ThetaData v3

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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 Thetadata calculates greeks here.

Sample URL ​

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

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

Query Parameters ​

dateRequired  -

The date to fetch data for.

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.

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

The end time (inclusive) in the specified day.

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

The size of the time interval must be one of the available options listed below.

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
format  -

The format of the data when returned to the user.

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

Sample Code ​

py