Third Order Binomial Greeks (v3)
REQUIRED
The v3 Theta Terminal must be running to access data.
- Returns the data for all contracts that share the same provided symbol and expiration.
- Greeks are calculated with a Leisen-Reimer binomial tree. European-style index options (such as SPX, SPXW, XSP, NDX, RUT and VIX) are priced as European and every other root as American, which allows early exercise at every node; set
exercise_styleto override. See here for more detail. - Calculated using the option and underlying midpoint price. If an interval size is specified (highly recommended), the option quote used in the calculation follows the same rules as the quote endpoint.
- The underlying price represents whatever the last underlying price was at the
timestampfield. You can read more about how Theta Data calculates greeks here. - Multi-day requests are limited to 1 month of data.
Sample URL
Paste the URL below into your browser while the Theta Terminal is running.
Query Parameters
The date to fetch data for. If present, this overrides start_date and end_date.
The stock or index symbol, or underlying symbol for options.
The expiration of the contract in YYYY-MM-DD or YYYYMMDD format, or * for all expirations. * is limited to one day at a time and an interval of at least 1m; tick and sub-minute intervals are rejected.
The strike price of the contract in dollars (ie 100.00 for $100.00), or * for all strikes.
The right (call or put) of the contract.
The start time (inclusive) in the specified day (format 24-hour HH:MM:SS.SSS).
The end time (inclusive) in the specified day (format 24-hour HH:MM:SS.SSS).
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.
The annualized continuous dividend yield used in Greeks calculations, as a decimal (e.g. 0.0042 for a 0.42% yield). To pass a dollar amount instead, use annual_dividend_amount. Must be non-negative.
The interest rate type to be used in a Greeks calculation.
The interest rate, as a percent, to be used in a Greeks calculation.
The number of steps used to build the binomial tree for binomial Greeks calculations. Higher values are more accurate but slower to compute; the cost of a request grows with the square of this value. An even value is rounded up to the next odd one, which the Leisen-Reimer tree requires so that the strike lands on the centre of the final step. Requests for every expiration (expiration=*) are capped at 101 steps.
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)
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.
The format of the data when returned to the user.
The start date (inclusive).
The end date (inclusive).
The annual dividend per share in dollars used in Greeks calculations (e.g. 0.96 for $0.96 per year). It is converted to a yield for each tick by dividing by the underlying price used for that tick. Must be non-negative, and cannot be combined with a non-zero annual_dividend.
The exercise style used to price the option on the binomial tree. american allows early exercise at every node; european allows exercise only at expiration. When omitted, European-style index options (such as SPX, SPXW, XSP, NDX, RUT and VIX) are priced as European and every other root as American. See here for the list of European roots.
Where each contract's implied volatility comes from. own_quote (default) uses the contract's own midpoint. out_of_the_money uses the out-of-the-money option at the same strike, which smooths deep in-the-money Greeks; it requires strike=*, right=both, and an interval on history requests. See here for details.
Responses
Returns third order binomial greeks for an option contract