option_history_greeks_eod

FreeValueStandardPro

Retrieve end-of-day Greeks history for an option contract across a date range.

Code Example

Rust

let g: Vec<GreeksTick> = tdx.option_history_greeks_eod(
    "SPY", "20241220", "500000", "C", "20240101", "20240301"
).await?;

Python

g = tdx.option_history_greeks_eod("SPY", "20241220", "500000", "C",
                                      "20240101", "20240301")

Go

g, err := client.OptionHistoryGreeksEOD("SPY", "20241220", "500000", "C",
    "20240101", "20240301")

C++

auto g = client.option_history_greeks_eod("SPY", "20241220", "500000", "C",
                                           "20240101", "20240301");

Parameters

symbolstringrequired

Underlying symbol

expirationstringrequired

Expiration date in YYYYMMDD format

strikestringrequired

Strike price as scaled integer

rightstringrequired

"C" for call, "P" for put

start_datestringrequired

Start date in YYYYMMDD format

end_datestringrequired

End date in YYYYMMDD format

annual_dividendfloatoptional

Override annual dividend

rate_typestringoptional

Interest rate type

rate_valuefloatoptional

Override interest rate value

versionstringoptional

Greeks calculation version

underlyer_use_nbbobooloptional

Use NBBO midpoint for underlying price instead of last trade

max_dteintoptional

Maximum days to expiration

strike_rangeintoptional

Strike range filter

Response

datestring

Trading date

implied_volatilityfloat

Implied volatility

deltafloat

Delta

gammafloat

Gamma

thetafloat

Theta

vegafloat

Vega

rhofloat

Rho

underlying_pricefloat

Underlying close price used

Notes

• EOD Greeks are computed using the closing price. Use underlyer_use_nbbo to switch to the NBBO midpoint.
• This is ideal for building daily Greeks time series for backtesting or risk reporting.