V3_OPTION_SNAPSHOT_GREEKS_IMPLIED_VOLATILITY()

StandardPro

Returns implied volatilies calculated using the national best bid, mid, and ask price
of the option respectively. The underlying price represents whatever the last underlying price was at the
underlying_timestamp field. You can read more about how Theta Data calculates greeks
here.

Example

=THETADATA.V3_OPTION_SNAPSHOT_GREEKS_IMPLIED_VOLATILITY("AAPL", "20270115", "270.000", "call", "", "sofr", "", "", "latest", "", "", "", FALSE)

Parameters

symbolRequired  -

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

Type: string

Behavior: Required.

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

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.

stock_price  -

The underlying stock price to be used in the 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.

min_time  -

Filters snapshots to include only data with a timestamp greater or equal to the specified value (HH:mm:ss.SSS format).

Type: string

Behavior: Optional.

use_market_value  -

Use the market value bid, ask, and price

Type: boolean

Behavior: Optional (default: false).

Returns

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