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V3_OPTION_HISTORY_GREEKS_FIRST_ORDER() ​

StandardPro
  • 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 Theta Data calculates greeks here.
  • Multi-day requests are limited to 1 month of data.

Example ​

=THETADATA.V3_OPTION_HISTORY_GREEKS_FIRST_ORDER("AAPL", "20241108", "", "*", "both", "09:30:00", "16:00:00", "5m", "", "sofr", "", "latest", "", "20241104", "20241107")

Parameters ​

symbolRequired  -

The stock or index symbol, or underlying symbol for options.

Type: string
Behavior: Required.
expirationRequired  -

The expiration of the contract in YYYY-MM-DD or YYYYMMDD format.

Type: string
Behavior: Required.
date  -

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

Type: string
Behavior: Optional.
strike  -

The strike price of the contract in dollars (ie 100.00 for $100.00), or * for all strikes.

Type: string
Behavior: Optional (default: *).
right  -

The right (call or put) of the contract.

Type: string
Behavior: Optional (default: both).
Enumcall, put, both
start_time  -

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

Type: string
Behavior: Optional (default: 09:30:00).
end_time  -

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

Type: string
Behavior: Optional (default: 16:00:00).
interval  -

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
Behavior: Optional (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: string
Behavior: Optional.
rate_type  -

The interest rate type to be used in a Greeks calculation.

Type: string
Behavior: Optional (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: string
Behavior: Optional.
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
Behavior: Optional (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: string
Behavior: Optional.
start_date  -

The start date (inclusive).

Type: string
Behavior: Optional.
end_date  -

The end date (inclusive).

Type: string
Behavior: Optional.

Returns ​

A grid (string[][]) - a header row followed by one row per result. See the REST API reference for the full response schema.