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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)

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
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 (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 (Default: true)
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: integer
strike_range  -

Used to specify a filter to limit the number of contracts returned relative to the underlying's spot price. Will return the specified number of strikes above and below the spot price, as well as the at-the-money strike.

Type: integer
format  -

The format of the data when returned to the user.

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

Responses ​

Returns EOD report for an option contract

array of:

Sample Code ​

py