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Greeks and Vols U.S.

Option Greeks, Implied Volatility, and Theoretical Price for the associated symbol.

Endpoint

GET https://<base_url>/v1/<source>/<offset>/greeksandvolsus/<identifier>

URI Parameters

<source> - nasdaq

<offset> - Real-time or 15 minute delayed data; acceptable values: realtime, delayed (currently only realtime is offered)

<identifier> - Unique identifier of the options contract

Headers

"Authorization: Bearer <token>"

Request Body

none

Response Body

[
  {
    "u":  "string",
    "d":  "number",
    "g":  "number",
    "vg":  "number",
    "tt": "number",
    "r":  "number",
    "iv": "number",
    "tp": "number",
    "t":  "string",
    "i":  "string"
  }
]
Field Name Type Description
Underlying u string Underlying symbol associated with the Option.
Delta d number Compares the rate of change between the underlying asset's price and the option instrument’s price.
Gamma g number Provides the rate of change for an option instrument’s delta value based on a single point move in the underliers price.
Vega vg number Measures an option instrument’s change in price relative to a single point move in implied volatility of the underlying instrument.
Theta tt number Represents the rate of decline in the value of an option instrument over time as the expiration date approaches.
Rho r number Measures the price change for an option instrument relative to a change in the risk-free rate of interest.
Implied Volatility iv number Provides the market forecast of expected movements in the underlying instrument over the duration of the option instrument’s life.
Theoretical Price tp number Provides an estimated price of an option instrument that can be used alongside market prices.
Timestamp t string The timestamp for all values.
Identifier i string Unique identifier of the options contract: Symbol + Expiration Date + Option Type + Strike Price, using OSI symbology for all US options; see https://en.wikipedia.org/wiki/Option_symbol.

Example

Request

curl --location --request GET 'https://example.com/v1/nasdaq/realtime/greeksandvolsus/AAPL   230526C00172500' \
--header "Authorization: Bearer example_token"

Response

[
  {
    "u": "AAPL.O",
    "d": 0.5976895209869326,
    "g": 0.1812382635080212,
    "vg": 0.040720051256926126,
    "tt": -0.3208365923907447,
    "r": 0.003785521215604603,
    "iv": 0.20281799478887522,
    "tp": 1.1320738969929778,
    "t": "2023-05-26T09:50:02.088",
    "i": "AAPL  230526C00172500"
  }
]