ThetaData v3

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Third Order Greeks (v3) ​

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.
  • Calculated using the option and underlying midpoint price. If an interval size is specified (highly recommended), the option quote used in the calculation follows the same rules as the quote endpoint.
  • 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 third order greeks for an option contract
http://localhost:25503/v3/option/history/greeks/third_order?symbol=AAPL&expiration=20241108&date=20241104&interval=1h

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