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option_snapshot_binomial_greeks_first_order() ​

StandardPro
  • Retrieve a real-time last greeks calculation for all option contracts that lie on a provided expiration.
  • Greeks are calculated with a Leisen-Reimer binomial tree that allows early exercise at every node. See here for more detail.
  • You might need to change the default expiration date to a different date if it is past the current date. Some quotes are omitted in the example to reduce the space of the sample output.
  • Make expiration * if you want to get the snapshot for every expiration chain for the underlying.

Returns the latest message for each contract from the past 7 days (for example, on a Friday back to the previous Friday). Outside market hours it returns values from the most recent trading session. Contracts with no messages in the past 7 calendar days are not returned. Contracts are removed after their expiration date's trading session. Use current_day_only=true to return only today's data.

Parameters

symbolRequired  -

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

Type: str
expirationRequired  -

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

Type: datetime.date
strike  -

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

Type: str (Default: *)
right  -

The right (call or put) of the contract.

Type: str (Default: both)
Enumcall, put, both
annual_dividend  -

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

Type: float
rate_type  -

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

Type: str (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: float
stock_price  -

The underlying stock price to be used in the Greeks calculation.

Type: float
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: int (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: str (Default: latest)
Enumlatest, 1
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: int
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: int
min_time  -

Filters snapshots to include only data with a timestamp greater or equal to the specified value (HH:mm:ss.SSS format).

Type: Union[datetime.time, str]
use_market_value  -

Use the market value bid, ask, and price

Type: boolean (Default: false)
current_day_only  -

Only return snapshot data from the current trading day (New York date). Applied before min_time.

Type: boolean (Default: false)

Sample Code ​

py

Response ​

Returns first order binomial greeks for an option contract

array of: