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V3_OPTION_HISTORY_TRADE_GREEKS_SECOND_ORDER() ​

Pro
  • 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.

Example ​

=THETADATA.V3_OPTION_HISTORY_TRADE_GREEKS_SECOND_ORDER("AAPL", "", "20241108", "*", "both", "09:30:00", "16:00:00", "", "sofr", "", "latest", "", "", "20241104", "20241110")

Parameters ​

symbolRequired  -

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

Type: string
Behavior: Required.
date  -

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

Type: string
Behavior: Optional.
expiration  -

The expiration of the contract in YYYY-MM-DD or YYYYMMDD format, or * for all expirations.

Type: string
Behavior: Optional - leave blank for all expirations.
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).
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
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: string
Behavior: Optional.
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.