┆ -2.5056 ┆ -2.5445 ┆ -0.0054 ┆ 0.0013 ┆ 0.3593 ┆ 0.0198 ┆ 2025-11-10 09:30:03 EST ┆ 269.56 │ └────────┴────────────┴────────┴───────┴────────────────────────────────┴──────────┴────────────────┴────────────────┴────────────────┴────────────────┴───────────┴──────┴──────────┴───────┴────────┴─────────┴────────┴────────┴─────────┴─────────┴────────┴─────────┴─────────┴─────────┴──────────┴─────────┴─────────┴─────────┴─────────┴───────────┴─────────┴─────────┴────────────┴────────────┴─────────────┴──────────┴────────────────────────────────┴──────────────────┘ ' /option/history/greeks/first_order: x-concurrent-limit-ttl-ms: '2955' x-min-subscription: standard x-history-access: true get: summary: First Order Greeks operationId: option_history_greeks_first_order x-codeSamples: - lang: Python label: pandas source: "from thetadata import ThetaClient\nfrom datetime import date\n\nclient = ThetaClient(dataframe_type='pandas')\ndf = client.option_history_greeks_first_order(\n symbol='AAPL',\n expiration=date(2024, 11, 8),\n interval='5m',\n)\n" - lang: Python label: polars source: "from thetadata import ThetaClient\nfrom datetime import date\n\nclient = ThetaClient(dataframe_type='polars')\ndf = client.option_history_greeks_first_order(\n symbol='AAPL',\n expiration=date(2024, 11, 8),\n interval='5m',\n)\n" tags: - Option description: "- Returns the data for all contracts that share the same provided symbol and expiration. \n- 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](/operations/option_history_quote.html) endpoint. \n- The underlying price represents whatever the last underlying price was at the ``timestamp`` field. You can read more about how Theta Data calculates greeks [here](/Articles/Data-And-Requests/Option-Greeks.html).\n- Multi-day requests are limited to 1 month of data.\n" x-sample-urls: - url: http://127.0.0.1:25503/v3/option/history/greeks/first_order?symbol=AAPL&expiration=20241108&date=20241104&interval=5m description: Returns first order greeks for an option contract - url: http://127.0.0.1:25503/v3/option/history/greeks/first_order?symbol=AAPL&expiration=20241108&date=20241104&interval=5m&format=html description: Click to open in browser (HTML) - url: http://127.0.0.1:25503/v3/option/history/greeks/first_order?symbol=AAPL&expiration=20241108&start_date=20241104&end_date=20241107&interval=5m description: Returns first order greeks for an option contract between the specified dates (inclusive) - url: http://127.0.0.1:25503/v3/option/history/greeks/first_order?symbol=AAPL&expiration=20241108&start_date=20241104&end_date=20241107&interval=5m&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/opt_date' - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration_no_star' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/start_time' - $ref: '#/components/parameters/end_time' - $ref: '#/components/parameters/interval' - $ref: '#/components/parameters/annual_dividend' - $ref: '#/components/parameters/rate_type' - $ref: '#/components/parameters/rate_value' - $ref: '#/components/parameters/greeks_version' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/format' - $ref: '#/components/parameters/opt_start_date' - $ref: '#/components/parameters/opt_end_date' responses: '200': description: Returns first order greeks for an option contract content: text/csv: schema: type: array items: &id049 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid: type: number description: The last NBBO bid price. ask: type: number description: The last NBBO ask price. delta: type: number description: The delta. theta: type: number description: The Theta. vega: type: number description: The vega. rho: type: number description: The rho. epsilon: type: number description: The epsilon. lambda: type: number description: The lambda. implied_vol: type: number description: The implied volatiltiy calculated using the trade price. iv_error: type: number description: '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.' underlying_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,bid,ask,delta,theta,vega,rho,epsilon,lambda,implied_vol,iv_error,underlying_timestamp,underlying_price\r\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:30:00,0.00,0.00,0.0000,0.0000,0.0000,0.0000,0.0000,261.9304,0.2500,100.0000,2024-11-04T09:30:00,221.00\r\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:35:00,0.00,0.02,0.0026,-0.0141,0.1913,0.0063,-0.0064,55.2930,0.5874,0.0721,2024-11-04T09:35:00,220.66\r\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:40:00,0.00,0.02,0.0026,-0.0138,0.1873,0.0062,-0.0063,55.3974,0.5874,0.0455,2024-11-04T09:40:00,220.56\r\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:45:00,0.00,0.02,0.0025,-0.0133,0.1832,0.0060,-0.0061,56.1024,0.5812,0.0075,2024-11-04T09:45:00,220.86\r\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:50:00,0.00,0.02,0.0025,-0.0130,0.1807,0.0059,-0.0060,56.7822,0.5749,-0.0199,2024-11-04T09:50:00,221.20\r\n" application/json: schema: &id050 type: array items: *id049 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":262.500,\"right\":\"CALL\",\"expiration\":\"2024-11-08\"},\n \"data\": [\n {\"underlying_price\":221.00,\"delta\":0.0000,\"implied_vol\":0.2500,\"theta\":0.0000,\"iv_error\":100.0000,\"epsilon\":0.0000,\"lambda\":261.9304,\"ask\":0.00,\"rho\":0.0000,\"bid\":0.00,\"underlying_timestamp\":\"2024-11-04T09:30:00\",\"vega\":0.0000,\"timestamp\":\"2024-11-04T09:30:00\"},\n {\"underlying_price\":220.66,\"delta\":0.0026,\"implied_vol\":0.5874,\"theta\":-0.0141,\"iv_error\":0.0721,\"epsilon\":-0.0064,\"lambda\":55.2930,\"ask\":0.02,\"rho\":0.0063,\"bid\":0.00,\"underlying_timestamp\":\"2024-11-04T09:35:00\",\"vega\":0.1913,\"timestamp\":\"2024-11-04T09:35:00\"},\n {\"underlying_price\":220.56,\"delta\":0.0026,\"implied_vol\":0.5874,\"theta\":-0.0138,\"iv_error\":0.0455,\"epsilon\":-0.0063,\"lambda\":55.3974,\"ask\":0.02,\"rho\":0.0062,\"bid\":0.00,\"underlying_timestamp\":\"2024-11-04T09:40:00\",\"vega\":0.1873,\"timestamp\":\"2024-11-04T09:40:00\"},\n {\"underlying_price\":220.86,\"delta\":0.0025,\"implied_vol\":0.5812,\"theta\":-0.0133,\"iv_error\":0.0075,\"epsilon\":-0.0061,\"lambda\":56.1024,\"ask\":0.02,\"rho\":0.0060,\"bid\":0.00,\"underlying_timestamp\":\"2024-11-04T09:45:00\",\"vega\":0.1832,\"timestamp\":\"2024-11-04T09:45:00\"},\n {\"underlying_price\":221.20,\"delta\":0.0025,\"implied_vol\":0.5749,\"theta\":-0.0130,\"iv_error\":-0.0199,\"epsilon\":-0.0060,\"lambda\":56.7822,\"ask\":0.02,\"rho\":0.0059,\"bid\":0.00,\"underlying_timestamp\":\"2024-11-04T09:50:00\",\"vega\":0.1807,\"timestamp\":\"2024-11-04T09:50:00\"}\n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id050 example: '{"symbol":"AAPL","underlying_price":221.00,"strike":262.500,"delta":0.0000,"right":"CALL","implied_vol":0.2500,"theta":0.0000,"iv_error":100.0000,"epsilon":0.0000,"lambda":261.9304,"ask":0.00,"rho":0.0000,"expiration":"2024-11-08","bid":0.00,"underlying_timestamp":"2024-11-04T09:30:00","vega":0.0000,"timestamp":"2024-11-04T09:30:00"} {"symbol":"AAPL","underlying_price":220.66,"strike":262.500,"delta":0.0026,"right":"CALL","implied_vol":0.5874,"theta":-0.0141,"iv_error":0.0721,"epsilon":-0.0064,"lambda":55.2930,"ask":0.02,"rho":0.0063,"expiration":"2024-11-08","bid":0.00,"underlying_timestamp":"2024-11-04T09:35:00","vega":0.1913,"timestamp":"2024-11-04T09:35:00"} {"symbol":"AAPL","underlying_price":220.56,"strike":262.500,"delta":0.0026,"right":"CALL","implied_vol":0.5874,"theta":-0.0138,"iv_error":0.0455,"epsilon":-0.0063,"lambda":55.3974,"ask":0.02,"rho":0.0062,"expiration":"2024-11-08","bid":0.00,"underlying_timestamp":"2024-11-04T09:40:00","vega":0.1873,"timestamp":"2024-11-04T09:40:00"} {"symbol":"AAPL","underlying_price":220.86,"strike":262.500,"delta":0.0025,"right":"CALL","implied_vol":0.5812,"theta":-0.0133,"iv_error":0.0075,"epsilon":-0.0061,"lambda":56.1024,"ask":0.02,"rho":0.0060,"expiration":"2024-11-08","bid":0.00,"underlying_timestamp":"2024-11-04T09:45:00","vega":0.1832,"timestamp":"2024-11-04T09:45:00"} {"symbol":"AAPL","underlying_price":221.20,"strike":262.500,"delta":0.0025,"right":"CALL","implied_vol":0.5749,"theta":-0.0130,"iv_error":-0.0199,"epsilon":-0.0060,"lambda":56.7822,"ask":0.02,"rho":0.0059,"expiration":"2024-11-08","bid":0.00,"underlying_timestamp":"2024-11-04T09:50:00","vega":0.1807,"timestamp":"2024-11-04T09:50:00"}' python/pandas: schema: *id050 example: 'symbol expiration strike right timestamp bid ask delta theta vega rho epsilon lambda implied_vol iv_error underlying_timestamp underlying_price 0 SPY 2025-10-17 420.0 CALL 2025-09-19 09:30:00-04:00 0.00 0.00 1.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 100.0 2025-09-19 09:30:00-04:00 662.31 1 SPY 2025-10-17 420.0 CALL 2025-09-19 09:31:00-04:00 241.85 245.21 0.9922 -0.0968 3.9248 31.6941 -50.3758 2.6965 0.7126 0.0 2025-09-19 09:31:00-04:00 661.84 2 SPY 2025-10-17 420.0 CALL 2025-09-19 09:32:00-04:00 241.85 245.24 0.9930 -0.0911 3.5425 31.7413 -50.4238 2.6989 0.6996 0.0 2025-09-19 09:32:00-04:00 661.90 3 SPY 2025-10-17 420.0 CALL 2025-09-19 09:33:00-04:00 241.85 245.05 0.9934 -0.0888 3.3830 31.7607 -50.4363 2.7006 0.6937 0.0 2025-09-19 09:33:00-04:00 661.83 4 SPY 2025-10-17 420.0 CALL 2025-09-19 09:34:00-04:00 241.71 244.84 0.9923 -0.0957 3.8551 31.7028 -50.3645 2.6988 0.7097 0.0 2025-09-19 09:34:00-04:00 661.59 5 SPY 2025-10-17 420.0 CALL 2025-09-19 09:35:00-04:00 241.71 244.85 0.9905 -0.1078 4.6515 31.6018 -50.2644 2.6933 0.7355 0.0 2025-09-19 09:35:00-04:00 661.49 6 SPY 2025-10-17 420.0 CALL 2025-09-19 09:36:00-04:00 241.71 244.66 0.9925 -0.0945 3.7746 31.7127 -50.3676 2.6999 0.7068 0.0 2025-09-19 09:36:00-04:00 661.51 7 SPY 2025-10-17 420.0 CALL 2025-09-19 09:37:00-04:00 241.71 244.71 0.9908 -0.1055 4.5070 31.6204 -50.2775 2.6948 0.7308 0.0 2025-09-19 09:37:00-04:00 661.44 8 SPY 2025-10-17 420.0 CALL 2025-09-19 09:38:00-04:00 241.71 244.88 0.9910 -0.1046 4.4454 31.6283 -50.2917 2.6946 0.7291 0.0 2025-09-19 09:38:00-04:00 661.53 9 SPY 2025-10-17 420.0 CALL 2025-09-19 09:39:00-04:00 241.71 244.67 0.9898 -0.1120 4.9253 31.5662 -50.2219 2.6920 0.7437 0.0 2025-09-19 09:39:00-04:00 661.36 10 SPY 2025-10-17 420.0 CALL 2025-09-19 09:40:00-04:00 241.71 244.80 0.9941 -0.0841 3.0549 31.8000 -50.4604 2.7041 0.6812 0.0 2025-09-19 09:40:00-04:00 661.67 11 SPY 2025-10-17 420.0 CALL 2025-09-19 09:41:00-04:00 241.71 244.94 0.9953 -0.0765 2.4993 31.8649 -50.5305 2.7071 0.6593 0.0 2025-09-19 09:41:00-04:00 661.80 12 SPY 2025-10-17 420.0 CALL 2025-09-19 09:42:00-04:00 241.71 244.94 0.9951 -0.0778 2.5936 31.8541 -50.5197 2.7065 0.6632 0.0 2025-09-19 09:42:00-04:00 661.79 13 SPY 2025-10-17 420.0 CALL 2025-09-19 09:43:00-04:00 241.93 244.94 0.9947 -0.0804 2.7818 31.8322 -50.5063 2.7046 0.6710 0.0 2025-09-19 09:43:00-04:00 661.88 14 SPY 2025-10-17 420.0 CALL 2025-09-19 09:44:00-04:00 241.80 244.89 0.9911 -0.1034 4.3682 31.6382 -50.3053 2.6948 0.7267 0.0 2025-09-19 09:44:00-04:00 661.59 15 SPY 2025-10-17 420.0 CALL 2025-09-19 09:45:00-04:00 241.71 244.94 0.9921 -0.0969 3.9389 31.6923 -50.3580 2.6978 0.7126 0.0 2025-09-19 09:45:00-04:00 661.63 16 SPY 2025-10-17 420.0 CALL 2025-09-19 09:46:00-04:00 241.71 244.83 0.9907 -0.1066 4.5772 31.6114 -50.2731 2.6939 0.7332 0.0 2025-09-19 09:46:00-04:00 661.49 17 SPY 2025-10-17 420.0 CALL 2025-09-19 09:47:00-04:00 241.80 244.60 0.9939 -0.0853 3.1413 31.7897 -50.4462 2.7039 0.6843 0.0 2025-09-19 09:47:00-04:00 661.61 18 SPY 2025-10-17 420.0 CALL 2025-09-19 09:48:00-04:00 241.71 244.77 0.9979 -0.0600 1.2003 32.0064 -50.6660 2.7152 0.5937 0.0 2025-09-19 09:48:00-04:00 661.84 19 SPY 2025-10-17 420.0 CALL 2025-09-19 09:49:00-04:00 241.74 244.94 0.9979 -0.0600 1.1973 32.0067 -50.6740 2.7145 0.5937 0.0 2025-09-19 09:49:00-04:00 661.94 20 SPY 2025-10-17 420.0 CALL 2025-09-19 09:50:00-04:00 242.13 245.74 0.9953 -0.0766 2.5060 31.8641 -50.5766 2.7028 0.6609 0.0 2025-09-19 09:50:00-04:00 662.41 21 SPY 2025-10-17 420.0 CALL 2025-09-19 09:51:00-04:00 242.13 245.37 0.9982 -0.0582 1.0449 32.0222 -50.7208 2.7125 0.5843 0.0 2025-09-19 09:51:00-04:00 662.36 22 SPY 2025-10-17 420.0 CALL 2025-09-19 09:52:00-04:00 242.31 245.83 0.9951 -0.0778 2.5931 31.8541 -50.5773 2.7013 0.6648 0.0 2025-09-19 09:52:00-04:00 662.54 23 SPY 2025-10-17 420.0 CALL 2025-09-19 09:53:00-04:00 242.75 245.56 0.9951 -0.0778 2.5891 31.8546 -50.5839 2.7007 0.6648 0.0 2025-09-19 09:53:00-04:00 662.62 24 SPY 2025-10-17 420.0 CALL 2025-09-19 09:54:00-04:00 242.38 245.89 0.9943 -0.0828 2.9538 31.8120 -50.5398 2.6986 0.6792 0.0 2025-09-19 09:54:00-04:00 662.56 25 SPY 2025-10-17 420.0 CALL 2025-09-19 09:55:00-04:00 242.26 245.77 0.9951 -0.0779 2.5962 31.8538 -50.5723 2.7017 0.6648 0.0 2025-09-19 09:55:00-04:00 662.48 26 SPY 2025-10-17 420.0 CALL 2025-09-19 09:56:00-04:00 242.26 245.77 0.9949 -0.0792 2.6922 31.8426 -50.5613 2.7011 0.6687 0.0 2025-09-19 09:56:00-04:00 662.47 27 SPY 2025-10-17 420.0 CALL 2025-09-19 09:57:00-04:00 242.44 245.60 0.9915 -0.1014 4.2287 31.6559 -50.3753 2.6910 0.7238 0.0 2025-09-19 09:57:00-04:00 662.29 28 SPY 2025-10-17 420.0 CALL 2025-09-19 09:58:00-04:00 242.15 245.63 0.9930 -0.0912 3.5426 31.7413 -50.4506 2.6965 0.7003 0.0 2025-09-19 09:58:00-04:00 662.25 29 SPY 2025-10-17 420.0 CALL 2025-09-19 09:59:00-04:00 242.15 245.37 0.9922 -0.0968 3.9268 31.6938 -50.3932 2.6949 0.7132 0.0 2025-09-19 09:59:00-04:00 662.07 30 SPY 2025-10-17 420.0 CALL 2025-09-19 10:00:00-04:00 242.15 245.52 0.9922 -0.0968 3.9221 31.6944 -50.3991 2.6944 0.7132 0.0 2025-09-19 10:00:00-04:00 662.14 ' python/polars: schema: *id050 example: 'shape: (31, 17) ┌────────┬────────────┬────────┬───────┬────────────────────────────────┬────────┬────────┬────────┬─────────┬────────┬─────────┬──────────┬────────┬─────────────┬──────────┬────────────────────────────────┬──────────────────┐ │ symbol ┆ expiration ┆ strike ┆ right ┆ timestamp ┆ bid ┆ ask ┆ delta ┆ theta ┆ vega ┆ rho ┆ epsilon ┆ lambda ┆ implied_vol ┆ iv_error ┆ underlying_timestamp ┆ underlying_price │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str ┆ datetime[ms, America/New_York] ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ datetime[ms, America/New_York] ┆ f64 │ ╞════════╪════════════╪════════╪═══════╪════════════════════════════════╪════════╪════════╪════════╪═════════╪════════╪═════════╪══════════╪════════╪═════════════╪══════════╪════════════════════════════════╪══════════════════╡ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:30:00 EDT ┆ 0.0 ┆ 0.0 ┆ 1.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 100.0 ┆ 2025-09-19 09:30:00 EDT ┆ 662.31 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:31:00 EDT ┆ 241.85 ┆ 245.21 ┆ 0.9922 ┆ -0.0968 ┆ 3.9248 ┆ 31.6941 ┆ -50.3758 ┆ 2.6965 ┆ 0.7126 ┆ 0.0 ┆ 2025-09-19 09:31:00 EDT ┆ 661.84 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:32:00 EDT ┆ 241.85 ┆ 245.24 ┆ 0.993 ┆ -0.0911 ┆ 3.5425 ┆ 31.7413 ┆ -50.4238 ┆ 2.6989 ┆ 0.6996 ┆ 0.0 ┆ 2025-09-19 09:32:00 EDT ┆ 661.9 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:33:00 EDT ┆ 241.85 ┆ 245.05 ┆ 0.9934 ┆ -0.0888 ┆ 3.383 ┆ 31.7607 ┆ -50.4363 ┆ 2.7006 ┆ 0.6937 ┆ 0.0 ┆ 2025-09-19 09:33:00 EDT ┆ 661.83 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:34:00 EDT ┆ 241.71 ┆ 244.84 ┆ 0.9923 ┆ -0.0957 ┆ 3.8551 ┆ 31.7028 ┆ -50.3645 ┆ 2.6988 ┆ 0.7097 ┆ 0.0 ┆ 2025-09-19 09:34:00 EDT ┆ 661.59 │ │ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:56:00 EDT ┆ 242.26 ┆ 245.77 ┆ 0.9949 ┆ -0.0792 ┆ 2.6922 ┆ 31.8426 ┆ -50.5613 ┆ 2.7011 ┆ 0.6687 ┆ 0.0 ┆ 2025-09-19 09:56:00 EDT ┆ 662.47 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:57:00 EDT ┆ 242.44 ┆ 245.6 ┆ 0.9915 ┆ -0.1014 ┆ 4.2287 ┆ 31.6559 ┆ -50.3753 ┆ 2.691 ┆ 0.7238 ┆ 0.0 ┆ 2025-09-19 09:57:00 EDT ┆ 662.29 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:58:00 EDT ┆ 242.15 ┆ 245.63 ┆ 0.993 ┆ -0.0912 ┆ 3.5426 ┆ 31.7413 ┆ -50.4506 ┆ 2.6965 ┆ 0.7003 ┆ 0.0 ┆ 2025-09-19 09:58:00 EDT ┆ 662.25 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:59:00 EDT ┆ 242.15 ┆ 245.37 ┆ 0.9922 ┆ -0.0968 ┆ 3.9268 ┆ 31.6938 ┆ -50.3932 ┆ 2.6949 ┆ 0.7132 ┆ 0.0 ┆ 2025-09-19 09:59:00 EDT ┆ 662.07 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 10:00:00 EDT ┆ 242.15 ┆ 245.52 ┆ 0.9922 ┆ -0.0968 ┆ 3.9221 ┆ 31.6944 ┆ -50.3991 ┆ 2.6944 ┆ 0.7132 ┆ 0.0 ┆ 2025-09-19 10:00:00 EDT ┆ 662.14 │ └────────┴────────────┴────────┴───────┴────────────────────────────────┴────────┴────────┴────────┴─────────┴────────┴─────────┴──────────┴────────┴─────────────┴──────────┴────────────────────────────────┴──────────────────┘ ' /option/history/trade_greeks/first_order: x-concurrent-limit-ttl-ms: '1810' x-min-subscription: professional x-history-access: true get: summary: First Order Trade Greeks operationId: option_history_trade_greeks_first_order x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''pandas'') df = client.option_history_trade_greeks_first_order(symbol=''AAPL'', expiration=date(2024, 11, 8)) ' - lang: Python label: polars source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''polars'') df = client.option_history_trade_greeks_first_order(symbol=''AAPL'', expiration=date(2024, 11, 8)) ' tags: - Option description: '- Returns the data for all contracts that share the same provided symbol and expiration. - Calculates greeks for every trade reported by [OPRA](/Articles/Data-And-Requests/The-SIPs.html). - The underlying price represents whatever the last underlying price was at the ``timestamp`` field. You can read more about how Theta Data calculates greeks [here](/Articles/Data-And-Requests/Option-Greeks.html). - Multi-day requests are limited to 1 month of data, and must specify an expiration. ' x-sample-urls: - url: http://127.0.0.1:25503/v3/option/history/trade_greeks/first_order?symbol=AAPL&expiration=20241108&date=20241104 description: Returns first order trade greeks for an option contract - url: http://127.0.0.1:25503/v3/option/history/trade_greeks/first_order?symbol=AAPL&expiration=20241108&start_date=20241104&end_date=20241110 description: Returns first order trade greeks for an option contract between the specified dates (inclusive) - url: http://127.0.0.1:25503/v3/option/history/trade_greeks/first_order?symbol=AAPL&expiration=*&date=20241104 description: Returns first order trade greeks for an full chain of option contracts - url: http://127.0.0.1:25503/v3/option/history/trade_greeks/first_order?symbol=AAPL&expiration=*&date=20241104&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/opt_date' - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/start_time' - $ref: '#/components/parameters/end_time' - $ref: '#/components/parameters/annual_dividend' - $ref: '#/components/parameters/rate_type' - $ref: '#/components/parameters/rate_value' - $ref: '#/components/parameters/greeks_version' - $ref: '#/components/parameters/max_dte' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/format' - $ref: '#/components/parameters/opt_start_date' - $ref: '#/components/parameters/opt_end_date' responses: '200': description: Returns first order trade greeks for an option contract content: text/csv: schema: type: array items: &id051 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. sequence: type: integer description: The exchange [sequence](/Articles/Data-And-Requests/Making-Requests.html#trade-sequences). ext_condition1: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition2: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition3: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition4: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. condition: type: integer description: The trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). size: type: integer description: The amount of contracts / shares traded. exchange: type: integer description: The [exchange](/Articles/Errors-Exchanges-Conditions/Exchanges.html) the trade was executed. price: type: number description: The trade price. delta: type: number description: The delta. theta: type: string description: The Theta. vega: type: number description: The vega. rho: type: number description: The rho. epsilon: type: string description: The epsilon. lambda: type: number description: The lambda. implied_vol: type: number description: The implied volatiltiy calculated using the trade price. iv_error: type: number description: '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.' underlying_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,sequence,ext_condition1,ext_condition2,ext_condition3,ext_condition4,condition,size,exchange,price,delta,theta,vega,rho,epsilon,lambda,implied_vol,iv_error,underlying_timestamp,underlying_price\r\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:53:54.069,156249981,255,255,255,255,125,1,9,0.01,0.0025,-0.0134,0.1858,0.0061,-0.0062,56.6408,0.5749,0.0132,2024-11-04T09:53:54,221.33\r\nAAPL,2024-11-08,140.000,CALL,2024-11-04T11:47:14.764,546105677,255,255,255,255,131,2,5,81.32,0.9976,-0.0520,0.1690,1.5274,-2.4186,2.7139,1.5937,0.0000,2024-11-04T11:47:14,221.22\r\nAAPL,2024-11-08,140.000,CALL,2024-11-04T11:47:56.669,548097371,255,255,255,255,130,3,7,81.16,1.0000,0.0000,0.0000,0.0000,0.0000,0.0000,0.0000,0.0011,2024-11-04T11:47:56,221.18\r\nAAPL,2024-11-08,140.000,CALL,2024-11-04T11:48:03.852,548397162,255,255,255,255,130,3,6,81.26,0.9976,-0.0522,0.1697,1.5274,-2.4179,2.7152,1.5937,0.0000,2024-11-04T11:48:03,221.16\r\nAAPL,2024-11-08,140.000,CALL,2024-11-04T11:48:51.11,550463381,255,255,255,255,131,1,5,81.27,0.9993,-0.0279,0.0544,1.5317,-2.4223,2.7198,1.3968,0.0000,2024-11-04T11:48:51,221.19\r\n" application/json: schema: &id052 type: array items: *id051 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":262.500,\"right\":\"CALL\",\"expiration\":\"2024-11-08\"},\n \"data\": [\n {\"underlying_price\":221.33,\"delta\":0.0025,\"implied_vol\":0.5749,\"theta\":-0.0134,\"iv_error\":0.0132,\"epsilon\":-0.0062,\"sequence\":156249981,\"condition\":125,\"lambda\":56.6408,\"size\":1,\"price\":0.01,\"ext_condition2\":255,\"rho\":0.0061,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":9,\"ext_condition3\":255,\"underlying_timestamp\":\"2024-11-04T09:53:54\",\"vega\":0.1858,\"timestamp\":\"2024-11-04T09:53:54.069\"}\n ]\n },\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":140.000,\"right\":\"CALL\",\"expiration\":\"2024-11-08\"},\n \"data\": [\n {\"underlying_price\":221.22,\"delta\":0.9976,\"implied_vol\":1.5937,\"theta\":-0.0520,\"iv_error\":0.0000,\"epsilon\":-2.4186,\"sequence\":546105677,\"condition\":131,\"lambda\":2.7139,\"size\":2,\"price\":81.32,\"ext_condition2\":255,\"rho\":1.5274,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":5,\"ext_condition3\":255,\"underlying_timestamp\":\"2024-11-04T11:47:14\",\"vega\":0.1690,\"timestamp\":\"2024-11-04T11:47:14.764\"},\n {\"underlying_price\":221.18,\"delta\":1.0000,\"implied_vol\":0.0000,\"theta\":0.0000,\"iv_error\":0.0011,\"epsilon\":0.0000,\"sequence\":548097371,\"condition\":130,\"lambda\":0.0000,\"size\":3,\"price\":81.16,\"ext_condition2\":255,\"rho\":0.0000,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":7,\"ext_condition3\":255,\"underlying_timestamp\":\"2024-11-04T11:47:56\",\"vega\":0.0000,\"timestamp\":\"2024-11-04T11:47:56.669\"},\n {\"underlying_price\":221.16,\"delta\":0.9976,\"implied_vol\":1.5937,\"theta\":-0.0522,\"iv_error\":0.0000,\"epsilon\":-2.4179,\"sequence\":548397162,\"condition\":130,\"lambda\":2.7152,\"size\":3,\"price\":81.26,\"ext_condition2\":255,\"rho\":1.5274,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":6,\"ext_condition3\":255,\"underlying_timestamp\":\"2024-11-04T11:48:03\",\"vega\":0.1697,\"timestamp\":\"2024-11-04T11:48:03.852\"},\n {\"underlying_price\":221.19,\"delta\":0.9993,\"implied_vol\":1.3968,\"theta\":-0.0279,\"iv_error\":0.0000,\"epsilon\":-2.4223,\"sequence\":550463381,\"condition\":131,\"lambda\":2.7198,\"size\":1,\"price\":81.27,\"ext_condition2\":255,\"rho\":1.5317,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":5,\"ext_condition3\":255,\"underlying_timestamp\":\"2024-11-04T11:48:51\",\"vega\":0.0544,\"timestamp\":\"2024-11-04T11:48:51.11\"}\n ]\n } \n ]\n}\n" application/x-ndjson: schema: *id052 example: '{"symbol":"AAPL","underlying_price":221.33,"strike":262.500,"delta":0.0025,"right":"CALL","implied_vol":0.5749,"theta":-0.0134,"iv_error":0.0132,"epsilon":-0.0062,"sequence":156249981,"condition":125,"lambda":56.6408,"size":1,"price":0.01,"ext_condition2":255,"rho":0.0061,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":9,"ext_condition3":255,"underlying_timestamp":"2024-11-04T09:53:54","vega":0.1858,"timestamp":"2024-11-04T09:53:54.069"} {"symbol":"AAPL","underlying_price":221.22,"strike":140.000,"delta":0.9976,"right":"CALL","implied_vol":1.5937,"theta":-0.0520,"iv_error":0.0000,"epsilon":-2.4186,"sequence":546105677,"condition":131,"lambda":2.7139,"size":2,"price":81.32,"ext_condition2":255,"rho":1.5274,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":5,"ext_condition3":255,"underlying_timestamp":"2024-11-04T11:47:14","vega":0.1690,"timestamp":"2024-11-04T11:47:14.764"} {"symbol":"AAPL","underlying_price":221.18,"strike":140.000,"delta":1.0000,"right":"CALL","implied_vol":0.0000,"theta":0.0000,"iv_error":0.0011,"epsilon":0.0000,"sequence":548097371,"condition":130,"lambda":0.0000,"size":3,"price":81.16,"ext_condition2":255,"rho":0.0000,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":7,"ext_condition3":255,"underlying_timestamp":"2024-11-04T11:47:56","vega":0.0000,"timestamp":"2024-11-04T11:47:56.669"} {"symbol":"AAPL","underlying_price":221.16,"strike":140.000,"delta":0.9976,"right":"CALL","implied_vol":1.5937,"theta":-0.0522,"iv_error":0.0000,"epsilon":-2.4179,"sequence":548397162,"condition":130,"lambda":2.7152,"size":3,"price":81.26,"ext_condition2":255,"rho":1.5274,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":6,"ext_condition3":255,"underlying_timestamp":"2024-11-04T11:48:03","vega":0.1697,"timestamp":"2024-11-04T11:48:03.852"} {"symbol":"AAPL","underlying_price":221.19,"strike":140.000,"delta":0.9993,"right":"CALL","implied_vol":1.3968,"theta":-0.0279,"iv_error":0.0000,"epsilon":-2.4223,"sequence":550463381,"condition":131,"lambda":2.7198,"size":1,"price":81.27,"ext_condition2":255,"rho":1.5317,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":5,"ext_condition3":255,"underlying_timestamp":"2024-11-04T11:48:51","vega":0.0544,"timestamp":"2024-11-04T11:48:51.11"}' python/pandas: schema: *id052 example: 'symbol expiration strike right timestamp sequence ext_condition1 ext_condition2 ext_condition3 ext_condition4 condition size exchange price delta theta vega rho epsilon lambda implied_vol iv_error underlying_timestamp underlying_price 0 AAPL 2025-11-14 290.0 CALL 2025-11-10 09:30:01.503000-05:00 58765096 255 255 255 255 18 1 6 0.04 0.0127 -0.0347 0.9585 0.0397 -0.0401 87.5339 0.3066 -0.0196 2025-11-10 09:30:01-05:00 269.02 1 AAPL 2025-11-14 290.0 CALL 2025-11-10 09:30:02.123000-05:00 59131360 255 255 255 255 18 3 9 0.04 0.0132 -0.0358 0.9880 0.0411 -0.0415 87.1943 0.3066 0.0192 2025-11-10 09:30:02-05:00 269.14 2 AAPL 2025-11-14 290.0 CALL 2025-11-10 09:30:02.126000-05:00 59133877 255 255 255 255 18 1 9 0.04 0.0132 -0.0358 0.9880 0.0411 -0.0415 87.1943 0.3066 0.0192 2025-11-10 09:30:02-05:00 269.14 3 AAPL 2025-11-14 290.0 CALL 2025-11-10 09:30:03.929000-05:00 60102776 255 255 255 255 95 1 1 0.03 0.0105 -0.0278 0.8125 0.0328 -0.0331 94.7817 0.2890 -0.0023 2025-11-10 09:30:03-05:00 269.56 4 AAPL 2025-11-14 290.0 CALL 2025-11-10 09:30:31.912000-05:00 66164357 255 255 255 255 18 1 69 0.04 0.0135 -0.0350 1.0163 0.0424 -0.0429 91.5404 0.2910 0.0025 2025-11-10 09:30:31-05:00 270.26 .. ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... 588 AAPL 2025-11-14 265.0 CALL 2025-11-10 09:30:11.904000-05:00 62754770 255 255 255 255 130 1 42 6.22 0.7305 -0.3366 9.6372 2.2328 -2.3055 31.6826 0.2800 0.0000 2025-11-10 09:30:11-05:00 269.73 589 AAPL 2025-11-14 265.0 CALL 2025-11-10 09:30:35.448000-05:00 66662366 255 255 255 255 18 3 7 6.35 0.7569 -0.3048 9.1457 2.3176 -2.3918 32.1952 0.2646 0.0000 2025-11-10 09:30:35-05:00 270.10 590 AAPL 2025-11-14 265.0 CALL 2025-11-10 09:30:56.546000-05:00 69301579 255 255 255 255 130 2 6 6.45 0.7427 -0.3302 9.4218 2.2710 -2.3465 31.0967 0.2802 0.0000 2025-11-10 09:30:56-05:00 270.04 591 AAPL 2025-11-14 297.5 CALL 2025-11-10 09:30:01.510000-05:00 58769718 255 255 255 255 18 1 6 0.02 0.0057 -0.0203 0.4737 0.0177 -0.0179 80.4149 0.3632 -0.0442 2025-11-10 09:30:01-05:00 269.02 592 AAPL 2025-11-14 297.5 CALL 2025-11-10 09:30:03.095000-05:00 59706894 255 255 255 255 125 1 6 0.02 0.0061 -0.0213 0.5038 0.0190 -0.0192 80.7578 0.3593 0.0198 2025-11-10 09:30:03-05:00 269.56 [593 rows x 24 columns] ' python/polars: schema: *id052 example: 'shape: (593, 24) ┌────────┬────────────┬────────┬───────┬────────────────────────────────┬──────────┬────────────────┬────────────────┬────────────────┬────────────────┬───────────┬──────┬──────────┬───────┬────────┬─────────┬────────┬────────┬─────────┬─────────┬─────────────┬──────────┬────────────────────────────────┬──────────────────┐ │ symbol ┆ expiration ┆ strike ┆ right ┆ timestamp ┆ sequence ┆ ext_condition1 ┆ ext_condition2 ┆ ext_condition3 ┆ ext_condition4 ┆ condition ┆ size ┆ exchange ┆ price ┆ delta ┆ theta ┆ vega ┆ rho ┆ epsilon ┆ lambda ┆ implied_vol ┆ iv_error ┆ underlying_timestamp ┆ underlying_price │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str ┆ datetime[ms, America/New_York] ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ datetime[ms, America/New_York] ┆ f64 │ ╞════════╪════════════╪════════╪═══════╪════════════════════════════════╪══════════╪════════════════╪════════════════╪════════════════╪════════════════╪═══════════╪══════╪══════════╪═══════╪════════╪═════════╪════════╪════════╪═════════╪═════════╪═════════════╪══════════╪════════════════════════════════╪══════════════════╡ │ AAPL ┆ 2025-11-14 ┆ 290.0 ┆ CALL ┆ 2025-11-10 09:30:01.503 EST ┆ 58765096 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 1 ┆ 6 ┆ 0.04 ┆ 0.0127 ┆ -0.0347 ┆ 0.9585 ┆ 0.0397 ┆ -0.0401 ┆ 87.5339 ┆ 0.3066 ┆ -0.0196 ┆ 2025-11-10 09:30:01 EST ┆ 269.02 │ │ AAPL ┆ 2025-11-14 ┆ 290.0 ┆ CALL ┆ 2025-11-10 09:30:02.123 EST ┆ 59131360 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 3 ┆ 9 ┆ 0.04 ┆ 0.0132 ┆ -0.0358 ┆ 0.988 ┆ 0.0411 ┆ -0.0415 ┆ 87.1943 ┆ 0.3066 ┆ 0.0192 ┆ 2025-11-10 09:30:02 EST ┆ 269.14 │ │ AAPL ┆ 2025-11-14 ┆ 290.0 ┆ CALL ┆ 2025-11-10 09:30:02.126 EST ┆ 59133877 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 1 ┆ 9 ┆ 0.04 ┆ 0.0132 ┆ -0.0358 ┆ 0.988 ┆ 0.0411 ┆ -0.0415 ┆ 87.1943 ┆ 0.3066 ┆ 0.0192 ┆ 2025-11-10 09:30:02 EST ┆ 269.14 │ │ AAPL ┆ 2025-11-14 ┆ 290.0 ┆ CALL ┆ 2025-11-10 09:30:03.929 EST ┆ 60102776 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 95 ┆ 1 ┆ 1 ┆ 0.03 ┆ 0.0105 ┆ -0.0278 ┆ 0.8125 ┆ 0.0328 ┆ -0.0331 ┆ 94.7817 ┆ 0.289 ┆ -0.0023 ┆ 2025-11-10 09:30:03 EST ┆ 269.56 │ │ AAPL ┆ 2025-11-14 ┆ 290.0 ┆ CALL ┆ 2025-11-10 09:30:31.912 EST ┆ 66164357 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 1 ┆ 69 ┆ 0.04 ┆ 0.0135 ┆ -0.035 ┆ 1.0163 ┆ 0.0424 ┆ -0.0429 ┆ 91.5404 ┆ 0.291 ┆ 0.0025 ┆ 2025-11-10 09:30:31 EST ┆ 270.26 │ │ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … │ │ AAPL ┆ 2025-11-14 ┆ 265.0 ┆ CALL ┆ 2025-11-10 09:30:11.904 EST ┆ 62754770 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 130 ┆ 1 ┆ 42 ┆ 6.22 ┆ 0.7305 ┆ -0.3366 ┆ 9.6372 ┆ 2.2328 ┆ -2.3055 ┆ 31.6826 ┆ 0.28 ┆ 0.0 ┆ 2025-11-10 09:30:11 EST ┆ 269.73 │ │ AAPL ┆ 2025-11-14 ┆ 265.0 ┆ CALL ┆ 2025-11-10 09:30:35.448 EST ┆ 66662366 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 3 ┆ 7 ┆ 6.35 ┆ 0.7569 ┆ -0.3048 ┆ 9.1457 ┆ 2.3176 ┆ -2.3918 ┆ 32.1952 ┆ 0.2646 ┆ 0.0 ┆ 2025-11-10 09:30:35 EST ┆ 270.1 │ │ AAPL ┆ 2025-11-14 ┆ 265.0 ┆ CALL ┆ 2025-11-10 09:30:56.546 EST ┆ 69301579 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 130 ┆ 2 ┆ 6 ┆ 6.45 ┆ 0.7427 ┆ -0.3302 ┆ 9.4218 ┆ 2.271 ┆ -2.3465 ┆ 31.0967 ┆ 0.2802 ┆ 0.0 ┆ 2025-11-10 09:30:56 EST ┆ 270.04 │ │ AAPL ┆ 2025-11-14 ┆ 297.5 ┆ CALL ┆ 2025-11-10 09:30:01.510 EST ┆ 58769718 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 1 ┆ 6 ┆ 0.02 ┆ 0.0057 ┆ -0.0203 ┆ 0.4737 ┆ 0.0177 ┆ -0.0179 ┆ 80.4149 ┆ 0.3632 ┆ -0.0442 ┆ 2025-11-10 09:30:01 EST ┆ 269.02 │ │ AAPL ┆ 2025-11-14 ┆ 297.5 ┆ CALL ┆ 2025-11-10 09:30:03.095 EST ┆ 59706894 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 125 ┆ 1 ┆ 6 ┆ 0.02 ┆ 0.0061 ┆ -0.0213 ┆ 0.5038 ┆ 0.019 ┆ -0.0192 ┆ 80.7578 ┆ 0.3593 ┆ 0.0198 ┆ 2025-11-10 09:30:03 EST ┆ 269.56 │ └────────┴────────────┴────────┴───────┴────────────────────────────────┴──────────┴────────────────┴────────────────┴────────────────┴────────────────┴───────────┴──────┴──────────┴───────┴────────┴─────────┴────────┴────────┴─────────┴─────────┴─────────────┴──────────┴────────────────────────────────┴──────────────────┘ ' /option/history/greeks/second_order: x-concurrent-limit-ttl-ms: '3004' x-min-subscription: professional x-history-access: true get: summary: Second Order Greeks operationId: option_history_greeks_second_order x-codeSamples: - lang: Python label: pandas source: "from thetadata import ThetaClient\nfrom datetime import date\n\nclient = ThetaClient(dataframe_type='pandas')\ndf = client.option_history_greeks_second_order(\n symbol='AAPL',\n expiration=date(2024, 11, 8),\n interval='1h',\n)\n" - lang: Python label: polars source: "from thetadata import ThetaClient\nfrom datetime import date\n\nclient = ThetaClient(dataframe_type='polars')\ndf = client.option_history_greeks_second_order(\n symbol='AAPL',\n expiration=date(2024, 11, 8),\n interval='1h',\n)\n" tags: - Option description: "- Returns the data for all contracts that share the same provided symbol and expiration. \n- 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](/operations/option_history_quote.html) endpoint. \n- The underlying price represents whatever the last underlying price was at the ``timestamp`` field. You can read more about how Theta Data calculates greeks [here](/Articles/Data-And-Requests/Option-Greeks.html).\n- Multi-day requests are limited to 1 month of data.\n" x-sample-urls: - url: http://127.0.0.1:25503/v3/option/history/greeks/second_order?symbol=AAPL&expiration=20241108&date=20241104&interval=1h description: Returns second order greeks for an option contract - url: http://127.0.0.1:25503/v3/option/history/greeks/second_order?symbol=AAPL&expiration=20241108&date=20241104&interval=1h&format=html description: Click to open in browser (HTML) - url: http://127.0.0.1:25503/v3/option/history/greeks/second_order?symbol=AAPL&expiration=20241108&start_date=20241104&end_date=20241107&interval=1h description: Returns second order greeks for an option contract between the specified dates (inclusive) - url: http://127.0.0.1:25503/v3/option/history/greeks/second_order?symbol=AAPL&expiration=20241108&start_date=20241104&end_date=20241107&interval=1h&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/opt_date' - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration_no_star' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/start_time' - $ref: '#/components/parameters/end_time' - $ref: '#/components/parameters/interval' - $ref: '#/components/parameters/annual_dividend' - $ref: '#/components/parameters/rate_type' - $ref: '#/components/parameters/rate_value' - $ref: '#/components/parameters/greeks_version' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/format' - $ref: '#/components/parameters/opt_start_date' - $ref: '#/components/parameters/opt_end_date' responses: '200': description: Returns second order greeks for an option contract content: text/csv: schema: type: array items: &id053 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid: type: number description: The last NBBO bid price. ask: type: number description: The last NBBO ask price. gamma: type: number description: The gamma. vanna: type: number description: The vanna. charm: type: number description: The charm. vomma: type: number description: The vomma. veta: type: number description: The veta. implied_vol: type: number description: The implied volatiltiy calculated using the trade price. iv_error: type: number description: '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.' underlying_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,bid,ask,gamma,vanna,charm,vomma,veta,implied_vol,iv_error,underlying_timestamp,underlying_price\r\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:30:00,0.00,0.00,0.0000,0.0000,0.0000,0.0000,0.0000,0.2500,100.0000,2024-11-04T09:30:00,221.00\r\nAAPL,2024-11-08,262.500,CALL,2024-11-04T10:30:00,0.00,0.01,0.0000,0.0000,0.0000,0.0000,0.0000,0.2500,100.0000,2024-11-04T10:30:00,221.73\r\nAAPL,2024-11-08,262.500,CALL,2024-11-04T11:30:00,0.00,0.01,0.0000,0.0000,0.0000,0.0000,0.0000,0.2500,100.0000,2024-11-04T11:30:00,221.49\r\nAAPL,2024-11-08,262.500,CALL,2024-11-04T12:30:00,0.00,0.01,0.0000,0.0000,0.0000,0.0000,0.0000,0.2500,100.0000,2024-11-04T12:30:00,221.11\r\nAAPL,2024-11-08,262.500,CALL,2024-11-04T13:30:00,0.00,0.01,0.0000,0.0000,0.0000,0.0000,0.0000,0.2500,100.0000,2024-11-04T13:30:00,222.03\r\n" application/json: schema: &id054 type: array items: *id053 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":262.500,\"right\":\"CALL\",\"expiration\":\"2024-11-08\"},\n \"data\": [\n {\"underlying_price\":221.00,\"veta\":0.0000,\"implied_vol\":0.2500,\"iv_error\":100.0000,\"charm\":0.0000,\"ask\":0.00,\"vanna\":0.0000,\"vomma\":0.0000,\"bid\":0.00,\"underlying_timestamp\":\"2024-11-04T09:30:00\",\"gamma\":0.0000,\"timestamp\":\"2024-11-04T09:30:00\"},\n {\"underlying_price\":221.73,\"veta\":0.0000,\"implied_vol\":0.2500,\"iv_error\":100.0000,\"charm\":0.0000,\"ask\":0.01,\"vanna\":0.0000,\"vomma\":0.0000,\"bid\":0.00,\"underlying_timestamp\":\"2024-11-04T10:30:00\",\"gamma\":0.0000,\"timestamp\":\"2024-11-04T10:30:00\"},\n {\"underlying_price\":221.49,\"veta\":0.0000,\"implied_vol\":0.2500,\"iv_error\":100.0000,\"charm\":0.0000,\"ask\":0.01,\"vanna\":0.0000,\"vomma\":0.0000,\"bid\":0.00,\"underlying_timestamp\":\"2024-11-04T11:30:00\",\"gamma\":0.0000,\"timestamp\":\"2024-11-04T11:30:00\"},\n {\"underlying_price\":221.11,\"veta\":0.0000,\"implied_vol\":0.2500,\"iv_error\":100.0000,\"charm\":0.0000,\"ask\":0.01,\"vanna\":0.0000,\"vomma\":0.0000,\"bid\":0.00,\"underlying_timestamp\":\"2024-11-04T12:30:00\",\"gamma\":0.0000,\"timestamp\":\"2024-11-04T12:30:00\"},\n {\"underlying_price\":222.03,\"veta\":0.0000,\"implied_vol\":0.2500,\"iv_error\":100.0000,\"charm\":0.0000,\"ask\":0.01,\"vanna\":0.0000,\"vomma\":0.0000,\"bid\":0.00,\"underlying_timestamp\":\"2024-11-04T13:30:00\",\"gamma\":0.0000,\"timestamp\":\"2024-11-04T13:30:00\"}\n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id054 example: '{"symbol":"AAPL","underlying_price":221.00,"strike":262.500,"right":"CALL","veta":0.0000,"implied_vol":0.2500,"iv_error":100.0000,"charm":0.0000,"ask":0.00,"expiration":"2024-11-08","vanna":0.0000,"vomma":0.0000,"bid":0.00,"underlying_timestamp":"2024-11-04T09:30:00","gamma":0.0000,"timestamp":"2024-11-04T09:30:00"} {"symbol":"AAPL","underlying_price":221.73,"strike":262.500,"right":"CALL","veta":0.0000,"implied_vol":0.2500,"iv_error":100.0000,"charm":0.0000,"ask":0.01,"expiration":"2024-11-08","vanna":0.0000,"vomma":0.0000,"bid":0.00,"underlying_timestamp":"2024-11-04T10:30:00","gamma":0.0000,"timestamp":"2024-11-04T10:30:00"} {"symbol":"AAPL","underlying_price":221.49,"strike":262.500,"right":"CALL","veta":0.0000,"implied_vol":0.2500,"iv_error":100.0000,"charm":0.0000,"ask":0.01,"expiration":"2024-11-08","vanna":0.0000,"vomma":0.0000,"bid":0.00,"underlying_timestamp":"2024-11-04T11:30:00","gamma":0.0000,"timestamp":"2024-11-04T11:30:00"} {"symbol":"AAPL","underlying_price":221.11,"strike":262.500,"right":"CALL","veta":0.0000,"implied_vol":0.2500,"iv_error":100.0000,"charm":0.0000,"ask":0.01,"expiration":"2024-11-08","vanna":0.0000,"vomma":0.0000,"bid":0.00,"underlying_timestamp":"2024-11-04T12:30:00","gamma":0.0000,"timestamp":"2024-11-04T12:30:00"} {"symbol":"AAPL","underlying_price":222.03,"strike":262.500,"right":"CALL","veta":0.0000,"implied_vol":0.2500,"iv_error":100.0000,"charm":0.0000,"ask":0.01,"expiration":"2024-11-08","vanna":0.0000,"vomma":0.0000,"bid":0.00,"underlying_timestamp":"2024-11-04T13:30:00","gamma":0.0000,"timestamp":"2024-11-04T13:30:00"}' python/pandas: schema: *id054 example: 'symbol expiration strike right timestamp bid ask gamma vanna charm vomma veta implied_vol iv_error underlying_timestamp underlying_price 0 SPY 2025-10-17 420.0 CALL 2025-09-19 09:30:00-04:00 0.00 0.00 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 100.0 2025-09-19 09:30:00-04:00 662.31 1 SPY 2025-10-17 420.0 CALL 2025-09-19 09:31:00-04:00 241.85 245.21 0.0001 -0.0667 0.3054 29.5861 161.0257 0.7126 0.0 2025-09-19 09:31:00-04:00 661.84 2 SPY 2025-10-17 420.0 CALL 2025-09-19 09:32:00-04:00 241.85 245.24 0.0001 -0.0626 0.2813 28.2454 150.0252 0.6996 0.0 2025-09-19 09:32:00-04:00 661.90 3 SPY 2025-10-17 420.0 CALL 2025-09-19 09:33:00-04:00 241.85 245.05 0.0001 -0.0608 0.2711 27.6521 145.2796 0.6937 0.0 2025-09-19 09:33:00-04:00 661.83 4 SPY 2025-10-17 420.0 CALL 2025-09-19 09:34:00-04:00 241.71 244.84 0.0001 -0.0660 0.3012 29.3738 159.0453 0.7097 0.0 2025-09-19 09:34:00-04:00 661.59 5 SPY 2025-10-17 420.0 CALL 2025-09-19 09:35:00-04:00 241.71 244.85 0.0001 -0.0739 0.3495 31.8146 180.6250 0.7355 0.0 2025-09-19 09:35:00-04:00 661.49 6 SPY 2025-10-17 420.0 CALL 2025-09-19 09:36:00-04:00 241.71 244.66 0.0001 -0.0652 0.2962 29.1057 156.7512 0.7068 0.0 2025-09-19 09:36:00-04:00 661.51 7 SPY 2025-10-17 420.0 CALL 2025-09-19 09:37:00-04:00 241.71 244.71 0.0001 -0.0726 0.3410 31.4143 176.8465 0.7308 0.0 2025-09-19 09:37:00-04:00 661.44 8 SPY 2025-10-17 420.0 CALL 2025-09-19 09:38:00-04:00 241.71 244.88 0.0001 -0.0720 0.3373 31.2290 175.2241 0.7291 0.0 2025-09-19 09:38:00-04:00 661.53 9 SPY 2025-10-17 420.0 CALL 2025-09-19 09:39:00-04:00 241.71 244.67 0.0001 -0.0765 0.3655 32.5539 187.6142 0.7437 0.0 2025-09-19 09:39:00-04:00 661.36 10 SPY 2025-10-17 420.0 CALL 2025-09-19 09:40:00-04:00 241.71 244.80 0.0001 -0.0570 0.2496 26.3452 135.2032 0.6812 0.0 2025-09-19 09:40:00-04:00 661.67 11 SPY 2025-10-17 420.0 CALL 2025-09-19 09:41:00-04:00 241.71 244.94 0.0001 -0.0499 0.2116 23.7953 117.0834 0.6593 0.0 2025-09-19 09:41:00-04:00 661.80 12 SPY 2025-10-17 420.0 CALL 2025-09-19 09:42:00-04:00 241.71 244.94 0.0001 -0.0512 0.2182 24.2576 120.2646 0.6632 0.0 2025-09-19 09:42:00-04:00 661.79 13 SPY 2025-10-17 420.0 CALL 2025-09-19 09:43:00-04:00 241.93 244.94 0.0001 -0.0536 0.2311 25.1332 126.4828 0.6710 0.0 2025-09-19 09:43:00-04:00 661.88 14 SPY 2025-10-17 420.0 CALL 2025-09-19 09:44:00-04:00 241.80 244.89 0.0001 -0.0712 0.3326 30.9975 173.1709 0.7267 0.0 2025-09-19 09:44:00-04:00 661.59 15 SPY 2025-10-17 420.0 CALL 2025-09-19 09:45:00-04:00 241.71 244.94 0.0001 -0.0669 0.3064 29.6507 161.4115 0.7126 0.0 2025-09-19 09:45:00-04:00 661.63 16 SPY 2025-10-17 420.0 CALL 2025-09-19 09:46:00-04:00 241.71 244.83 0.0001 -0.0732 0.3451 31.6083 178.6905 0.7332 0.0 2025-09-19 09:46:00-04:00 661.49 17 SPY 2025-10-17 420.0 CALL 2025-09-19 09:47:00-04:00 241.80 244.60 0.0001 -0.0580 0.2554 26.7091 137.8938 0.6843 0.0 2025-09-19 09:47:00-04:00 661.61 18 SPY 2025-10-17 420.0 CALL 2025-09-19 09:48:00-04:00 241.71 244.77 0.0000 -0.0298 0.1136 15.6634 67.5747 0.5937 0.0 2025-09-19 09:48:00-04:00 661.84 19 SPY 2025-10-17 420.0 CALL 2025-09-19 09:49:00-04:00 241.74 244.94 0.0000 -0.0297 0.1134 15.6349 67.4468 0.5937 0.0 2025-09-19 09:49:00-04:00 661.94 20 SPY 2025-10-17 420.0 CALL 2025-09-19 09:50:00-04:00 242.13 245.74 0.0001 -0.0499 0.2118 23.7857 117.3279 0.6609 0.0 2025-09-19 09:50:00-04:00 662.41 21 SPY 2025-10-17 420.0 CALL 2025-09-19 09:51:00-04:00 242.13 245.37 0.0000 -0.0268 0.1007 14.3523 60.6982 0.5843 0.0 2025-09-19 09:51:00-04:00 662.36 22 SPY 2025-10-17 420.0 CALL 2025-09-19 09:52:00-04:00 242.31 245.83 0.0001 -0.0510 0.2179 24.2017 120.2697 0.6648 0.0 2025-09-19 09:52:00-04:00 662.54 23 SPY 2025-10-17 420.0 CALL 2025-09-19 09:53:00-04:00 242.75 245.56 0.0001 -0.0509 0.2176 24.1763 120.1353 0.6648 0.0 2025-09-19 09:53:00-04:00 662.62 24 SPY 2025-10-17 420.0 CALL 2025-09-19 09:54:00-04:00 242.38 245.89 0.0001 -0.0555 0.2425 25.8456 132.0392 0.6792 0.0 2025-09-19 09:54:00-04:00 662.56 25 SPY 2025-10-17 420.0 CALL 2025-09-19 09:55:00-04:00 242.26 245.77 0.0001 -0.0510 0.2181 24.2207 120.3705 0.6648 0.0 2025-09-19 09:55:00-04:00 662.48 26 SPY 2025-10-17 420.0 CALL 2025-09-19 09:56:00-04:00 242.26 245.77 0.0001 -0.0523 0.2248 24.6765 123.5617 0.6687 0.0 2025-09-19 09:56:00-04:00 662.47 27 SPY 2025-10-17 420.0 CALL 2025-09-19 09:57:00-04:00 242.44 245.60 0.0001 -0.0696 0.3239 30.5157 169.4446 0.7238 0.0 2025-09-19 09:57:00-04:00 662.29 28 SPY 2025-10-17 420.0 CALL 2025-09-19 09:58:00-04:00 242.15 245.63 0.0001 -0.0625 0.2812 28.2172 150.0430 0.7003 0.0 2025-09-19 09:58:00-04:00 662.25 29 SPY 2025-10-17 420.0 CALL 2025-09-19 09:59:00-04:00 242.15 245.37 0.0001 -0.0666 0.3055 29.5729 161.0912 0.7132 0.0 2025-09-19 09:59:00-04:00 662.07 30 SPY 2025-10-17 420.0 CALL 2025-09-19 10:00:00-04:00 242.15 245.52 0.0001 -0.0666 0.3051 29.5515 160.9628 0.7132 0.0 2025-09-19 10:00:00-04:00 662.14 ' python/polars: schema: *id054 example: 'shape: (31, 16) ┌────────┬────────────┬────────┬───────┬────────────────────────────────┬────────┬────────┬────────┬─────────┬────────┬─────────┬──────────┬─────────────┬──────────┬────────────────────────────────┬──────────────────┐ │ symbol ┆ expiration ┆ strike ┆ right ┆ timestamp ┆ bid ┆ ask ┆ gamma ┆ vanna ┆ charm ┆ vomma ┆ veta ┆ implied_vol ┆ iv_error ┆ underlying_timestamp ┆ underlying_price │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str ┆ datetime[ms, America/New_York] ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ datetime[ms, America/New_York] ┆ f64 │ ╞════════╪════════════╪════════╪═══════╪════════════════════════════════╪════════╪════════╪════════╪═════════╪════════╪═════════╪══════════╪═════════════╪══════════╪════════════════════════════════╪══════════════════╡ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:30:00 EDT ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 100.0 ┆ 2025-09-19 09:30:00 EDT ┆ 662.31 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:31:00 EDT ┆ 241.85 ┆ 245.21 ┆ 0.0001 ┆ -0.0667 ┆ 0.3054 ┆ 29.5861 ┆ 161.0257 ┆ 0.7126 ┆ 0.0 ┆ 2025-09-19 09:31:00 EDT ┆ 661.84 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:32:00 EDT ┆ 241.85 ┆ 245.24 ┆ 0.0001 ┆ -0.0626 ┆ 0.2813 ┆ 28.2454 ┆ 150.0252 ┆ 0.6996 ┆ 0.0 ┆ 2025-09-19 09:32:00 EDT ┆ 661.9 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:33:00 EDT ┆ 241.85 ┆ 245.05 ┆ 0.0001 ┆ -0.0608 ┆ 0.2711 ┆ 27.6521 ┆ 145.2796 ┆ 0.6937 ┆ 0.0 ┆ 2025-09-19 09:33:00 EDT ┆ 661.83 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:34:00 EDT ┆ 241.71 ┆ 244.84 ┆ 0.0001 ┆ -0.066 ┆ 0.3012 ┆ 29.3738 ┆ 159.0453 ┆ 0.7097 ┆ 0.0 ┆ 2025-09-19 09:34:00 EDT ┆ 661.59 │ │ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:56:00 EDT ┆ 242.26 ┆ 245.77 ┆ 0.0001 ┆ -0.0523 ┆ 0.2248 ┆ 24.6765 ┆ 123.5617 ┆ 0.6687 ┆ 0.0 ┆ 2025-09-19 09:56:00 EDT ┆ 662.47 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:57:00 EDT ┆ 242.44 ┆ 245.6 ┆ 0.0001 ┆ -0.0696 ┆ 0.3239 ┆ 30.5157 ┆ 169.4446 ┆ 0.7238 ┆ 0.0 ┆ 2025-09-19 09:57:00 EDT ┆ 662.29 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:58:00 EDT ┆ 242.15 ┆ 245.63 ┆ 0.0001 ┆ -0.0625 ┆ 0.2812 ┆ 28.2172 ┆ 150.043 ┆ 0.7003 ┆ 0.0 ┆ 2025-09-19 09:58:00 EDT ┆ 662.25 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:59:00 EDT ┆ 242.15 ┆ 245.37 ┆ 0.0001 ┆ -0.0666 ┆ 0.3055 ┆ 29.5729 ┆ 161.0912 ┆ 0.7132 ┆ 0.0 ┆ 2025-09-19 09:59:00 EDT ┆ 662.07 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 10:00:00 EDT ┆ 242.15 ┆ 245.52 ┆ 0.0001 ┆ -0.0666 ┆ 0.3051 ┆ 29.5515 ┆ 160.9628 ┆ 0.7132 ┆ 0.0 ┆ 2025-09-19 10:00:00 EDT ┆ 662.14 │ └────────┴────────────┴────────┴───────┴────────────────────────────────┴────────┴────────┴────────┴─────────┴────────┴─────────┴──────────┴─────────────┴──────────┴────────────────────────────────┴──────────────────┘ ' /option/history/trade_greeks/second_order: x-concurrent-limit-ttl-ms: '4829' x-min-subscription: professional x-history-access: true get: summary: Second Order Trade Greeks operationId: option_history_trade_greeks_second_order x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''pandas'') df = client.option_history_trade_greeks_second_order(symbol=''AAPL'', expiration=date(2024, 11, 8)) ' - lang: Python label: polars source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''polars'') df = client.option_history_trade_greeks_second_order(symbol=''AAPL'', expiration=date(2024, 11, 8)) ' tags: - Option description: '- Returns the data for all contracts that share the same provided symbol and expiration. - Calculates greeks for every trade reported by [OPRA](/Articles/Data-And-Requests/The-SIPs.html). - The underlying price represents whatever the last underlying price was at the ``timestamp`` field. You can read more about how Theta Data calculates greeks [here](/Articles/Data-And-Requests/Option-Greeks.html). - Multi-day requests are limited to 1 month of data, and must specify an expiration. ' x-sample-urls: - url: http://127.0.0.1:25503/v3/option/history/trade_greeks/second_order?symbol=AAPL&expiration=20241108&date=20241104 description: Returns second order trade greeks for an option contract - url: http://127.0.0.1:25503/v3/option/history/trade_greeks/second_order?symbol=AAPL&expiration=20241108&start_date=20241104&end_date=20241110 description: Returns second order trade greeks for an option contract between the specified dates (inclusive) - url: http://127.0.0.1:25503/v3/option/history/trade_greeks/second_order?symbol=AAPL&expiration=*&date=20241104 description: Returns second order trade greeks for an full chain of option contracts - url: http://127.0.0.1:25503/v3/option/history/trade_greeks/second_order?symbol=AAPL&expiration=*&date=20241104&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/opt_date' - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/start_time' - $ref: '#/components/parameters/end_time' - $ref: '#/components/parameters/annual_dividend' - $ref: '#/components/parameters/rate_type' - $ref: '#/components/parameters/rate_value' - $ref: '#/components/parameters/greeks_version' - $ref: '#/components/parameters/max_dte' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/format' - $ref: '#/components/parameters/opt_start_date' - $ref: '#/components/parameters/opt_end_date' responses: '200': description: Returns second order trade greeks for an option contract content: text/csv: schema: type: array items: &id055 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. sequence: type: integer description: The exchange [sequence](/Articles/Data-And-Requests/Making-Requests.html#trade-sequences). ext_condition1: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition2: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition3: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition4: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. condition: type: integer description: The trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). size: type: integer description: The amount of contracts / shares traded. exchange: type: integer description: The [exchange](/Articles/Errors-Exchanges-Conditions/Exchanges.html) the trade was executed. price: type: number description: The trade price. gamma: type: number description: The gamma. vanna: type: number description: The vanna. charm: type: string description: The charm. vomma: type: number description: The vomma. veta: type: number description: The veta. implied_vol: type: number description: The implied volatiltiy calculated using the trade price. iv_error: type: number description: '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.' underlying_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,sequence,ext_condition1,ext_condition2,ext_condition3,ext_condition4,condition,size,exchange,price,gamma,vanna,charm,vomma,veta,implied_vol,iv_error,underlying_timestamp,underlying_price\r\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:53:54.069,156249981,255,255,255,255,125,1,9,0.01,0.0006,0.0398,-1.0514,2.5798,0.0137,0.5749,0.0132,2024-11-04T09:53:54,221.33\r\nAAPL,2024-11-08,140.000,CALL,2024-11-04T11:47:14.764,546105677,255,255,255,255,131,2,5,81.32,0.0001,-0.0121,0.8843,0.7986,0.0063,1.5937,0.0000,2024-11-04T11:47:14,221.22\r\nAAPL,2024-11-08,140.000,CALL,2024-11-04T11:47:56.669,548097371,255,255,255,255,130,3,7,81.16,0.0000,0.0000,0.0000,0.0000,0.0000,0.0000,0.0011,2024-11-04T11:47:56,221.18\r\nAAPL,2024-11-08,140.000,CALL,2024-11-04T11:48:03.852,548397162,255,255,255,255,130,3,6,81.26,0.0001,-0.0122,0.8879,0.8011,0.0064,1.5937,0.0000,2024-11-04T11:48:03,221.16\r\nAAPL,2024-11-08,140.000,CALL,2024-11-04T11:48:51.11,550463381,255,255,255,255,131,1,5,81.27,0.0000,-0.0051,0.3271,0.3817,0.0025,1.3968,0.0000,2024-11-04T11:48:51,221.19\r\n" application/json: schema: &id056 type: array items: *id055 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":262.500,\"right\":\"CALL\",\"expiration\":\"2024-11-08\"},\n \"data\": [\n {\"underlying_price\":221.33,\"veta\":0.0137,\"implied_vol\":0.5749,\"iv_error\":0.0132,\"sequence\":156249981,\"condition\":125,\"size\":1,\"charm\":-1.0514,\"price\":0.01,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":9,\"vanna\":0.0398,\"vomma\":2.5798,\"ext_condition3\":255,\"underlying_timestamp\":\"2024-11-04T09:53:54\",\"gamma\":0.0006,\"timestamp\":\"2024-11-04T09:53:54.069\"}\n ]\n },\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":140.000,\"right\":\"CALL\",\"expiration\":\"2024-11-08\"},\n \"data\": [\n {\"underlying_price\":221.22,\"veta\":0.0063,\"implied_vol\":1.5937,\"iv_error\":0.0000,\"sequence\":546105677,\"condition\":131,\"size\":2,\"charm\":0.8843,\"price\":81.32,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":5,\"vanna\":-0.0121,\"vomma\":0.7986,\"ext_condition3\":255,\"underlying_timestamp\":\"2024-11-04T11:47:14\",\"gamma\":0.0001,\"timestamp\":\"2024-11-04T11:47:14.764\"},\n {\"underlying_price\":221.18,\"veta\":0.0000,\"implied_vol\":0.0000,\"iv_error\":0.0011,\"sequence\":548097371,\"condition\":130,\"size\":3,\"charm\":0.0000,\"price\":81.16,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":7,\"vanna\":0.0000,\"vomma\":0.0000,\"ext_condition3\":255,\"underlying_timestamp\":\"2024-11-04T11:47:56\",\"gamma\":0.0000,\"timestamp\":\"2024-11-04T11:47:56.669\"},\n {\"underlying_price\":221.16,\"veta\":0.0064,\"implied_vol\":1.5937,\"iv_error\":0.0000,\"sequence\":548397162,\"condition\":130,\"size\":3,\"charm\":0.8879,\"price\":81.26,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":6,\"vanna\":-0.0122,\"vomma\":0.8011,\"ext_condition3\":255,\"underlying_timestamp\":\"2024-11-04T11:48:03\",\"gamma\":0.0001,\"timestamp\":\"2024-11-04T11:48:03.852\"},\n {\"underlying_price\":221.19,\"veta\":0.0025,\"implied_vol\":1.3968,\"iv_error\":0.0000,\"sequence\":550463381,\"condition\":131,\"size\":1,\"charm\":0.3271,\"price\":81.27,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":5,\"vanna\":-0.0051,\"vomma\":0.3817,\"ext_condition3\":255,\"underlying_timestamp\":\"2024-11-04T11:48:51\",\"gamma\":0.0000,\"timestamp\":\"2024-11-04T11:48:51.11\"}\n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id056 example: '{"symbol":"AAPL","underlying_price":221.33,"strike":262.500,"right":"CALL","veta":0.0137,"implied_vol":0.5749,"iv_error":0.0132,"sequence":156249981,"condition":125,"size":1,"charm":-1.0514,"price":0.01,"ext_condition2":255,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":9,"vanna":0.0398,"vomma":2.5798,"ext_condition3":255,"underlying_timestamp":"2024-11-04T09:53:54","gamma":0.0006,"timestamp":"2024-11-04T09:53:54.069"} {"symbol":"AAPL","underlying_price":221.22,"strike":140.000,"right":"CALL","veta":0.0063,"implied_vol":1.5937,"iv_error":0.0000,"sequence":546105677,"condition":131,"size":2,"charm":0.8843,"price":81.32,"ext_condition2":255,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":5,"vanna":-0.0121,"vomma":0.7986,"ext_condition3":255,"underlying_timestamp":"2024-11-04T11:47:14","gamma":0.0001,"timestamp":"2024-11-04T11:47:14.764"} {"symbol":"AAPL","underlying_price":221.18,"strike":140.000,"right":"CALL","veta":0.0000,"implied_vol":0.0000,"iv_error":0.0011,"sequence":548097371,"condition":130,"size":3,"charm":0.0000,"price":81.16,"ext_condition2":255,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":7,"vanna":0.0000,"vomma":0.0000,"ext_condition3":255,"underlying_timestamp":"2024-11-04T11:47:56","gamma":0.0000,"timestamp":"2024-11-04T11:47:56.669"} {"symbol":"AAPL","underlying_price":221.16,"strike":140.000,"right":"CALL","veta":0.0064,"implied_vol":1.5937,"iv_error":0.0000,"sequence":548397162,"condition":130,"size":3,"charm":0.8879,"price":81.26,"ext_condition2":255,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":6,"vanna":-0.0122,"vomma":0.8011,"ext_condition3":255,"underlying_timestamp":"2024-11-04T11:48:03","gamma":0.0001,"timestamp":"2024-11-04T11:48:03.852"} {"symbol":"AAPL","underlying_price":221.19,"strike":140.000,"right":"CALL","veta":0.0025,"implied_vol":1.3968,"iv_error":0.0000,"sequence":550463381,"condition":131,"size":1,"charm":0.3271,"price":81.27,"ext_condition2":255,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":5,"vanna":-0.0051,"vomma":0.3817,"ext_condition3":255,"underlying_timestamp":"2024-11-04T11:48:51","gamma":0.0000,"timestamp":"2024-11-04T11:48:51.11"}' python/pandas: schema: *id056 example: 'symbol expiration strike right timestamp sequence ext_condition1 ext_condition2 ext_condition3 ext_condition4 condition size exchange price gamma vanna charm vomma veta implied_vol iv_error underlying_timestamp underlying_price 0 AAPL 2025-11-14 290.0 CALL 2025-11-10 09:30:01.503000-05:00 58765096 255 255 255 255 18 1 6 0.04 0.0036 0.2434 -3.2295 15.8242 250.8588 0.3066 -0.0196 2025-11-10 09:30:01-05:00 269.02 1 AAPL 2025-11-14 290.0 CALL 2025-11-10 09:30:02.123000-05:00 59131360 255 255 255 255 18 3 9 0.04 0.0038 0.2493 -3.3081 16.1180 256.0347 0.3066 0.0192 2025-11-10 09:30:02-05:00 269.14 2 AAPL 2025-11-14 290.0 CALL 2025-11-10 09:30:02.126000-05:00 59133877 255 255 255 255 18 1 9 0.04 0.0038 0.2493 -3.3081 16.1180 256.0347 0.3066 0.0192 2025-11-10 09:30:02-05:00 269.14 3 AAPL 2025-11-14 290.0 CALL 2025-11-10 09:30:03.929000-05:00 60102776 255 255 255 255 95 1 1 0.03 0.0033 0.2254 -2.8197 15.1647 224.4088 0.2890 -0.0023 2025-11-10 09:30:03-05:00 269.56 4 AAPL 2025-11-14 290.0 CALL 2025-11-10 09:30:31.912000-05:00 66164357 255 255 255 255 18 1 69 0.04 0.0040 0.2676 -3.3727 17.2871 261.2468 0.2910 0.0025 2025-11-10 09:30:31-05:00 270.26 .. ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... 588 AAPL 2025-11-14 265.0 CALL 2025-11-10 09:30:11.904000-05:00 62754770 255 255 255 255 130 1 42 6.22 0.0404 -0.6890 7.8150 12.3536 551.9376 0.2800 0.0000 2025-11-10 09:30:11-05:00 269.73 589 AAPL 2025-11-14 265.0 CALL 2025-11-10 09:30:35.448000-05:00 66662366 255 255 255 255 18 3 7 6.35 0.0404 -0.7898 8.5013 16.0696 563.8117 0.2646 0.0000 2025-11-10 09:30:35-05:00 270.10 590 AAPL 2025-11-14 265.0 CALL 2025-11-10 09:30:56.546000-05:00 69301579 255 255 255 255 130 2 6 6.45 0.0394 -0.7153 8.1488 13.6211 557.8317 0.2802 0.0000 2025-11-10 09:30:56-05:00 270.04 591 AAPL 2025-11-14 297.5 CALL 2025-11-10 09:30:01.510000-05:00 58769718 255 255 255 255 18 1 6 0.02 0.0015 0.1151 -1.8034 8.4732 152.9860 0.3632 -0.0442 2025-11-10 09:30:01-05:00 269.02 592 AAPL 2025-11-14 297.5 CALL 2025-11-10 09:30:03.095000-05:00 59706894 255 255 255 255 125 1 6 0.02 0.0016 0.1223 -1.8965 8.9394 160.0960 0.3593 0.0198 2025-11-10 09:30:03-05:00 269.56 [593 rows x 23 columns] ' python/polars: schema: *id056 example: 'shape: (593, 23) ┌────────┬────────────┬────────┬───────┬────────────────────────────────┬──────────┬────────────────┬────────────────┬────────────────┬────────────────┬───────────┬──────┬──────────┬───────┬────────┬─────────┬─────────┬─────────┬──────────┬─────────────┬──────────┬────────────────────────────────┬──────────────────┐ │ symbol ┆ expiration ┆ strike ┆ right ┆ timestamp ┆ sequence ┆ ext_condition1 ┆ ext_condition2 ┆ ext_condition3 ┆ ext_condition4 ┆ condition ┆ size ┆ exchange ┆ price ┆ gamma ┆ vanna ┆ charm ┆ vomma ┆ veta ┆ implied_vol ┆ iv_error ┆ underlying_timestamp ┆ underlying_price │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str ┆ datetime[ms, America/New_York] ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ datetime[ms, America/New_York] ┆ f64 │ ╞════════╪════════════╪════════╪═══════╪════════════════════════════════╪══════════╪════════════════╪════════════════╪════════════════╪════════════════╪═══════════╪══════╪══════════╪═══════╪════════╪═════════╪═════════╪═════════╪══════════╪═════════════╪══════════╪════════════════════════════════╪══════════════════╡ │ AAPL ┆ 2025-11-14 ┆ 290.0 ┆ CALL ┆ 2025-11-10 09:30:01.503 EST ┆ 58765096 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 1 ┆ 6 ┆ 0.04 ┆ 0.0036 ┆ 0.2434 ┆ -3.2295 ┆ 15.8242 ┆ 250.8588 ┆ 0.3066 ┆ -0.0196 ┆ 2025-11-10 09:30:01 EST ┆ 269.02 │ │ AAPL ┆ 2025-11-14 ┆ 290.0 ┆ CALL ┆ 2025-11-10 09:30:02.123 EST ┆ 59131360 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 3 ┆ 9 ┆ 0.04 ┆ 0.0038 ┆ 0.2493 ┆ -3.3081 ┆ 16.118 ┆ 256.0347 ┆ 0.3066 ┆ 0.0192 ┆ 2025-11-10 09:30:02 EST ┆ 269.14 │ │ AAPL ┆ 2025-11-14 ┆ 290.0 ┆ CALL ┆ 2025-11-10 09:30:02.126 EST ┆ 59133877 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 1 ┆ 9 ┆ 0.04 ┆ 0.0038 ┆ 0.2493 ┆ -3.3081 ┆ 16.118 ┆ 256.0347 ┆ 0.3066 ┆ 0.0192 ┆ 2025-11-10 09:30:02 EST ┆ 269.14 │ │ AAPL ┆ 2025-11-14 ┆ 290.0 ┆ CALL ┆ 2025-11-10 09:30:03.929 EST ┆ 60102776 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 95 ┆ 1 ┆ 1 ┆ 0.03 ┆ 0.0033 ┆ 0.2254 ┆ -2.8197 ┆ 15.1647 ┆ 224.4088 ┆ 0.289 ┆ -0.0023 ┆ 2025-11-10 09:30:03 EST ┆ 269.56 │ │ AAPL ┆ 2025-11-14 ┆ 290.0 ┆ CALL ┆ 2025-11-10 09:30:31.912 EST ┆ 66164357 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 1 ┆ 69 ┆ 0.04 ┆ 0.004 ┆ 0.2676 ┆ -3.3727 ┆ 17.2871 ┆ 261.2468 ┆ 0.291 ┆ 0.0025 ┆ 2025-11-10 09:30:31 EST ┆ 270.26 │ │ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … │ │ AAPL ┆ 2025-11-14 ┆ 265.0 ┆ CALL ┆ 2025-11-10 09:30:11.904 EST ┆ 62754770 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 130 ┆ 1 ┆ 42 ┆ 6.22 ┆ 0.0404 ┆ -0.689 ┆ 7.815 ┆ 12.3536 ┆ 551.9376 ┆ 0.28 ┆ 0.0 ┆ 2025-11-10 09:30:11 EST ┆ 269.73 │ │ AAPL ┆ 2025-11-14 ┆ 265.0 ┆ CALL ┆ 2025-11-10 09:30:35.448 EST ┆ 66662366 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 3 ┆ 7 ┆ 6.35 ┆ 0.0404 ┆ -0.7898 ┆ 8.5013 ┆ 16.0696 ┆ 563.8117 ┆ 0.2646 ┆ 0.0 ┆ 2025-11-10 09:30:35 EST ┆ 270.1 │ │ AAPL ┆ 2025-11-14 ┆ 265.0 ┆ CALL ┆ 2025-11-10 09:30:56.546 EST ┆ 69301579 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 130 ┆ 2 ┆ 6 ┆ 6.45 ┆ 0.0394 ┆ -0.7153 ┆ 8.1488 ┆ 13.6211 ┆ 557.8317 ┆ 0.2802 ┆ 0.0 ┆ 2025-11-10 09:30:56 EST ┆ 270.04 │ │ AAPL ┆ 2025-11-14 ┆ 297.5 ┆ CALL ┆ 2025-11-10 09:30:01.510 EST ┆ 58769718 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 1 ┆ 6 ┆ 0.02 ┆ 0.0015 ┆ 0.1151 ┆ -1.8034 ┆ 8.4732 ┆ 152.986 ┆ 0.3632 ┆ -0.0442 ┆ 2025-11-10 09:30:01 EST ┆ 269.02 │ │ AAPL ┆ 2025-11-14 ┆ 297.5 ┆ CALL ┆ 2025-11-10 09:30:03.095 EST ┆ 59706894 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 125 ┆ 1 ┆ 6 ┆ 0.02 ┆ 0.0016 ┆ 0.1223 ┆ -1.8965 ┆ 8.9394 ┆ 160.096 ┆ 0.3593 ┆ 0.0198 ┆ 2025-11-10 09:30:03 EST ┆ 269.56 │ └────────┴────────────┴────────┴───────┴────────────────────────────────┴──────────┴────────────────┴────────────────┴────────────────┴────────────────┴───────────┴──────┴──────────┴───────┴────────┴─────────┴─────────┴─────────┴──────────┴─────────────┴──────────┴────────────────────────────────┴──────────────────┘ ' /option/history/greeks/third_order: x-concurrent-limit-ttl-ms: '2572' x-min-subscription: professional x-history-access: true get: summary: Third Order Greeks operationId: option_history_greeks_third_order x-codeSamples: - lang: Python label: pandas source: "from thetadata import ThetaClient\nfrom datetime import date\n\nclient = ThetaClient(dataframe_type='pandas')\ndf = client.option_history_greeks_third_order(\n symbol='AAPL',\n expiration=date(2024, 11, 8),\n interval='1h',\n)\n" - lang: Python label: polars source: "from thetadata import ThetaClient\nfrom datetime import date\n\nclient = ThetaClient(dataframe_type='polars')\ndf = client.option_history_greeks_third_order(\n symbol='AAPL',\n expiration=date(2024, 11, 8),\n interval='1h',\n)\n" tags: - Option description: "- Returns the data for all contracts that share the same provided symbol and expiration. \n- 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](/operations/option_history_quote.html) endpoint. \n- The underlying price represents whatever the last underlying price was at the ``timestamp`` field. You can read more about how Theta Data calculates greeks [here](/Articles/Data-And-Requests/Option-Greeks.html).\n- Multi-day requests are limited to 1 month of data.\n" x-sample-urls: - url: http://127.0.0.1:25503/v3/option/history/greeks/third_order?symbol=AAPL&expiration=20241108&date=20241104&interval=1h description: Returns third order greeks for an option contract - url: http://127.0.0.1:25503/v3/option/history/greeks/third_order?symbol=AAPL&expiration=20241108&date=20241104&interval=1h&format=html description: Click to open in browser (HTML) - url: http://127.0.0.1:25503/v3/option/history/greeks/third_order?symbol=AAPL&expiration=20241108&start_date=20241104&end_date=20241107&interval=1h description: Returns third order greeks for an option contract between the specified dates (inclusive) - url: http://127.0.0.1:25503/v3/option/history/greeks/third_order?symbol=AAPL&expiration=20241108&start_date=20241104&end_date=20241107&interval=1h&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/opt_date' - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration_no_star' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/start_time' - $ref: '#/components/parameters/end_time' - $ref: '#/components/parameters/interval' - $ref: '#/components/parameters/annual_dividend' - $ref: '#/components/parameters/rate_type' - $ref: '#/components/parameters/rate_value' - $ref: '#/components/parameters/greeks_version' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/format' - $ref: '#/components/parameters/opt_start_date' - $ref: '#/components/parameters/opt_end_date' responses: '200': description: Returns third order greeks for an option contract content: text/csv: schema: type: array items: &id057 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid: type: number description: The last NBBO bid price. ask: type: number description: The last NBBO ask price. speed: type: number description: The speed. zomma: type: number description: The zomma. color: type: number description: The color. ultima: type: number description: The ultima. implied_vol: type: number description: The implied volatiltiy calculated using the trade price. iv_error: type: number description: '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.' underlying_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,bid,ask,speed,zomma,color,ultima,implied_vol,iv_error,underlying_timestamp,underlying_price\r\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:30:00,0.00,0.00,0.0000,0.0000,0.0000,0.0001,0.2500,100.0000,2024-11-04T09:30:00,221.00\r\nAAPL,2024-11-08,262.500,CALL,2024-11-04T10:30:00,0.00,0.01,0.0000,0.0000,0.0000,0.0002,0.2500,100.0000,2024-11-04T10:30:00,221.73\r\nAAPL,2024-11-08,262.500,CALL,2024-11-04T11:30:00,0.00,0.01,0.0000,0.0000,0.0000,0.0002,0.2500,100.0000,2024-11-04T11:30:00,221.49\r\nAAPL,2024-11-08,262.500,CALL,2024-11-04T12:30:00,0.00,0.01,0.0000,0.0000,0.0000,0.0001,0.2500,100.0000,2024-11-04T12:30:00,221.11\r\nAAPL,2024-11-08,262.500,CALL,2024-11-04T13:30:00,0.00,0.01,0.0000,0.0000,0.0000,0.0003,0.2500,100.0000,2024-11-04T13:30:00,222.03\r\n" application/json: schema: &id058 type: array items: *id057 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":262.500,\"right\":\"CALL\",\"expiration\":\"2024-11-08\"},\n \"data\": [\n {\"underlying_price\":221.00,\"color\":0.0000,\"zomma\":0.0000,\"implied_vol\":0.2500,\"iv_error\":100.0000,\"speed\":0.0000,\"ultima\":0.0001,\"ask\":0.00,\"bid\":0.00,\"underlying_timestamp\":\"2024-11-04T09:30:00\",\"timestamp\":\"2024-11-04T09:30:00\"},\n {\"underlying_price\":221.73,\"color\":0.0000,\"zomma\":0.0000,\"implied_vol\":0.2500,\"iv_error\":100.0000,\"speed\":0.0000,\"ultima\":0.0002,\"ask\":0.01,\"bid\":0.00,\"underlying_timestamp\":\"2024-11-04T10:30:00\",\"timestamp\":\"2024-11-04T10:30:00\"},\n {\"underlying_price\":221.49,\"color\":0.0000,\"zomma\":0.0000,\"implied_vol\":0.2500,\"iv_error\":100.0000,\"speed\":0.0000,\"ultima\":0.0002,\"ask\":0.01,\"bid\":0.00,\"underlying_timestamp\":\"2024-11-04T11:30:00\",\"timestamp\":\"2024-11-04T11:30:00\"},\n {\"underlying_price\":221.11,\"color\":0.0000,\"zomma\":0.0000,\"implied_vol\":0.2500,\"iv_error\":100.0000,\"speed\":0.0000,\"ultima\":0.0001,\"ask\":0.01,\"bid\":0.00,\"underlying_timestamp\":\"2024-11-04T12:30:00\",\"timestamp\":\"2024-11-04T12:30:00\"},\n {\"underlying_price\":222.03,\"color\":0.0000,\"zomma\":0.0000,\"implied_vol\":0.2500,\"iv_error\":100.0000,\"speed\":0.0000,\"ultima\":0.0003,\"ask\":0.01,\"bid\":0.00,\"underlying_timestamp\":\"2024-11-04T13:30:00\",\"timestamp\":\"2024-11-04T13:30:00\"}\n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id058 example: '{"symbol":"AAPL","underlying_price":221.00,"color":0.0000,"strike":262.500,"zomma":0.0000,"right":"CALL","implied_vol":0.2500,"iv_error":100.0000,"speed":0.0000,"ultima":0.0001,"ask":0.00,"expiration":"2024-11-08","bid":0.00,"underlying_timestamp":"2024-11-04T09:30:00","timestamp":"2024-11-04T09:30:00"} {"symbol":"AAPL","underlying_price":221.73,"color":0.0000,"strike":262.500,"zomma":0.0000,"right":"CALL","implied_vol":0.2500,"iv_error":100.0000,"speed":0.0000,"ultima":0.0002,"ask":0.01,"expiration":"2024-11-08","bid":0.00,"underlying_timestamp":"2024-11-04T10:30:00","timestamp":"2024-11-04T10:30:00"} {"symbol":"AAPL","underlying_price":221.49,"color":0.0000,"strike":262.500,"zomma":0.0000,"right":"CALL","implied_vol":0.2500,"iv_error":100.0000,"speed":0.0000,"ultima":0.0002,"ask":0.01,"expiration":"2024-11-08","bid":0.00,"underlying_timestamp":"2024-11-04T11:30:00","timestamp":"2024-11-04T11:30:00"} {"symbol":"AAPL","underlying_price":221.11,"color":0.0000,"strike":262.500,"zomma":0.0000,"right":"CALL","implied_vol":0.2500,"iv_error":100.0000,"speed":0.0000,"ultima":0.0001,"ask":0.01,"expiration":"2024-11-08","bid":0.00,"underlying_timestamp":"2024-11-04T12:30:00","timestamp":"2024-11-04T12:30:00"} {"symbol":"AAPL","underlying_price":222.03,"color":0.0000,"strike":262.500,"zomma":0.0000,"right":"CALL","implied_vol":0.2500,"iv_error":100.0000,"speed":0.0000,"ultima":0.0003,"ask":0.01,"expiration":"2024-11-08","bid":0.00,"underlying_timestamp":"2024-11-04T13:30:00","timestamp":"2024-11-04T13:30:00"}' python/pandas: schema: *id058 example: 'symbol expiration strike right timestamp bid ask speed zomma color ultima implied_vol iv_error underlying_timestamp underlying_price 0 SPY 2025-10-17 420.0 CALL 2025-09-19 09:30:00-04:00 0.00 0.00 0.0 0.0000 0.0000 0.0000 0.0000 100.0 2025-09-19 09:30:00-04:00 662.31 1 SPY 2025-10-17 420.0 CALL 2025-09-19 09:31:00-04:00 241.85 245.21 0.0 0.0010 0.0045 98.1837 0.7126 0.0 2025-09-19 09:31:00-04:00 661.84 2 SPY 2025-10-17 420.0 CALL 2025-09-19 09:32:00-04:00 241.85 245.24 0.0 0.0009 0.0044 103.8173 0.6996 0.0 2025-09-19 09:32:00-04:00 661.90 3 SPY 2025-10-17 420.0 CALL 2025-09-19 09:33:00-04:00 241.85 245.05 0.0 0.0009 0.0043 106.1833 0.6937 0.0 2025-09-19 09:33:00-04:00 661.83 4 SPY 2025-10-17 420.0 CALL 2025-09-19 09:34:00-04:00 241.71 244.84 0.0 0.0010 0.0045 99.3614 0.7097 0.0 2025-09-19 09:34:00-04:00 661.59 5 SPY 2025-10-17 420.0 CALL 2025-09-19 09:35:00-04:00 241.71 244.85 0.0 0.0010 0.0048 87.4841 0.7355 0.0 2025-09-19 09:35:00-04:00 661.49 6 SPY 2025-10-17 420.0 CALL 2025-09-19 09:36:00-04:00 241.71 244.66 0.0 0.0010 0.0045 100.6047 0.7068 0.0 2025-09-19 09:36:00-04:00 661.51 7 SPY 2025-10-17 420.0 CALL 2025-09-19 09:37:00-04:00 241.71 244.71 0.0 0.0010 0.0048 89.6676 0.7308 0.0 2025-09-19 09:37:00-04:00 661.44 8 SPY 2025-10-17 420.0 CALL 2025-09-19 09:38:00-04:00 241.71 244.88 0.0 0.0010 0.0047 90.5455 0.7291 0.0 2025-09-19 09:38:00-04:00 661.53 9 SPY 2025-10-17 420.0 CALL 2025-09-19 09:39:00-04:00 241.71 244.67 0.0 0.0010 0.0049 83.4768 0.7437 0.0 2025-09-19 09:39:00-04:00 661.36 10 SPY 2025-10-17 420.0 CALL 2025-09-19 09:40:00-04:00 241.71 244.80 0.0 0.0009 0.0041 110.9452 0.6812 0.0 2025-09-19 09:40:00-04:00 661.67 11 SPY 2025-10-17 420.0 CALL 2025-09-19 09:41:00-04:00 241.71 244.94 0.0 0.0009 0.0038 118.0956 0.6593 0.0 2025-09-19 09:41:00-04:00 661.80 12 SPY 2025-10-17 420.0 CALL 2025-09-19 09:42:00-04:00 241.71 244.94 0.0 0.0009 0.0038 116.9578 0.6632 0.0 2025-09-19 09:42:00-04:00 661.79 13 SPY 2025-10-17 420.0 CALL 2025-09-19 09:43:00-04:00 241.93 244.94 0.0 0.0009 0.0040 114.5016 0.6710 0.0 2025-09-19 09:43:00-04:00 661.88 14 SPY 2025-10-17 420.0 CALL 2025-09-19 09:44:00-04:00 241.80 244.89 0.0 0.0010 0.0047 91.6728 0.7267 0.0 2025-09-19 09:44:00-04:00 661.59 15 SPY 2025-10-17 420.0 CALL 2025-09-19 09:45:00-04:00 241.71 244.94 0.0 0.0010 0.0045 98.0874 0.7126 0.0 2025-09-19 09:45:00-04:00 661.63 16 SPY 2025-10-17 420.0 CALL 2025-09-19 09:46:00-04:00 241.71 244.83 0.0 0.0010 0.0048 88.5935 0.7332 0.0 2025-09-19 09:46:00-04:00 661.49 17 SPY 2025-10-17 420.0 CALL 2025-09-19 09:47:00-04:00 241.80 244.60 0.0 0.0009 0.0042 109.7741 0.6843 0.0 2025-09-19 09:47:00-04:00 661.61 18 SPY 2025-10-17 420.0 CALL 2025-09-19 09:48:00-04:00 241.71 244.77 0.0 0.0006 0.0026 125.1561 0.5937 0.0 2025-09-19 09:48:00-04:00 661.84 19 SPY 2025-10-17 420.0 CALL 2025-09-19 09:49:00-04:00 241.74 244.94 0.0 0.0006 0.0025 125.0630 0.5937 0.0 2025-09-19 09:49:00-04:00 661.94 20 SPY 2025-10-17 420.0 CALL 2025-09-19 09:50:00-04:00 242.13 245.74 0.0 0.0008 0.0038 117.6049 0.6609 0.0 2025-09-19 09:50:00-04:00 662.41 21 SPY 2025-10-17 420.0 CALL 2025-09-19 09:51:00-04:00 242.13 245.37 0.0 0.0006 0.0023 123.3656 0.5843 0.0 2025-09-19 09:51:00-04:00 662.36 22 SPY 2025-10-17 420.0 CALL 2025-09-19 09:52:00-04:00 242.31 245.83 0.0 0.0009 0.0038 116.4647 0.6648 0.0 2025-09-19 09:52:00-04:00 662.54 23 SPY 2025-10-17 420.0 CALL 2025-09-19 09:53:00-04:00 242.75 245.56 0.0 0.0009 0.0038 116.4618 0.6648 0.0 2025-09-19 09:53:00-04:00 662.62 24 SPY 2025-10-17 420.0 CALL 2025-09-19 09:54:00-04:00 242.38 245.89 0.0 0.0009 0.0040 111.7739 0.6792 0.0 2025-09-19 09:54:00-04:00 662.56 25 SPY 2025-10-17 420.0 CALL 2025-09-19 09:55:00-04:00 242.26 245.77 0.0 0.0009 0.0038 116.4668 0.6648 0.0 2025-09-19 09:55:00-04:00 662.48 26 SPY 2025-10-17 420.0 CALL 2025-09-19 09:56:00-04:00 242.26 245.77 0.0 0.0009 0.0039 115.2726 0.6687 0.0 2025-09-19 09:56:00-04:00 662.47 27 SPY 2025-10-17 420.0 CALL 2025-09-19 09:57:00-04:00 242.44 245.60 0.0 0.0010 0.0046 93.4068 0.7238 0.0 2025-09-19 09:57:00-04:00 662.29 28 SPY 2025-10-17 420.0 CALL 2025-09-19 09:58:00-04:00 242.15 245.63 0.0 0.0009 0.0044 103.6132 0.7003 0.0 2025-09-19 09:58:00-04:00 662.25 29 SPY 2025-10-17 420.0 CALL 2025-09-19 09:59:00-04:00 242.15 245.37 0.0 0.0010 0.0045 98.0299 0.7132 0.0 2025-09-19 09:59:00-04:00 662.07 30 SPY 2025-10-17 420.0 CALL 2025-09-19 10:00:00-04:00 242.15 245.52 0.0 0.0010 0.0045 98.0618 0.7132 0.0 2025-09-19 10:00:00-04:00 662.14 ' python/polars: schema: *id058 example: 'shape: (31, 15) ┌────────┬────────────┬────────┬───────┬────────────────────────────────┬────────┬────────┬───────┬────────┬────────┬──────────┬─────────────┬──────────┬────────────────────────────────┬──────────────────┐ │ symbol ┆ expiration ┆ strike ┆ right ┆ timestamp ┆ bid ┆ ask ┆ speed ┆ zomma ┆ color ┆ ultima ┆ implied_vol ┆ iv_error ┆ underlying_timestamp ┆ underlying_price │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str ┆ datetime[ms, America/New_York] ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ datetime[ms, America/New_York] ┆ f64 │ ╞════════╪════════════╪════════╪═══════╪════════════════════════════════╪════════╪════════╪═══════╪════════╪════════╪══════════╪═════════════╪══════════╪════════════════════════════════╪══════════════════╡ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:30:00 EDT ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 100.0 ┆ 2025-09-19 09:30:00 EDT ┆ 662.31 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:31:00 EDT ┆ 241.85 ┆ 245.21 ┆ 0.0 ┆ 0.001 ┆ 0.0045 ┆ 98.1837 ┆ 0.7126 ┆ 0.0 ┆ 2025-09-19 09:31:00 EDT ┆ 661.84 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:32:00 EDT ┆ 241.85 ┆ 245.24 ┆ 0.0 ┆ 0.0009 ┆ 0.0044 ┆ 103.8173 ┆ 0.6996 ┆ 0.0 ┆ 2025-09-19 09:32:00 EDT ┆ 661.9 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:33:00 EDT ┆ 241.85 ┆ 245.05 ┆ 0.0 ┆ 0.0009 ┆ 0.0043 ┆ 106.1833 ┆ 0.6937 ┆ 0.0 ┆ 2025-09-19 09:33:00 EDT ┆ 661.83 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:34:00 EDT ┆ 241.71 ┆ 244.84 ┆ 0.0 ┆ 0.001 ┆ 0.0045 ┆ 99.3614 ┆ 0.7097 ┆ 0.0 ┆ 2025-09-19 09:34:00 EDT ┆ 661.59 │ │ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:56:00 EDT ┆ 242.26 ┆ 245.77 ┆ 0.0 ┆ 0.0009 ┆ 0.0039 ┆ 115.2726 ┆ 0.6687 ┆ 0.0 ┆ 2025-09-19 09:56:00 EDT ┆ 662.47 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:57:00 EDT ┆ 242.44 ┆ 245.6 ┆ 0.0 ┆ 0.001 ┆ 0.0046 ┆ 93.4068 ┆ 0.7238 ┆ 0.0 ┆ 2025-09-19 09:57:00 EDT ┆ 662.29 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:58:00 EDT ┆ 242.15 ┆ 245.63 ┆ 0.0 ┆ 0.0009 ┆ 0.0044 ┆ 103.6132 ┆ 0.7003 ┆ 0.0 ┆ 2025-09-19 09:58:00 EDT ┆ 662.25 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:59:00 EDT ┆ 242.15 ┆ 245.37 ┆ 0.0 ┆ 0.001 ┆ 0.0045 ┆ 98.0299 ┆ 0.7132 ┆ 0.0 ┆ 2025-09-19 09:59:00 EDT ┆ 662.07 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 10:00:00 EDT ┆ 242.15 ┆ 245.52 ┆ 0.0 ┆ 0.001 ┆ 0.0045 ┆ 98.0618 ┆ 0.7132 ┆ 0.0 ┆ 2025-09-19 10:00:00 EDT ┆ 662.14 │ └────────┴────────────┴────────┴───────┴────────────────────────────────┴────────┴────────┴───────┴────────┴────────┴──────────┴─────────────┴──────────┴────────────────────────────────┴──────────────────┘ ' /option/history/trade_greeks/third_order: x-concurrent-limit-ttl-ms: '8166' x-min-subscription: professional x-history-access: true get: summary: Third Order Trade Greeks operationId: option_history_trade_greeks_third_order x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''pandas'') df = client.option_history_trade_greeks_third_order(symbol=''AAPL'', expiration=date(2024, 11, 8)) ' - lang: Python label: polars source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''polars'') df = client.option_history_trade_greeks_third_order(symbol=''AAPL'', expiration=date(2024, 11, 8)) ' tags: - Option description: '- Returns the data for all contracts that share the same provided symbol and expiration. - Calculates greeks for every trade reported by [OPRA](/Articles/Data-And-Requests/The-SIPs.html). - The underlying price represents whatever the last underlying price was at the ``timestamp`` field. You can read more about how Theta Data calculates greeks [here](/Articles/Data-And-Requests/Option-Greeks.html). - Multi-day requests are limited to 1 month of data, and must specify an expiration. ' x-sample-urls: - url: http://127.0.0.1:25503/v3/option/history/trade_greeks/third_order?symbol=AAPL&expiration=20241108&date=20241104 description: Returns third order trade greeks for an option contract - url: http://127.0.0.1:25503/v3/option/history/trade_greeks/third_order?symbol=AAPL&expiration=20241108&start_date=20241104&end_date=20241110 description: Returns third order trade greeks for an option contract between the specified dates (inclusive) - url: http://127.0.0.1:25503/v3/option/history/trade_greeks/third_order?symbol=AAPL&expiration=*&date=20241104 description: Returns third order trade greeks for an full chain of option contracts - url: http://127.0.0.1:25503/v3/option/history/trade_greeks/third_order?symbol=AAPL&expiration=*&date=20241104&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/opt_date' - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/start_time' - $ref: '#/components/parameters/end_time' - $ref: '#/components/parameters/annual_dividend' - $ref: '#/components/parameters/rate_type' - $ref: '#/components/parameters/rate_value' - $ref: '#/components/parameters/greeks_version' - $ref: '#/components/parameters/max_dte' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/format' - $ref: '#/components/parameters/opt_start_date' - $ref: '#/components/parameters/opt_end_date' responses: '200': description: Returns third order trade greeks for an option contract content: text/csv: schema: type: array items: &id059 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. sequence: type: integer description: The exchange [sequence](/Articles/Data-And-Requests/Making-Requests.html#trade-sequences). ext_condition1: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition2: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition3: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition4: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. condition: type: integer description: The trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). size: type: integer description: The amount of contracts / shares traded. exchange: type: integer description: The [exchange](/Articles/Errors-Exchanges-Conditions/Exchanges.html) the trade was executed. price: type: number description: The trade price. speed: type: number description: The speed. zomma: type: number description: The zomma. color: type: string description: The color. ultima: type: number description: The ultima. implied_vol: type: number description: The implied volatiltiy calculated using the trade price. iv_error: type: number description: '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.' underlying_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,sequence,ext_condition1,ext_condition2,ext_condition3,ext_condition4,condition,size,exchange,price,speed,zomma,color,ultima,implied_vol,iv_error,underlying_timestamp,underlying_price\r\nAAPL,2024-11-08,262.500,CALL,2024-11-04T09:53:54.069,156249981,255,255,255,255,125,1,9,0.01,0.0000,0.0000,-0.0005,22.3494,0.5749,0.0132,2024-11-04T09:53:54,221.33\r\nAAPL,2024-11-08,140.000,CALL,2024-11-04T11:47:14.764,546105677,255,255,255,255,131,2,5,81.32,0.0000,0.0000,-0.0013,2.2683,1.5937,0.0000,2024-11-04T11:47:14,221.22\r\nAAPL,2024-11-08,140.000,CALL,2024-11-04T11:47:56.669,548097371,255,255,255,255,130,3,7,81.16,0.0000,0.0000,0.0000,0.0000,0.0000,0.0011,2024-11-04T11:47:56,221.18\r\nAAPL,2024-11-08,140.000,CALL,2024-11-04T11:48:03.852,548397162,255,255,255,255,130,3,6,81.26,0.0000,0.0000,-0.0013,2.2709,1.5937,0.0000,2024-11-04T11:48:03,221.16\r\nAAPL,2024-11-08,140.000,CALL,2024-11-04T11:48:51.11,550463381,255,255,255,255,131,1,5,81.27,0.0000,0.0000,-0.0003,1.8578,1.3968,0.0000,2024-11-04T11:48:51,221.19\r\n" application/json: schema: &id060 type: array items: *id059 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":262.500,\"right\":\"CALL\",\"expiration\":\"2024-11-08\"},\n \"data\": [\n {\"underlying_price\":221.33,\"color\":-0.0005,\"zomma\":0.0000,\"implied_vol\":0.5749,\"iv_error\":0.0132,\"speed\":0.0000,\"ultima\":22.3494,\"sequence\":156249981,\"condition\":125,\"size\":1,\"price\":0.01,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":9,\"ext_condition3\":255,\"underlying_timestamp\":\"2024-11-04T09:53:54\",\"timestamp\":\"2024-11-04T09:53:54.069\"}\n ]\n },\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":140.000,\"right\":\"CALL\",\"expiration\":\"2024-11-08\"},\n \"data\": [\n {\"underlying_price\":221.22,\"color\":-0.0013,\"zomma\":0.0000,\"implied_vol\":1.5937,\"iv_error\":0.0000,\"speed\":0.0000,\"ultima\":2.2683,\"sequence\":546105677,\"condition\":131,\"size\":2,\"price\":81.32,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":5,\"ext_condition3\":255,\"underlying_timestamp\":\"2024-11-04T11:47:14\",\"timestamp\":\"2024-11-04T11:47:14.764\"},\n {\"underlying_price\":221.18,\"color\":0.0000,\"zomma\":0.0000,\"implied_vol\":0.0000,\"iv_error\":0.0011,\"speed\":0.0000,\"ultima\":0.0000,\"sequence\":548097371,\"condition\":130,\"size\":3,\"price\":81.16,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":7,\"ext_condition3\":255,\"underlying_timestamp\":\"2024-11-04T11:47:56\",\"timestamp\":\"2024-11-04T11:47:56.669\"},\n {\"underlying_price\":221.16,\"color\":-0.0013,\"zomma\":0.0000,\"implied_vol\":1.5937,\"iv_error\":0.0000,\"speed\":0.0000,\"ultima\":2.2709,\"sequence\":548397162,\"condition\":130,\"size\":3,\"price\":81.26,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":6,\"ext_condition3\":255,\"underlying_timestamp\":\"2024-11-04T11:48:03\",\"timestamp\":\"2024-11-04T11:48:03.852\"},\n {\"underlying_price\":221.19,\"color\":-0.0003,\"zomma\":0.0000,\"implied_vol\":1.3968,\"iv_error\":0.0000,\"speed\":0.0000,\"ultima\":1.8578,\"sequence\":550463381,\"condition\":131,\"size\":1,\"price\":81.27,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":5,\"ext_condition3\":255,\"underlying_timestamp\":\"2024-11-04T11:48:51\",\"timestamp\":\"2024-11-04T11:48:51.11\"}\n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id060 example: '{"symbol":"AAPL","underlying_price":221.33,"color":-0.0005,"strike":262.500,"zomma":0.0000,"right":"CALL","implied_vol":0.5749,"iv_error":0.0132,"speed":0.0000,"ultima":22.3494,"sequence":156249981,"condition":125,"size":1,"price":0.01,"ext_condition2":255,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":9,"ext_condition3":255,"underlying_timestamp":"2024-11-04T09:53:54","timestamp":"2024-11-04T09:53:54.069"} {"symbol":"AAPL","underlying_price":221.22,"color":-0.0013,"strike":140.000,"zomma":0.0000,"right":"CALL","implied_vol":1.5937,"iv_error":0.0000,"speed":0.0000,"ultima":2.2683,"sequence":546105677,"condition":131,"size":2,"price":81.32,"ext_condition2":255,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":5,"ext_condition3":255,"underlying_timestamp":"2024-11-04T11:47:14","timestamp":"2024-11-04T11:47:14.764"} {"symbol":"AAPL","underlying_price":221.18,"color":0.0000,"strike":140.000,"zomma":0.0000,"right":"CALL","implied_vol":0.0000,"iv_error":0.0011,"speed":0.0000,"ultima":0.0000,"sequence":548097371,"condition":130,"size":3,"price":81.16,"ext_condition2":255,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":7,"ext_condition3":255,"underlying_timestamp":"2024-11-04T11:47:56","timestamp":"2024-11-04T11:47:56.669"} {"symbol":"AAPL","underlying_price":221.16,"color":-0.0013,"strike":140.000,"zomma":0.0000,"right":"CALL","implied_vol":1.5937,"iv_error":0.0000,"speed":0.0000,"ultima":2.2709,"sequence":548397162,"condition":130,"size":3,"price":81.26,"ext_condition2":255,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":6,"ext_condition3":255,"underlying_timestamp":"2024-11-04T11:48:03","timestamp":"2024-11-04T11:48:03.852"} {"symbol":"AAPL","underlying_price":221.19,"color":-0.0003,"strike":140.000,"zomma":0.0000,"right":"CALL","implied_vol":1.3968,"iv_error":0.0000,"speed":0.0000,"ultima":1.8578,"sequence":550463381,"condition":131,"size":1,"price":81.27,"ext_condition2":255,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":5,"ext_condition3":255,"underlying_timestamp":"2024-11-04T11:48:51","timestamp":"2024-11-04T11:48:51.11"}' python/pandas: schema: *id060 example: 'symbol expiration strike right timestamp sequence ext_condition1 ext_condition2 ext_condition3 ext_condition4 condition size exchange price speed zomma color ultima implied_vol iv_error underlying_timestamp underlying_price 0 AAPL 2025-11-14 290.0 CALL 2025-11-10 09:30:01.503000-05:00 58765096 255 255 255 255 18 1 6 0.04 0.0009 0.0489 0.6506 106.4223 0.3066 -0.0196 2025-11-10 09:30:01-05:00 269.02 1 AAPL 2025-11-14 290.0 CALL 2025-11-10 09:30:02.123000-05:00 59131360 255 255 255 255 18 3 9 0.04 0.0009 0.0496 0.6602 105.2274 0.3066 0.0192 2025-11-10 09:30:02-05:00 269.14 2 AAPL 2025-11-14 290.0 CALL 2025-11-10 09:30:02.126000-05:00 59133877 255 255 255 255 18 1 9 0.04 0.0009 0.0496 0.6602 105.2274 0.3066 0.0192 2025-11-10 09:30:02-05:00 269.14 3 AAPL 2025-11-14 290.0 CALL 2025-11-10 09:30:03.929000-05:00 60102776 255 255 255 255 95 1 1 0.03 0.0008 0.0502 0.6305 125.6337 0.2890 -0.0023 2025-11-10 09:30:03-05:00 269.56 4 AAPL 2025-11-14 290.0 CALL 2025-11-10 09:30:31.912000-05:00 66164357 255 255 255 255 18 1 69 0.04 0.0010 0.0554 0.7011 115.8098 0.2910 0.0025 2025-11-10 09:30:31-05:00 270.26 .. ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... ... 588 AAPL 2025-11-14 265.0 CALL 2025-11-10 09:30:11.904000-05:00 62754770 255 255 255 255 130 1 42 6.22 -0.0031 -0.0925 -1.1398 -116.6237 0.2800 0.0000 2025-11-10 09:30:11-05:00 269.73 589 AAPL 2025-11-14 265.0 CALL 2025-11-10 09:30:35.448000-05:00 66662366 255 255 255 255 18 3 7 6.35 -0.0037 -0.0818 -0.9646 -154.0341 0.2646 0.0000 2025-11-10 09:30:35-05:00 270.10 590 AAPL 2025-11-14 265.0 CALL 2025-11-10 09:30:56.546000-05:00 69301579 255 255 255 255 130 2 6 6.45 -0.0032 -0.0836 -1.0351 -126.2168 0.2802 0.0000 2025-11-10 09:30:56-05:00 270.04 591 AAPL 2025-11-14 297.5 CALL 2025-11-10 09:30:01.510000-05:00 58769718 255 255 255 255 18 1 6 0.02 0.0003 0.0233 0.3656 81.5593 0.3632 -0.0442 2025-11-10 09:30:01-05:00 269.02 592 AAPL 2025-11-14 297.5 CALL 2025-11-10 09:30:03.095000-05:00 59706894 255 255 255 255 125 1 6 0.02 0.0003 0.0246 0.3830 83.9693 0.3593 0.0198 2025-11-10 09:30:03-05:00 269.56 [593 rows x 22 columns] ' python/polars: schema: *id060 example: 'shape: (593, 22) ┌────────┬────────────┬────────┬───────┬────────────────────────────────┬──────────┬────────────────┬────────────────┬────────────────┬────────────────┬───────────┬──────┬──────────┬───────┬─────────┬─────────┬─────────┬───────────┬─────────────┬──────────┬────────────────────────────────┬──────────────────┐ │ symbol ┆ expiration ┆ strike ┆ right ┆ timestamp ┆ sequence ┆ ext_condition1 ┆ ext_condition2 ┆ ext_condition3 ┆ ext_condition4 ┆ condition ┆ size ┆ exchange ┆ price ┆ speed ┆ zomma ┆ color ┆ ultima ┆ implied_vol ┆ iv_error ┆ underlying_timestamp ┆ underlying_price │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str ┆ datetime[ms, America/New_York] ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ datetime[ms, America/New_York] ┆ f64 │ ╞════════╪════════════╪════════╪═══════╪════════════════════════════════╪══════════╪════════════════╪════════════════╪════════════════╪════════════════╪═══════════╪══════╪══════════╪═══════╪═════════╪═════════╪═════════╪═══════════╪═════════════╪══════════╪════════════════════════════════╪══════════════════╡ │ AAPL ┆ 2025-11-14 ┆ 290.0 ┆ CALL ┆ 2025-11-10 09:30:01.503 EST ┆ 58765096 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 1 ┆ 6 ┆ 0.04 ┆ 0.0009 ┆ 0.0489 ┆ 0.6506 ┆ 106.4223 ┆ 0.3066 ┆ -0.0196 ┆ 2025-11-10 09:30:01 EST ┆ 269.02 │ │ AAPL ┆ 2025-11-14 ┆ 290.0 ┆ CALL ┆ 2025-11-10 09:30:02.123 EST ┆ 59131360 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 3 ┆ 9 ┆ 0.04 ┆ 0.0009 ┆ 0.0496 ┆ 0.6602 ┆ 105.2274 ┆ 0.3066 ┆ 0.0192 ┆ 2025-11-10 09:30:02 EST ┆ 269.14 │ │ AAPL ┆ 2025-11-14 ┆ 290.0 ┆ CALL ┆ 2025-11-10 09:30:02.126 EST ┆ 59133877 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 1 ┆ 9 ┆ 0.04 ┆ 0.0009 ┆ 0.0496 ┆ 0.6602 ┆ 105.2274 ┆ 0.3066 ┆ 0.0192 ┆ 2025-11-10 09:30:02 EST ┆ 269.14 │ │ AAPL ┆ 2025-11-14 ┆ 290.0 ┆ CALL ┆ 2025-11-10 09:30:03.929 EST ┆ 60102776 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 95 ┆ 1 ┆ 1 ┆ 0.03 ┆ 0.0008 ┆ 0.0502 ┆ 0.6305 ┆ 125.6337 ┆ 0.289 ┆ -0.0023 ┆ 2025-11-10 09:30:03 EST ┆ 269.56 │ │ AAPL ┆ 2025-11-14 ┆ 290.0 ┆ CALL ┆ 2025-11-10 09:30:31.912 EST ┆ 66164357 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 1 ┆ 69 ┆ 0.04 ┆ 0.001 ┆ 0.0554 ┆ 0.7011 ┆ 115.8098 ┆ 0.291 ┆ 0.0025 ┆ 2025-11-10 09:30:31 EST ┆ 270.26 │ │ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … ┆ … │ │ AAPL ┆ 2025-11-14 ┆ 265.0 ┆ CALL ┆ 2025-11-10 09:30:11.904 EST ┆ 62754770 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 130 ┆ 1 ┆ 42 ┆ 6.22 ┆ -0.0031 ┆ -0.0925 ┆ -1.1398 ┆ -116.6237 ┆ 0.28 ┆ 0.0 ┆ 2025-11-10 09:30:11 EST ┆ 269.73 │ │ AAPL ┆ 2025-11-14 ┆ 265.0 ┆ CALL ┆ 2025-11-10 09:30:35.448 EST ┆ 66662366 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 3 ┆ 7 ┆ 6.35 ┆ -0.0037 ┆ -0.0818 ┆ -0.9646 ┆ -154.0341 ┆ 0.2646 ┆ 0.0 ┆ 2025-11-10 09:30:35 EST ┆ 270.1 │ │ AAPL ┆ 2025-11-14 ┆ 265.0 ┆ CALL ┆ 2025-11-10 09:30:56.546 EST ┆ 69301579 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 130 ┆ 2 ┆ 6 ┆ 6.45 ┆ -0.0032 ┆ -0.0836 ┆ -1.0351 ┆ -126.2168 ┆ 0.2802 ┆ 0.0 ┆ 2025-11-10 09:30:56 EST ┆ 270.04 │ │ AAPL ┆ 2025-11-14 ┆ 297.5 ┆ CALL ┆ 2025-11-10 09:30:01.510 EST ┆ 58769718 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 1 ┆ 6 ┆ 0.02 ┆ 0.0003 ┆ 0.0233 ┆ 0.3656 ┆ 81.5593 ┆ 0.3632 ┆ -0.0442 ┆ 2025-11-10 09:30:01 EST ┆ 269.02 │ │ AAPL ┆ 2025-11-14 ┆ 297.5 ┆ CALL ┆ 2025-11-10 09:30:03.095 EST ┆ 59706894 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 125 ┆ 1 ┆ 6 ┆ 0.02 ┆ 0.0003 ┆ 0.0246 ┆ 0.383 ┆ 83.9693 ┆ 0.3593 ┆ 0.0198 ┆ 2025-11-10 09:30:03 EST ┆ 269.56 │ └────────┴────────────┴────────┴───────┴────────────────────────────────┴──────────┴────────────────┴────────────────┴────────────────┴────────────────┴───────────┴──────┴──────────┴───────┴─────────┴─────────┴─────────┴───────────┴─────────────┴──────────┴────────────────────────────────┴──────────────────┘ ' /option/history/greeks/implied_volatility: x-concurrent-limit-ttl-ms: '3834' x-min-subscription: standard x-history-access: true get: summary: Implied Volatility operationId: option_history_greeks_implied_volatility x-codeSamples: - lang: Python label: pandas source: "from thetadata import ThetaClient\nfrom datetime import date\n\nclient = ThetaClient(dataframe_type='pandas')\ndf = client.option_history_greeks_implied_volatility(\n symbol='AAPL',\n expiration=date(2024, 11, 8),\n interval='5m',\n)\n" - lang: Python label: polars source: "from thetadata import ThetaClient\nfrom datetime import date\n\nclient = ThetaClient(dataframe_type='polars')\ndf = client.option_history_greeks_implied_volatility(\n symbol='AAPL',\n expiration=date(2024, 11, 8),\n interval='5m',\n)\n" tags: - Option description: "- Returns implied volatilies calculated using the national best bid, mid, and ask price of the option respectively. \n- The underlying price represents whatever the last underlying price was at the ``timestamp`` field. You can read more about how Theta Data calculates greeks [here](/Articles/Data-And-Requests/Option-Greeks.html).\n- Multi-day requests are limited to 1 month of data.\n" x-sample-urls: - url: http://127.0.0.1:25503/v3/option/history/greeks/implied_volatility?symbol=AAPL&expiration=20241108&strike=220.000&right=call&date=20241104&interval=5m description: Returns 5m interval implied volatility for an option contract - url: http://127.0.0.1:25503/v3/option/history/greeks/implied_volatility?symbol=AAPL&expiration=20241108&strike=220.000&right=call&date=20241104&interval=5m&format=html description: Click to open in browser (HTML) - url: http://127.0.0.1:25503/v3/option/history/greeks/implied_volatility?symbol=AAPL&expiration=20241108&strike=220.000&right=call&start_date=20241104&end_date=20241107&interval=5m description: Returns 5m interval implied volatility for an option contract between the specified dates (inclusive) - url: http://127.0.0.1:25503/v3/option/history/greeks/implied_volatility?symbol=AAPL&expiration=20241108&strike=220.000&right=call&start_date=20241104&end_date=20241107&interval=5m&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/opt_date' - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration_no_star' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/start_time' - $ref: '#/components/parameters/end_time' - $ref: '#/components/parameters/interval' - $ref: '#/components/parameters/annual_dividend' - $ref: '#/components/parameters/rate_type' - $ref: '#/components/parameters/rate_value' - $ref: '#/components/parameters/greeks_version' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/format' - $ref: '#/components/parameters/opt_start_date' - $ref: '#/components/parameters/opt_end_date' responses: '200': description: Returns 5m interval implied volatility for an option contract content: text/csv: schema: type: array items: &id061 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid: type: number description: The last NBBO bid price. bid_implied_vol: type: number description: The implied volatiltiy calculated using the bid price. midpoint: type: number description: The midpoint calculated by averaging the bid & ask prices. implied_vol: type: number description: The implied volatiltiy calculated using the trade price. ask: type: number description: The last NBBO ask price. ask_implied_vol: type: number description: The implied volatiltiy calculated using the ask price. iv_error: type: number description: '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.' underlying_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,bid,bid_implied_vol,midpoint,implied_vol,ask,ask_implied_vol,iv_error,underlying_timestamp,underlying_price\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:00,0.00,0.0000,0.00,0.0000,0.00,0.0000,100.0000,2024-11-04T09:30:00,221.00\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:35:00,3.75,0.3640,3.80,0.3693,3.85,0.3747,0.0000,2024-11-04T09:35:00,220.66\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:40:00,3.70,0.3643,3.75,0.3698,3.80,0.3752,0.0000,2024-11-04T09:40:00,220.56\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:45:00,3.75,0.3518,3.80,0.3574,3.85,0.3627,0.0000,2024-11-04T09:45:00,220.86\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:50:00,3.85,0.3417,3.90,0.3474,3.95,0.3527,0.0000,2024-11-04T09:50:00,221.20\r\n" application/json: schema: &id062 type: array items: *id061 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":220.000,\"right\":\"CALL\",\"expiration\":\"2024-11-08\"},\n \"data\": [\n {\"underlying_price\":221.00,\"implied_vol\":0.0000,\"iv_error\":100.0000,\"bid_implied_vol\":0.0000,\"ask\":0.00,\"midpoint\":0.00,\"ask_implied_vol\":0.0000,\"bid\":0.00,\"underlying_timestamp\":\"2024-11-04T09:30:00\",\"timestamp\":\"2024-11-04T09:30:00\"},\n {\"underlying_price\":220.66,\"implied_vol\":0.3693,\"iv_error\":0.0000,\"bid_implied_vol\":0.3640,\"ask\":3.85,\"midpoint\":3.80,\"ask_implied_vol\":0.3747,\"bid\":3.75,\"underlying_timestamp\":\"2024-11-04T09:35:00\",\"timestamp\":\"2024-11-04T09:35:00\"},\n {\"underlying_price\":220.56,\"implied_vol\":0.3698,\"iv_error\":0.0000,\"bid_implied_vol\":0.3643,\"ask\":3.80,\"midpoint\":3.75,\"ask_implied_vol\":0.3752,\"bid\":3.70,\"underlying_timestamp\":\"2024-11-04T09:40:00\",\"timestamp\":\"2024-11-04T09:40:00\"},\n {\"underlying_price\":220.86,\"implied_vol\":0.3574,\"iv_error\":0.0000,\"bid_implied_vol\":0.3518,\"ask\":3.85,\"midpoint\":3.80,\"ask_implied_vol\":0.3627,\"bid\":3.75,\"underlying_timestamp\":\"2024-11-04T09:45:00\",\"timestamp\":\"2024-11-04T09:45:00\"},\n {\"underlying_price\":221.20,\"implied_vol\":0.3474,\"iv_error\":0.0000,\"bid_implied_vol\":0.3417,\"ask\":3.95,\"midpoint\":3.90,\"ask_implied_vol\":0.3527,\"bid\":3.85,\"underlying_timestamp\":\"2024-11-04T09:50:00\",\"timestamp\":\"2024-11-04T09:50:00\"}\n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id062 example: '{"symbol":"AAPL","underlying_price":221.00,"strike":220.000,"right":"CALL","implied_vol":0.0000,"iv_error":100.0000,"bid_implied_vol":0.0000,"ask":0.00,"midpoint":0.00,"expiration":"2024-11-08","ask_implied_vol":0.0000,"bid":0.00,"underlying_timestamp":"2024-11-04T09:30:00","timestamp":"2024-11-04T09:30:00"} {"symbol":"AAPL","underlying_price":220.66,"strike":220.000,"right":"CALL","implied_vol":0.3693,"iv_error":0.0000,"bid_implied_vol":0.3640,"ask":3.85,"midpoint":3.80,"expiration":"2024-11-08","ask_implied_vol":0.3747,"bid":3.75,"underlying_timestamp":"2024-11-04T09:35:00","timestamp":"2024-11-04T09:35:00"} {"symbol":"AAPL","underlying_price":220.56,"strike":220.000,"right":"CALL","implied_vol":0.3698,"iv_error":0.0000,"bid_implied_vol":0.3643,"ask":3.80,"midpoint":3.75,"expiration":"2024-11-08","ask_implied_vol":0.3752,"bid":3.70,"underlying_timestamp":"2024-11-04T09:40:00","timestamp":"2024-11-04T09:40:00"} {"symbol":"AAPL","underlying_price":220.86,"strike":220.000,"right":"CALL","implied_vol":0.3574,"iv_error":0.0000,"bid_implied_vol":0.3518,"ask":3.85,"midpoint":3.80,"expiration":"2024-11-08","ask_implied_vol":0.3627,"bid":3.75,"underlying_timestamp":"2024-11-04T09:45:00","timestamp":"2024-11-04T09:45:00"} {"symbol":"AAPL","underlying_price":221.20,"strike":220.000,"right":"CALL","implied_vol":0.3474,"iv_error":0.0000,"bid_implied_vol":0.3417,"ask":3.95,"midpoint":3.90,"expiration":"2024-11-08","ask_implied_vol":0.3527,"bid":3.85,"underlying_timestamp":"2024-11-04T09:50:00","timestamp":"2024-11-04T09:50:00"}' python/pandas: schema: *id062 example: 'symbol expiration strike right timestamp bid bid_implied_vol midpoint implied_vol ask ask_implied_vol iv_error underlying_timestamp underlying_price 0 SPY 2025-10-17 420.0 CALL 2025-09-19 09:30:00-04:00 0.00 0.0 0.00 0.0000 0.00 0.0000 100.0000 2025-09-19 09:30:00-04:00 662.31 1 SPY 2025-10-17 420.0 CALL 2025-09-19 09:35:00-04:00 241.71 0.0 243.28 0.7355 244.85 0.9287 0.0015 2025-09-19 09:35:00-04:00 661.49 2 SPY 2025-10-17 420.0 CALL 2025-09-19 09:40:00-04:00 241.71 0.0 243.25 0.6812 244.80 0.9091 0.0017 2025-09-19 09:40:00-04:00 661.67 3 SPY 2025-10-17 420.0 CALL 2025-09-19 09:45:00-04:00 241.71 0.0 243.32 0.7126 244.94 0.9248 0.0017 2025-09-19 09:45:00-04:00 661.63 4 SPY 2025-10-17 420.0 CALL 2025-09-19 09:50:00-04:00 242.13 0.0 243.93 0.6609 245.74 0.9283 0.0022 2025-09-19 09:50:00-04:00 662.41 5 SPY 2025-10-17 420.0 CALL 2025-09-19 09:55:00-04:00 242.26 0.0 244.01 0.6648 245.77 0.9250 0.0021 2025-09-19 09:55:00-04:00 662.48 6 SPY 2025-10-17 420.0 CALL 2025-09-19 10:00:00-04:00 242.15 0.0 243.83 0.7132 245.52 0.9319 0.0018 2025-09-19 10:00:00-04:00 662.14 ' python/polars: schema: *id062 example: 'shape: (7, 14) ┌────────┬────────────┬────────┬───────┬────────────────────────────────┬────────┬─────────────────┬──────────┬─────────────┬────────┬─────────────────┬──────────┬────────────────────────────────┬──────────────────┐ │ symbol ┆ expiration ┆ strike ┆ right ┆ timestamp ┆ bid ┆ bid_implied_vol ┆ midpoint ┆ implied_vol ┆ ask ┆ ask_implied_vol ┆ iv_error ┆ underlying_timestamp ┆ underlying_price │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str ┆ datetime[ms, America/New_York] ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ f64 ┆ datetime[ms, America/New_York] ┆ f64 │ ╞════════╪════════════╪════════╪═══════╪════════════════════════════════╪════════╪═════════════════╪══════════╪═════════════╪════════╪═════════════════╪══════════╪════════════════════════════════╪══════════════════╡ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:30:00 EDT ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 0.0 ┆ 100.0 ┆ 2025-09-19 09:30:00 EDT ┆ 662.31 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:35:00 EDT ┆ 241.71 ┆ 0.0 ┆ 243.28 ┆ 0.7355 ┆ 244.85 ┆ 0.9287 ┆ 0.0015 ┆ 2025-09-19 09:35:00 EDT ┆ 661.49 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:40:00 EDT ┆ 241.71 ┆ 0.0 ┆ 243.25 ┆ 0.6812 ┆ 244.8 ┆ 0.9091 ┆ 0.0017 ┆ 2025-09-19 09:40:00 EDT ┆ 661.67 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:45:00 EDT ┆ 241.71 ┆ 0.0 ┆ 243.32 ┆ 0.7126 ┆ 244.94 ┆ 0.9248 ┆ 0.0017 ┆ 2025-09-19 09:45:00 EDT ┆ 661.63 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:50:00 EDT ┆ 242.13 ┆ 0.0 ┆ 243.93 ┆ 0.6609 ┆ 245.74 ┆ 0.9283 ┆ 0.0022 ┆ 2025-09-19 09:50:00 EDT ┆ 662.41 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:55:00 EDT ┆ 242.26 ┆ 0.0 ┆ 244.01 ┆ 0.6648 ┆ 245.77 ┆ 0.925 ┆ 0.0021 ┆ 2025-09-19 09:55:00 EDT ┆ 662.48 │ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 10:00:00 EDT ┆ 242.15 ┆ 0.0 ┆ 243.83 ┆ 0.7132 ┆ 245.52 ┆ 0.9319 ┆ 0.0018 ┆ 2025-09-19 10:00:00 EDT ┆ 662.14 │ └────────┴────────────┴────────┴───────┴────────────────────────────────┴────────┴─────────────────┴──────────┴─────────────┴────────┴─────────────────┴──────────┴────────────────────────────────┴──────────────────┘ ' /option/history/trade_greeks/implied_volatility: x-concurrent-limit-ttl-ms: '13800' x-min-subscription: professional x-history-access: true get: summary: Trade Implied Volatility operationId: option_history_trade_greeks_implied_volatility x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''pandas'') df = client.option_history_trade_greeks_implied_volatility(symbol=''AAPL'', expiration=date(2024, 11, 8)) ' - lang: Python label: polars source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''polars'') df = client.option_history_trade_greeks_implied_volatility(symbol=''AAPL'', expiration=date(2024, 11, 8)) ' tags: - Option description: "- Returns implied volatilies calculated using the trade reported by [OPRA](/Articles/Data-And-Requests/The-SIPs.html). \n- The underlying price represents whatever the last underlying price was at the ``timestamp`` field. You can read more about how Theta Data calculates greeks [here](/Articles/Data-And-Requests/Option-Greeks.html).\n- Multi-day requests are limited to 1 month of data, and must specify an expiration.\n" x-sample-urls: - url: http://127.0.0.1:25503/v3/option/history/trade_greeks/implied_volatility?symbol=AAPL&expiration=20241108&strike=220.000&right=call&date=20241104 description: Returns implied volatility for an option contract - url: http://127.0.0.1:25503/v3/option/history/trade_greeks/implied_volatility?symbol=AAPL&expiration=20241108&strike=220.000&right=call&start_date=20241104&end_date=20241108 description: Returns implied volatility for an option contract between the specified dates (inclusive) - url: http://127.0.0.1:25503/v3/option/history/trade_greeks/implied_volatility?symbol=AAPL&expiration=20241108&strike=220.000&right=call&date=20241104&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/opt_date' - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/expiration' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/start_time' - $ref: '#/components/parameters/end_time' - $ref: '#/components/parameters/annual_dividend' - $ref: '#/components/parameters/rate_type' - $ref: '#/components/parameters/rate_value' - $ref: '#/components/parameters/greeks_version' - $ref: '#/components/parameters/max_dte' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/format' - $ref: '#/components/parameters/opt_start_date' - $ref: '#/components/parameters/opt_end_date' responses: '200': description: Returns implied volatility for an option contract content: text/csv: schema: type: array items: &id063 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. sequence: type: integer description: The exchange [sequence](/Articles/Data-And-Requests/Making-Requests.html#trade-sequences). ext_condition1: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition2: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition3: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition4: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. condition: type: integer description: The trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). size: type: integer description: The amount of contracts / shares traded. exchange: type: integer description: The [exchange](/Articles/Errors-Exchanges-Conditions/Exchanges.html) the trade was executed. price: type: number description: The trade price. implied_vol: type: number description: The implied volatiltiy calculated using the trade price. iv_error: type: number description: '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.' underlying_timestamp: type: string format: date-time description: The underlying date formated as YYYY-MM-DDTHH:mm:ss.SSS format. underlying_price: type: number description: The midpoint of the underlying at the time of the option trade. example: "symbol,expiration,strike,right,timestamp,sequence,ext_condition1,ext_condition2,ext_condition3,ext_condition4,condition,size,exchange,price,implied_vol,iv_error,underlying_timestamp,underlying_price\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:00.471,18902138,255,255,255,255,130,2,22,3.90,0.3598,0.0002,2024-11-04T09:30:00,221.00\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:01.626,19368856,255,255,255,255,130,1,6,4.25,0.3876,0.0000,2024-11-04T09:30:01,221.17\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:01.698,19403970,255,255,255,255,130,1,6,4.22,0.3842,-0.0002,2024-11-04T09:30:01,221.17\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:02.064,19598457,255,255,255,255,18,1,5,4.15,0.3640,-0.0001,2024-11-04T09:30:02,221.37\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:02.064,19598464,255,255,255,255,18,1,5,4.15,0.3640,-0.0001,2024-11-04T09:30:02,221.37\r\n" application/json: schema: &id064 type: array items: *id063 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":220.000,\"right\":\"CALL\",\"expiration\":\"2024-11-08\"},\n \"data\": [\n {\"underlying_price\":221.00,\"implied_vol\":0.3598,\"iv_error\":0.0002,\"sequence\":18902138,\"condition\":130,\"size\":2,\"price\":3.90,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":22,\"ext_condition3\":255,\"underlying_timestamp\":\"2024-11-04T09:30:00\",\"timestamp\":\"2024-11-04T09:30:00.471\"},\n {\"underlying_price\":221.17,\"implied_vol\":0.3876,\"iv_error\":0.0000,\"sequence\":19368856,\"condition\":130,\"size\":1,\"price\":4.25,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":6,\"ext_condition3\":255,\"underlying_timestamp\":\"2024-11-04T09:30:01\",\"timestamp\":\"2024-11-04T09:30:01.626\"},\n {\"underlying_price\":221.17,\"implied_vol\":0.3842,\"iv_error\":-0.0002,\"sequence\":19403970,\"condition\":130,\"size\":1,\"price\":4.22,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":6,\"ext_condition3\":255,\"underlying_timestamp\":\"2024-11-04T09:30:01\",\"timestamp\":\"2024-11-04T09:30:01.698\"},\n {\"underlying_price\":221.37,\"implied_vol\":0.3640,\"iv_error\":-0.0001,\"sequence\":19598457,\"condition\":18,\"size\":1,\"price\":4.15,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":5,\"ext_condition3\":255,\"underlying_timestamp\":\"2024-11-04T09:30:02\",\"timestamp\":\"2024-11-04T09:30:02.064\"},\n {\"underlying_price\":221.37,\"implied_vol\":0.3640,\"iv_error\":-0.0001,\"sequence\":19598464,\"condition\":18,\"size\":1,\"price\":4.15,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":5,\"ext_condition3\":255,\"underlying_timestamp\":\"2024-11-04T09:30:02\",\"timestamp\":\"2024-11-04T09:30:02.064\"}\n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id064 example: '{"symbol":"AAPL","underlying_price":221.00,"strike":220.000,"right":"CALL","implied_vol":0.3598,"iv_error":0.0002,"sequence":18902138,"condition":130,"size":2,"price":3.90,"ext_condition2":255,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":22,"ext_condition3":255,"underlying_timestamp":"2024-11-04T09:30:00","timestamp":"2024-11-04T09:30:00.471"} {"symbol":"AAPL","underlying_price":221.17,"strike":220.000,"right":"CALL","implied_vol":0.3876,"iv_error":0.0000,"sequence":19368856,"condition":130,"size":1,"price":4.25,"ext_condition2":255,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":6,"ext_condition3":255,"underlying_timestamp":"2024-11-04T09:30:01","timestamp":"2024-11-04T09:30:01.626"} {"symbol":"AAPL","underlying_price":221.17,"strike":220.000,"right":"CALL","implied_vol":0.3842,"iv_error":-0.0002,"sequence":19403970,"condition":130,"size":1,"price":4.22,"ext_condition2":255,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":6,"ext_condition3":255,"underlying_timestamp":"2024-11-04T09:30:01","timestamp":"2024-11-04T09:30:01.698"} {"symbol":"AAPL","underlying_price":221.37,"strike":220.000,"right":"CALL","implied_vol":0.3640,"iv_error":-0.0001,"sequence":19598457,"condition":18,"size":1,"price":4.15,"ext_condition2":255,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":5,"ext_condition3":255,"underlying_timestamp":"2024-11-04T09:30:02","timestamp":"2024-11-04T09:30:02.064"} {"symbol":"AAPL","underlying_price":221.37,"strike":220.000,"right":"CALL","implied_vol":0.3640,"iv_error":-0.0001,"sequence":19598464,"condition":18,"size":1,"price":4.15,"ext_condition2":255,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":5,"ext_condition3":255,"underlying_timestamp":"2024-11-04T09:30:02","timestamp":"2024-11-04T09:30:02.064"}' python/pandas: schema: *id064 example: 'symbol expiration strike right timestamp sequence ext_condition1 ext_condition2 ext_condition3 ext_condition4 condition size exchange price implied_vol iv_error underlying_timestamp underlying_price 0 AAPL 2025-11-07 220.0 CALL 2025-11-04 10:15:30.932000-05:00 2007064912 255 255 255 255 18 11 7 48.30 0.0 0.0001 2025-11-04 10:15:30-05:00 268.23 1 AAPL 2025-11-07 220.0 CALL 2025-11-04 10:50:31.982000-05:00 -2145289500 255 255 255 255 18 7 7 48.30 0.8 0.0000 2025-11-04 10:50:31-05:00 268.20 2 AAPL 2025-11-07 220.0 CALL 2025-11-04 15:45:43.083000-05:00 -1190941781 255 255 255 255 131 2 65 50.31 0.0 0.0006 2025-11-04 15:45:43-05:00 270.27 ' python/polars: schema: *id064 example: 'shape: (3, 18) ┌────────┬────────────┬────────┬───────┬────────────────────────────────┬─────────────┬────────────────┬────────────────┬────────────────┬────────────────┬───────────┬──────┬──────────┬───────┬─────────────┬──────────┬────────────────────────────────┬──────────────────┐ │ symbol ┆ expiration ┆ strike ┆ right ┆ timestamp ┆ sequence ┆ ext_condition1 ┆ ext_condition2 ┆ ext_condition3 ┆ ext_condition4 ┆ condition ┆ size ┆ exchange ┆ price ┆ implied_vol ┆ iv_error ┆ underlying_timestamp ┆ underlying_price │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str ┆ datetime[ms, America/New_York] ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ f64 ┆ f64 ┆ f64 ┆ datetime[ms, America/New_York] ┆ f64 │ ╞════════╪════════════╪════════╪═══════╪════════════════════════════════╪═════════════╪════════════════╪════════════════╪════════════════╪════════════════╪═══════════╪══════╪══════════╪═══════╪═════════════╪══════════╪════════════════════════════════╪══════════════════╡ │ AAPL ┆ 2025-11-07 ┆ 220.0 ┆ CALL ┆ 2025-11-04 10:15:30.932 EST ┆ 2007064912 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 11 ┆ 7 ┆ 48.3 ┆ 0.0 ┆ 0.0001 ┆ 2025-11-04 10:15:30 EST ┆ 268.23 │ │ AAPL ┆ 2025-11-07 ┆ 220.0 ┆ CALL ┆ 2025-11-04 10:50:31.982 EST ┆ -2145289500 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 18 ┆ 7 ┆ 7 ┆ 48.3 ┆ 0.8 ┆ 0.0 ┆ 2025-11-04 10:50:31 EST ┆ 268.2 │ │ AAPL ┆ 2025-11-07 ┆ 220.0 ┆ CALL ┆ 2025-11-04 15:45:43.083 EST ┆ -1190941781 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 131 ┆ 2 ┆ 65 ┆ 50.31 ┆ 0.0 ┆ 0.0006 ┆ 2025-11-04 15:45:43 EST ┆ 270.27 │ └────────┴────────────┴────────┴───────┴────────────────────────────────┴─────────────┴────────────────┴────────────────┴────────────────┴────────────────┴───────────┴──────┴──────────┴───────┴─────────────┴──────────┴────────────────────────────────┴──────────────────┘ ' /option/at_time/trade: x-concurrent-limit-ttl-ms: '72' x-min-subscription: standard x-history-access: true get: summary: Trade operationId: option_at_time_trade x-codeSamples: - lang: Python label: pandas source: "from thetadata import ThetaClient\nfrom datetime import date\n\nclient = ThetaClient(dataframe_type='pandas')\ndf = client.option_at_time_trade(\n symbol='AAPL',\n start_date=date(2024, 11, 4),\n end_date=date(2024, 11, 4),\n time_of_day='09:30:01.000',\n expiration=date(2024, 11, 8),\n)\n" - lang: Python label: polars source: "from thetadata import ThetaClient\nfrom datetime import date\n\nclient = ThetaClient(dataframe_type='polars')\ndf = client.option_at_time_trade(\n symbol='AAPL',\n start_date=date(2024, 11, 4),\n end_date=date(2024, 11, 4),\n time_of_day='09:30:01.000',\n expiration=date(2024, 11, 8),\n)\n" tags: - Option description: '- Returns the last trade reported by [OPRA](/Articles/Data-And-Requests/The-SIPs.html) at a specified millisecond of the day. - Trade condition mappings can be found [here](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). - Extended trade conditions are not reported by [OPRA](/Articles/Data-And-Requests/The-SIPs.html) for options, so they can be ignored. - The ``time_of_day``parameter represents the 00:00:00.000 ET that the trade should be provided for. ' x-sample-urls: - url: http://127.0.0.1:25503/v3/option/at_time/trade?symbol=AAPL&expiration=20241108&strike=220.000&right=call&start_date=20241104&end_date=20241104&time_of_day=09:30:01.000 description: Returns the last trade for an option contract - url: http://127.0.0.1:25503/v3/option/at_time/trade?symbol=AAPL&expiration=20241108&strike=220.000&right=call&start_date=20241104&end_date=20241104&time_of_day=09:30:01.000&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/start_date' - $ref: '#/components/parameters/end_date' - $ref: '#/components/parameters/time_of_day' - $ref: '#/components/parameters/expiration' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/max_dte' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/format' responses: '200': description: Returns the last trade for an option contract content: text/csv: schema: type: array items: &id065 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. sequence: type: integer description: The exchange [sequence](/Articles/Data-And-Requests/Making-Requests.html#trade-sequences). ext_condition1: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition2: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition3: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. ext_condition4: type: integer description: Additional trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html)(s). These can be ignored for options. condition: type: integer description: The trade [condition](/Articles/Errors-Exchanges-Conditions/Trade-Conditions.html). size: type: integer description: The amount of contracts / shares traded. exchange: type: integer description: The [exchange](/Articles/Errors-Exchanges-Conditions/Exchanges.html) the trade was executed. price: type: number description: The trade price. example: "symbol,expiration,strike,right,timestamp,sequence,ext_condition1,ext_condition2,ext_condition3,ext_condition4,condition,size,exchange,price\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:00.471,18902138,255,255,255,255,130,2,22,3.90\r\n" application/json: schema: &id066 type: array items: *id065 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":220.000,\"right\":\"CALL\",\"expiration\":\"2024-11-08\"},\n \"data\": [\n {\"sequence\":18902138,\"condition\":130,\"size\":2,\"price\":3.90,\"ext_condition2\":255,\"ext_condition1\":255,\"ext_condition4\":255,\"exchange\":22,\"ext_condition3\":255,\"timestamp\":\"2024-11-04T09:30:00.471\"}\n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id066 example: '{"symbol":"AAPL","strike":220.000,"right":"CALL","sequence":18902138,"condition":130,"size":2,"price":3.90,"ext_condition2":255,"ext_condition1":255,"expiration":"2024-11-08","ext_condition4":255,"exchange":22,"ext_condition3":255,"timestamp":"2024-11-04T09:30:00.471"}' python/pandas: schema: *id066 example: 'symbol expiration strike right timestamp sequence ext_condition1 ext_condition2 ext_condition3 ext_condition4 condition size exchange price 0 SPY 2025-10-17 420.0 CALL 2025-09-19 09:36:06.712000-04:00 55859949 255 255 255 255 130 1 43 243.18 ' python/polars: schema: *id066 example: 'shape: (1, 14) ┌────────┬────────────┬────────┬───────┬────────────────────────────────┬──────────┬────────────────┬────────────────┬────────────────┬────────────────┬───────────┬──────┬──────────┬────────┐ │ symbol ┆ expiration ┆ strike ┆ right ┆ timestamp ┆ sequence ┆ ext_condition1 ┆ ext_condition2 ┆ ext_condition3 ┆ ext_condition4 ┆ condition ┆ size ┆ exchange ┆ price │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str ┆ datetime[ms, America/New_York] ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ i64 ┆ f64 │ ╞════════╪════════════╪════════╪═══════╪════════════════════════════════╪══════════╪════════════════╪════════════════╪════════════════╪════════════════╪═══════════╪══════╪══════════╪════════╡ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:36:06.712 EDT ┆ 55859949 ┆ 255 ┆ 255 ┆ 255 ┆ 255 ┆ 130 ┆ 1 ┆ 43 ┆ 243.18 │ └────────┴────────────┴────────┴───────┴────────────────────────────────┴──────────┴────────────────┴────────────────┴────────────────┴────────────────┴───────────┴──────┴──────────┴────────┘ ' /option/at_time/quote: x-concurrent-limit-ttl-ms: '634' x-min-subscription: value x-history-access: true get: summary: Quote operationId: option_at_time_quote x-codeSamples: - lang: Python label: pandas source: "from thetadata import ThetaClient\nfrom datetime import date\n\nclient = ThetaClient(dataframe_type='pandas')\ndf = client.option_at_time_quote(\n symbol='AAPL',\n start_date=date(2024, 11, 4),\n end_date=date(2024, 11, 4),\n time_of_day='09:30:01.000',\n expiration=date(2024, 11, 8),\n)\n" - lang: Python label: polars source: "from thetadata import ThetaClient\nfrom datetime import date\n\nclient = ThetaClient(dataframe_type='polars')\ndf = client.option_at_time_quote(\n symbol='AAPL',\n start_date=date(2024, 11, 4),\n end_date=date(2024, 11, 4),\n time_of_day='09:30:01.000',\n expiration=date(2024, 11, 8),\n)\n" tags: - Option description: '- Returns the last NBBO quote reported by [OPRA](/Articles/Data-And-Requests/The-SIPs.html) at a specified millisecond of the day. - The ``time_of_day``parameter represents the 00:00:00.000 ET that the quote should be provided for. - Using a sub-minute ``time_of_day`` (e.g. ``09:30:10.000``) will significantly slow the request and may cause it to hang, particularly when using ``expiration=*``. Use a minute-boundary time (e.g. ``09:30:00.000``) instead. ' x-sample-urls: - url: http://127.0.0.1:25503/v3/option/at_time/quote?symbol=AAPL&expiration=20241108&strike=220.000&right=call&start_date=20241104&end_date=20241104&time_of_day=09:30:01.000 description: Returns the last quote for an option contract - url: http://127.0.0.1:25503/v3/option/at_time/quote?symbol=AAPL&expiration=20241108&strike=220.000&right=call&start_date=20241104&end_date=20241104&time_of_day=09:30:01.000&format=html description: Click to open in browser (HTML) parameters: - $ref: '#/components/parameters/single_symbol' - $ref: '#/components/parameters/start_date' - $ref: '#/components/parameters/end_date' - $ref: '#/components/parameters/time_of_day' - $ref: '#/components/parameters/expiration' - $ref: '#/components/parameters/strike' - $ref: '#/components/parameters/right' - $ref: '#/components/parameters/max_dte' - $ref: '#/components/parameters/strike_range' - $ref: '#/components/parameters/format' responses: '200': description: Returns the last quote for an option contract content: text/csv: schema: type: array items: &id067 type: object properties: symbol: type: string description: The symbol of the contract, or stock / underlying asset / option / index. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price of the contract in dollars 180.00 right: type: string description: Indicates whether the contract is a call or put option. timestamp: type: string format: date-time description: The timestamp in YYYY-MM-DDTHH:mm:ss.SSS format. bid_size: type: integer description: The last NBBO bid size. bid_exchange: type: integer description: The last NBBO bid [exchange](/Articles/Errors-Exchanges-Conditions/Exchanges.html). bid: type: number description: The last NBBO bid price. bid_condition: type: integer description: The last NBBO bid [condition](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). ask_size: type: integer description: The last NBBO ask size. ask_exchange: type: integer description: The last NBBO ask [exchange](/Articles/Errors-Exchanges-Conditions/Exchanges.html). ask: type: number description: The last NBBO ask price. ask_condition: type: integer description: The last NBBO ask [condition](/Articles/Errors-Exchanges-Conditions/Quote-Conditions.html). example: "symbol,expiration,strike,right,timestamp,bid_size,bid_exchange,bid,bid_condition,ask_size,ask_exchange,ask,ask_condition\r\nAAPL,2024-11-08,220.000,CALL,2024-11-04T09:30:00.91,129,69,3.95,50,14,47,4.10,50\r\n" application/json: schema: &id068 type: array items: *id067 example: "{\n \"response\": [\n {\n \"contract\": {\"symbol\":\"AAPL\",\"strike\":220.000,\"right\":\"CALL\",\"expiration\":\"2024-11-08\"},\n \"data\": [\n {\"ask_size\":14,\"ask_condition\":50,\"bid_size\":129,\"ask_exchange\":47,\"bid_exchange\":69,\"ask\":4.10,\"bid\":3.95,\"bid_condition\":50,\"timestamp\":\"2024-11-04T09:30:00.91\"}\n ]\n }\n ]\n}\n" application/x-ndjson: schema: *id068 example: '{"symbol":"AAPL","ask_size":14,"ask_condition":50,"strike":220.000,"right":"CALL","bid_size":129,"ask_exchange":47,"bid_exchange":69,"ask":4.10,"expiration":"2024-11-08","bid":3.95,"bid_condition":50,"timestamp":"2024-11-04T09:30:00.91"}' python/pandas: schema: *id068 example: 'symbol expiration strike right timestamp bid_size bid_exchange bid bid_condition ask_size ask_exchange ask ask_condition 0 SPY 2025-10-17 420.0 CALL 2025-09-19 09:30:00-04:00 0 5 0.0 50 0 5 0.0 50 ' python/polars: schema: *id068 example: 'shape: (1, 13) ┌────────┬────────────┬────────┬───────┬────────────────────────────────┬──────────┬──────────────┬─────┬───────────────┬──────────┬──────────────┬─────┬───────────────┐ │ symbol ┆ expiration ┆ strike ┆ right ┆ timestamp ┆ bid_size ┆ bid_exchange ┆ bid ┆ bid_condition ┆ ask_size ┆ ask_exchange ┆ ask ┆ ask_condition │ │ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- ┆ --- │ │ str ┆ str ┆ f64 ┆ str ┆ datetime[ms, America/New_York] ┆ i64 ┆ i64 ┆ f64 ┆ i64 ┆ i64 ┆ i64 ┆ f64 ┆ i64 │ ╞════════╪════════════╪════════╪═══════╪════════════════════════════════╪══════════╪══════════════╪═════╪═══════════════╪══════════╪══════════════╪═════╪═══════════════╡ │ SPY ┆ 2025-10-17 ┆ 420.0 ┆ CALL ┆ 2025-09-19 09:30:00 EDT ┆ 0 ┆ 5 ┆ 0.0 ┆ 50 ┆ 0 ┆ 5 ┆ 0.0 ┆ 50 │ └────────┴────────────┴────────┴───────┴────────────────────────────────┴──────────┴──────────────┴─────┴───────────────┴──────────┴──────────────┴─────┴───────────────┘ ' /option/flat_file/trade_quote: x-concurrent-limit-ttl-ms: '1800000' x-hide-from-docs: true x-min-subscription: professional get: summary: Option Flat File Trade Quote operationId: option_flat_file_trade_quote x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''pandas'') df = client.option_flat_file_trade_quote(date=date(2024, 1, 2)) ' - lang: Python label: polars source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''polars'') df = client.option_flat_file_trade_quote(date=date(2024, 1, 2)) ' tags: - Option description: 'Bulk download all option trade/quote ticks for a given date as a CSV stream. Returns one row per tick, grouped by contract. Requires a Professional options subscription. ' parameters: - $ref: '#/components/parameters/date' - $ref: '#/components/parameters/format' responses: '200': description: CSV stream of all option trade/quote ticks for the given date content: text/csv: schema: type: array items: &id069 type: object properties: root: type: string description: The option root symbol. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price. right: type: string description: C for call, P for put. ms_of_day: type: integer description: Milliseconds since midnight. date: type: integer description: Date as YYYYMMDD integer. application/json: schema: &id070 type: array items: *id069 application/x-ndjson: schema: *id070 /option/flat_file/eod: x-concurrent-limit-ttl-ms: '1800000' x-hide-from-docs: true x-min-subscription: professional get: summary: Option Flat File EOD operationId: option_flat_file_eod x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''pandas'') df = client.option_flat_file_eod(date=date(2024, 1, 2)) ' - lang: Python label: polars source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''polars'') df = client.option_flat_file_eod(date=date(2024, 1, 2)) ' tags: - Option description: 'Bulk download all option end-of-day ticks for a given date as a CSV stream. Returns one row per tick, grouped by contract. Requires a Professional options subscription. ' parameters: - $ref: '#/components/parameters/date' - $ref: '#/components/parameters/format' responses: '200': description: CSV stream of all option EOD ticks for the given date content: text/csv: schema: type: array items: &id071 type: object properties: root: type: string description: The option root symbol. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price. right: type: string description: C for call, P for put. ms_of_day: type: integer description: Milliseconds since midnight. date: type: integer description: Date as YYYYMMDD integer. application/json: schema: &id072 type: array items: *id071 application/x-ndjson: schema: *id072 /option/flat_file/open_interest: x-concurrent-limit-ttl-ms: '1800000' x-hide-from-docs: true x-min-subscription: professional get: summary: Option Flat File Open Interest operationId: option_flat_file_open_interest x-codeSamples: - lang: Python label: pandas source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''pandas'') df = client.option_flat_file_open_interest(date=date(2024, 1, 2)) ' - lang: Python label: polars source: 'from thetadata import ThetaClient from datetime import date client = ThetaClient(dataframe_type=''polars'') df = client.option_flat_file_open_interest(date=date(2024, 1, 2)) ' tags: - Option description: 'Bulk download all option open interest ticks for a given date as a CSV stream. Returns one row per tick, grouped by contract. Requires a Professional options subscription. ' parameters: - $ref: '#/components/parameters/date' - $ref: '#/components/parameters/format' responses: '200': description: CSV stream of all option open interest ticks for the given date content: text/csv: schema: type: array items: &id073 type: object properties: root: type: string description: The option root symbol. expiration: type: string format: date description: Expiration date of the contract in YYYY-MM-DD format. strike: type: number description: Strike price. right: type: string description: C for call, P for put. ms_of_day: type: integer description: Milliseconds since midnight. open_interest: type: integer description: Open interest. date: type: integer description: Date as YYYYMMDD integer. application/json: schema: &id074 type: array items: *id073 application/x-ndjson: schema: *id074 components: parameters: end_time: name: end_time in: query description: The end time (inclusive) in the specified day (format 24-hour HH:MM:SS.SSS). required: false schema: type: string format: time default: '16:00:00' start_time: name: start_time in: query description: The start time (inclusive) in the specified day (format 24-hour HH:MM:SS.SSS). required: false schema: type: string format: time default: 09:30:00 exclusive: name: exclusive in: query description: If you prefer to match quotes with timestamps that are < the trade timestamp. required: false schema: type: boolean default: true stock_price: name: stock_price in: query description: The underlying stock price to be used in the Greeks calculation. required: false schema: type: number format: float single_symbol: name: symbol in: query description: The stock or index symbol, or underlying symbol for options. required: true schema: type: string rate_value: name: rate_value in: query description: The interest rate, as a percent, to be used in a Greeks calculation. required: false schema: type: number format: float example: 5.0 opt_multi_symbol: name: symbol in: query description: The stock or index symbol, or underlying symbol for options. required: false schema: type: array items: type: string greeks_version: name: version in: query description: Used to adjust Greeks calculation methodology. "1" uses a fixed .15 DTE for 0DTE; "latest" uses real TTE (down to a minimum of 1 hour) required: false schema: type: string enum: - latest - '1' default: latest opt_end_date: name: end_date in: query description: The end date (inclusive). required: false schema: type: string format: date rate_type: name: rate_type in: query description: The interest rate type to be used in a Greeks calculation. required: false schema: type: string enum: - sofr - treasury_m1 - treasury_m3 - treasury_m6 - treasury_y1 - treasury_y2 - treasury_y3 - treasury_y5 - treasury_y7 - treasury_y10 - treasury_y20 - treasury_y30 default: sofr max_dte: name: max_dte in: query description: If specified, only contracts with a full calendar day 'Days to Expiration' (DTE) less than or equal to this number will be returned. required: false schema: minimum: 0 type: integer format: int32 date: name: date in: query description: The date to fetch data for. required: true schema: type: string format: date end_date: name: end_date in: query description: The end date (inclusive). required: true schema: type: string format: date interval: name: interval in: query description: The size of the time interval must be one of the available options listed below. Intervals less than 1m are available only for single-day requests. required: true schema: type: string enum: - tick - 10ms - 100ms - 500ms - 1s - 5s - 10s - 15s - 30s - 1m - 5m - 10m - 15m - 30m - 1h default: 1s underlyer_use_nbbo: name: underlyer_use_nbbo in: query description: Used to select underlyer pricing for Greeks calculation. "true" uses the midpoint of the NBBO; "false" uses the last trade price. required: false schema: type: boolean default: false multi_symbol: name: symbol in: query description: The stock or index symbol, or underlying symbol for options. Specify '*' for all symbols or a comma separated list when appropriate. required: true schema: type: array items: type: string start_date: name: start_date in: query description: The start date (inclusive). required: true schema: type: string format: date time_of_day: name: time_of_day in: query description: The time of the day to fetch data for; assumed to be America/New_York. required: true schema: type: string format: time use_market_value: name: use_market_value in: query description: Use the market value bid, ask, and price required: false schema: type: boolean default: false expiration: name: expiration in: query x-date-wildcard: true description: The expiration of the contract in `YYYY-MM-DD` or `YYYYMMDD` format, or `*` for all expirations. required: true schema: type: string format: date request_type: name: request_type in: path description: The request type. required: true schema: type: string enum: - trade - quote expiration_no_star: name: expiration in: query description: The expiration of the contract in `YYYY-MM-DD` or `YYYYMMDD` format. required: true schema: type: string format: date right: name: right in: query description: The right (call or put) of the contract. required: false schema: type: string enum: - call - put - both default: both strike_range: name: strike_range in: query description: Limits the number of contracts returned relative to the underlying's spot price. For a specified value 'n', this returns 'n' strikes above and 'n' strikes below the spot price, plus one at-the-money (ATM) strike (where spot price = strike price), if available. This results in a maximum of `2n + 1` strikes. required: false schema: minimum: 1 type: integer format: int32 strike: name: strike in: query description: The strike price of the contract in dollars (ie `100.00` for `$100.00`), or `*` for all strikes. required: false schema: type: string default: '*' opt_start_date: name: start_date in: query description: The start date (inclusive). required: false schema: type: string format: date format: name: format in: query description: The format of the data when returned to the user. required: false schema: type: string enum: - csv - json - ndjson - html default: csv min_time: name: min_time in: query description: Filters snapshots to include only data with a timestamp greater or equal to the specified value (HH:mm:ss.SSS format). required: false schema: type: string format: time opt_date: name: date in: query description: The date to fetch data for. If present, this overrides start_date and end_date. required: false schema: type: string format: date annual_dividend: name: annual_dividend in: query description: The annualized expected dividend amount to be used in Greeks calculations. required: false schema: type: number format: float