V3_OPTION_HISTORY_GREEKS_SECOND_ORDER()

Pro

• Returns the data for all contracts that share the same provided symbol and expiration.
• 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 timestamp field. You can read more about how Theta Data calculates greeks here.
• Multi-day requests are limited to 1 month of data.

Example

=THETADATA.V3_OPTION_HISTORY_GREEKS_SECOND_ORDER("AAPL", "", "20241108", "*", "both", "09:30:00", "16:00:00", "1h", "", "sofr", "", "latest", "", "20241104", "20241107", "")

Parameters

symbolRequired  -

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

Type: string

Behavior: Required.

date  -

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

Type: string

Behavior: Optional.

expiration  -

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

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

start_time  -

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

Type: string

Behavior: Optional (default: 09:30:00).

end_time  -

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

Type: string

Behavior: Optional (default: 16:00:00).

interval  -

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

Behavior: Optional (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: 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.

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

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.

start_date  -

The start date (inclusive).

Type: string

Behavior: Optional.

end_date  -

The end date (inclusive).

Type: string

Behavior: Optional.

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.

Returns

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