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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. 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_style to override. 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, "", "", "own_quote")

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 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: 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).
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: string
Behavior: Optional.
exercise_style  -

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.

Type: string
Behavior: Optional.
Enumamerican, european
implied_vol_method  -

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.

Type: string
Behavior: Optional (default: own_quote).
Enumown_quote, out_of_the_money

Returns ​

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