Implied Volatility (v3)

StandardPro

GET

http://127.0.0.1:25503/v3/option/history/greeks/implied_volatility

REQUIRED

The v3 Theta Terminal must be running to access data.

• Returns implied volatilies calculated using the national best bid, mid, and ask price of the option respectively.
• 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.
• 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.

Returns 5m interval implied volatility for an option contract

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

Click to open in browser (HTML)

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

Returns 5m interval implied volatility for an option contract between the specified dates (inclusive)

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

Click to open in browser (HTML)

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

Query Parameters

date  -

The date to fetch data for. If present, this overrides start_date and end_date.

Type: string

symbolRequired  -

The stock or index symbol, or underlying symbol for options.

Type: string

expirationRequired  -

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.

Type: string

strike  -

The strike price of the contract in dollars (ie 100.00 for $100.00), or * for all strikes.

Type: string (Default: *)

right  -

The right (call or put) of the contract.

Type: string (Default: both)

Enumcall, put, both

start_time  -

The start time (inclusive) in the specified day (format 24-hour HH:MM:SS.SSS).

Type: string (Default: 09:30:00)

end_time  -

The end time (inclusive) in the specified day (format 24-hour HH:MM:SS.SSS).

Type: string (Default: 16:00:00)

intervalRequired  -

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.

Type: string (Default: 1s)

Enumtick, 10ms, 100ms, 500ms, 1s, 5s, 10s, 15s, 30s, 1m, 5m, 10m, 15m, 30m, 1h

annual_dividend  -

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.

Type: number

rate_type  -

The interest rate type to be used in a Greeks calculation.

Type: string (Default: sofr)

Enumsofr, treasury_m1, treasury_m3, treasury_m6, treasury_y1, treasury_y2, treasury_y3, treasury_y5, treasury_y7, treasury_y10, treasury_y20, treasury_y30

rate_value  -

The interest rate, as a percent, to be used in a Greeks calculation.

Type: number

version  -

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)

Type: string (Default: latest)

Enumlatest, 1

strike_range  -

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.

Type: integer

format  -

The format of the data when returned to the user.

Type: string (Default: csv)

Enumcsv, json, ndjson, html

start_date  -

The start date (inclusive).

Type: string

end_date  -

The end date (inclusive).

Type: string

annual_dividend_amount  -

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.

Type: number

Responses

Returns 5m interval implied volatility for an option contract

Content-Type

array of:

Sample Code

Python