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Implied Volatility (v3) ​

StandardPro

REQUIRED

The v3 Theta Terminal must be running to access data.

  • Returns implied volatilies calculated using the national best bid, mid, and ask price of the option respectively.
  • 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.

Sample URL ​

Paste the URL below into your browser while the Theta Terminal is running.

Returns 5m interval implied volatility for an option contract
http://127.0.0.1:25503/v3/option/history/greeks/implied_volatility?symbol=AAPL&expiration=20241108&strike=220.000&right=call&date=20241104&interval=5m

Click to open in browser (HTML)
http://127.0.0.1:25503/v3/option/history/greeks/implied_volatility?symbol=AAPL&expiration=20241108&strike=220.000&right=call&date=20241104&interval=5m&format=html

Returns 5m interval implied volatility for an option contract between the specified dates (inclusive)
http://127.0.0.1:25503/v3/option/history/greeks/implied_volatility?symbol=AAPL&expiration=20241108&strike=220.000&right=call&start_date=20241104&end_date=20241107&interval=5m

Click to open in browser (HTML)
http://127.0.0.1:25503/v3/option/history/greeks/implied_volatility?symbol=AAPL&expiration=20241108&strike=220.000&right=call&start_date=20241104&end_date=20241107&interval=5m&format=html

Query Parameters ​

date  -

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

Type: string
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.

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_time  -

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

Type: string (Default: 09:30:00)
end_time  -

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

Type: string (Default: 16:00:00)
intervalRequired  -

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 (Default: 1s)
Enumtick, 10ms, 100ms, 500ms, 1s, 5s, 10s, 15s, 30s, 1m, 5m, 10m, 15m, 30m, 1h
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
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: integer
format  -

The format of the data when returned to the user.

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

The start date (inclusive).

Type: string
end_date  -

The end date (inclusive).

Type: string

Responses ​

Returns 5m interval implied volatility for an option contract

array of:

Sample Code ​

py