Option Greeks

Server-computed Greeks

The option/*/greeks/* reference endpoints return Greeks computed by ThetaData using the Black-Scholes model — specifically the formulas catalogued on Wikipedia's Greeks page. Input conventions:

• Risk-free rate defaults to SOFR; override the source with rate_type (SOFR or a Treasury tenor) or pin an exact rate with rate_value.
• Dividends are ignored unless you pass annual_dividend.
• Option price input is the NBBO midpoint by default; use_market_value switches snapshot calculations to the market value, and trade-Greeks endpoints use the trade price.
• Underlying price input is the last underlying trade; underlyer_use_nbbo switches to the underlying NBBO midpoint.
• Implied volatility is solved numerically from the option price; each row carries an iv_error residual so you can judge the fit.
• version selects the calculation revision; latest uses real time-to-expiration down to a one-hour floor.

Greek-by-Greek field definitions appear on every Greeks reference page's response table.