ThetaData v3

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End of Day Greeks (v3) ​

StandardPro

REQUIRED

The v3 Theta Terminal must be running to access data.

  • Returns the data for all contracts that share the same provided symbol and expiration.
  • Uses Theta Data's EOD reports that get generated at 17:15 ET each day. The closing option price and closing underlying price are used for the greeks calculation.
  • 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)

The quote fields (bid / ask info) may not be available prior to 2023-12-01. We are working to expose this over the coming months. Obtaining the quote at the end of the day requires much more processing than the trades, so we initially generated our history for trades.

Query Parameters ​

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.

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_dateRequired  -

The start date (inclusive).

Type: string
end_dateRequired  -

The end date (inclusive).

Type: string
annual_dividend  -

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

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
format  -

The format of the data when returned to the user.

Type: string (Default: csv)
Enumcsv, json, ndjson

Sample Code ​

py