Trade Implied Volatility (v3)

Pro

GET

http://127.0.0.1:25503/v3/option/history/trade_greeks/implied_volatility

REQUIRED

The v3 Theta Terminal must be running to access data.

• Returns implied volatilies calculated using the trade reported by OPRA.
• 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, and must specify an expiration.

Sample URL

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

Returns implied volatility for an option contract

http://127.0.0.1:25503/v3/option/history/trade_greeks/implied_volatility?symbol=AAPL&expiration=20241108&strike=220.000&right=call&date=20241104

Returns implied volatility for an option contract between the specified dates (inclusive)

http://127.0.0.1:25503/v3/option/history/trade_greeks/implied_volatility?symbol=AAPL&expiration=20241108&strike=220.000&right=call&start_date=20241104&end_date=20241108

Click to open in browser (HTML)

http://127.0.0.1:25503/v3/option/history/trade_greeks/implied_volatility?symbol=AAPL&expiration=20241108&strike=220.000&right=call&date=20241104&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, 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_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)

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

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  -

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 implied volatility for an option contract

Content-Type

array of:

Sample Code

Python