option_history_greeks_first_order

FreeValueStandardPro

Retrieve first-order Greeks (delta, theta, vega, rho, epsilon, lambda) sampled at a given interval throughout a trading day.

Code Example

Rust

let data = tdx.option_history_greeks_first_order("SPY", "20260417", "550", "C", "20260315", "60000").await?;
for t in &data {
    println!("date={} ms_of_day={} implied_volatility={:.4} delta={:.4} theta={:.4} vega={:.4} rho={:.4} epsilon={:.4} lambda={:.4}",
        t.date, t.ms_of_day, t.implied_volatility, t.delta, t.theta, t.vega, t.rho, t.epsilon, t.lambda);
}

Python

data = tdx.option_history_greeks_first_order("SPY", "20260417", "550", "C", "20260315", "60000")
for t in data:
    print(f"date={t.date} ms_of_day={t.ms_of_day} implied_volatility={t.implied_volatility:.4f} delta={t.delta:.4f} "
          f"theta={t.theta:.4f} vega={t.vega:.4f} rho={t.rho:.4f} epsilon={t.epsilon:.4f} lambda={t.lambda:.4f}")

TypeScript

const data = tdx.optionHistoryGreeksFirstOrder('SPY', '20260417', '550', 'C', '20260315', '60000');
for (const t of data) {
    console.log(`date=${t.date} ms_of_day=${t.ms_of_day} implied_volatility=${t.implied_volatility} delta=${t.delta} theta=${t.theta} vega=${t.vega}`);
}

C++

auto data = client.option_history_greeks_first_order("SPY", "20260417", "550", "C", "20260315", "60000");
for (const auto& t : data) {
    printf("date=%d ms_of_day=%d implied_volatility=%.4f delta=%.4f theta=%.4f vega=%.4f rho=%.4f epsilon=%.4f lambda=%.4f\n",
        t.date, t.ms_of_day, t.implied_volatility, t.delta, t.theta, t.vega, t.rho, t.epsilon, t.lambda);
}

Parameters

Parameters are identical to option_history_greeks_all.

symbolstringrequired

Underlying symbol

expirationstringrequired

Expiration date in YYYYMMDD format

strikestringrequired

Strike price in dollars as a string

rightstringrequired

"C" for call, "P" for put

datestringrequired

Date in YYYYMMDD format

intervalstringrequired

Accepts milliseconds ("60000") or shorthand ("1m"). Valid presets: 100ms, 500ms, 1s, 5s, 10s, 15s, 30s, 1m, 5m, 10m, 15m, 30m, 1h.

annual_dividendfloatoptional

Override annual dividend

rate_typestringoptional

Interest rate type

rate_valuefloatoptional

Override interest rate value

versionstringoptional

Greeks calculation version

strike_rangeintoptional

Strike range filter

Response

implied_volatilityfloat

Implied volatility

deltafloat

Rate of change of option price w.r.t. underlying price

thetafloat

Rate of change of option price w.r.t. time

vegafloat

Rate of change of option price w.r.t. volatility

rhofloat

Rate of change of option price w.r.t. interest rate

epsilonfloat

Rate of change of option price w.r.t. dividend yield

lambdafloat

Percentage change of option per percentage change of underlying

underlying_pricefloat

Underlying price

datestring

Date

ms_of_dayint

Milliseconds from midnight

Sample Response

[
  {"date": 20260402, "ms_of_day": 34260000, "implied_volatility": 0.4445, "delta": 0.9686, "theta": -0.1898, "vega": 9.2497, "rho": 21.7056, "epsilon": -25.7503, "lambda": 6.3665},
  {"date": 20260402, "ms_of_day": 34320000, "implied_volatility": 0.4350, "delta": 0.9718, "theta": -0.1757, "vega": 8.4631, "rho": 21.7944, "epsilon": -25.8555, "lambda": 6.3666}
]

First-order Greeks at 1-minute intervals for SPY 2026-04-17 550 call.