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option_history_trade_greeks_implied_volatility() ​

Pro
  • 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.

Parameters

date  -

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

Type: datetime.date
symbolRequired  -

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

Type: str
expirationRequired  -

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

Type: datetime.date
strike  -

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

Type: str (Default: *)
right  -

The right (call or put) of the contract.

Type: str (Default: both)
Enumcall, put, both
start_time  -

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

Type: datetime.time (Default: 09:30:00)
end_time  -

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

Type: datetime.time (Default: 16:00:00)
annual_dividend  -

The annualized expected dividend amount to be used in Greeks calculations.

Type: float
rate_type  -

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

Type: str (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: float
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: str (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: int
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: int
start_date  -

The start date (inclusive).

Type: datetime.date
end_date  -

The end date (inclusive).

Type: datetime.date

Sample Code ​

py

Response ​

Returns implied volatility for an option contract

array of: