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V3_OPTION_HISTORY_BINOMIAL_GREEKS_EOD() ​

StandardPro
  • Returns the data for all contracts that share the same provided symbol and expiration.
  • Greeks are calculated with a Leisen-Reimer binomial tree that allows early exercise at every node. See here for more detail.
  • Uses Theta Data's EOD reports that get generated at 17:15 ET each day. By default, the greeks are calculated from the midpoint of the option's closing NBBO and the underlying's closing price. Use option_use_nbbo and underlyer_use_nbbo to switch the price source.
  • 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)

Example ​

=THETADATA.V3_OPTION_HISTORY_BINOMIAL_GREEKS_EOD("AAPL", "20241104", "20241104", "20241108", "220.000", "call", "", "sofr", "", "101", "latest", FALSE, "", "", TRUE)

Parameters ​

symbolRequired  -

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

Type: string
Behavior: Required.
start_dateRequired  -

The start date (inclusive).

Type: string
Behavior: Required.
end_dateRequired  -

The end date (inclusive).

Type: string
Behavior: Required.
expiration  -

The expiration of the contract in YYYY-MM-DD or YYYYMMDD format, or * for all expirations.

Type: string
Behavior: Optional - leave blank for all expirations.
strike  -

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

Type: string
Behavior: Optional (default: *).
right  -

The right (call or put) of the contract.

Type: string
Behavior: Optional (default: both).
Enumcall, put, both
annual_dividend  -

The annualized expected dividend amount to be used in Greeks calculations.

Type: string
Behavior: Optional.
rate_type  -

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

Type: string
Behavior: Optional (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: string
Behavior: Optional.
binomial_steps  -

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.

Type: string
Behavior: Optional (default: 101).
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
Behavior: Optional (default: latest).
Enumlatest, 1
underlyer_use_nbbo  -

Used to select underlyer pricing for Greeks calculation. "true" uses the midpoint of the NBBO; "false" uses the last trade price.

Type: boolean
Behavior: Optional (default: false).
max_dte  -

If specified, only contracts with a full calendar day 'Days to Expiration' (DTE) less than or equal to this number will be returned.

Type: string
Behavior: Optional.
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: string
Behavior: Optional.
option_use_nbbo  -

Used to select option pricing for the implied volatility and Greeks calculation. "true" uses the midpoint of the closing NBBO; "false" uses the last trade price of the day (close). A contract with no trades on the day has a close of 0.

Type: boolean
Behavior: Optional (default: true).

Returns ​

A grid (string[][]) - a header row followed by one row per result. See the REST API reference for the full response schema.