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Third Order Trade Greeks (v3) ​

Pro

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.
  • Calculates greeks for every 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 third order trade greeks for an option contract
http://127.0.0.1:25503/v3/option/history/trade_greeks/third_order?symbol=AAPL&expiration=20241108&date=20241104

Returns third order trade greeks for an option contract between the specified dates (inclusive)
http://127.0.0.1:25503/v3/option/history/trade_greeks/third_order?symbol=AAPL&expiration=20241108&start_date=20241104&end_date=20241110

Returns third order trade greeks for an full chain of option contracts
http://127.0.0.1:25503/v3/option/history/trade_greeks/third_order?symbol=AAPL&expiration=*&date=20241104

Click to open in browser (HTML)
http://127.0.0.1:25503/v3/option/history/trade_greeks/third_order?symbol=AAPL&expiration=*&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  -

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
start_date  -

The start date (inclusive).

Type: string
end_date  -

The end date (inclusive).

Type: string

Responses ​

Returns third order trade greeks for an option contract

array of:

Sample Code ​

py