option_history_greeks_second_order

FreeValueStandardPro

Retrieve second-order Greeks (gamma, vanna, charm, vomma, veta) sampled at a given interval throughout a trading day.

Code Example

Rust

let g: Vec<GreeksTick> = tdx.option_history_greeks_second_order(
    "SPY", "20241220", "500000", "C", "20240315", "60000"
).await?;

Python

g = tdx.option_history_greeks_second_order("SPY", "20241220", "500000", "C",
                                               "20240315", "60000")

Go

g, err := client.OptionHistoryGreeksSecondOrder("SPY", "20241220", "500000", "C",
    "20240315", "60000")

C++

auto g = client.option_history_greeks_second_order("SPY", "20241220", "500000", "C",
                                                     "20240315", "60000");

Parameters

Parameters are identical to option_history_greeks_all.

symbolstringrequired

Underlying symbol

expirationstringrequired

Expiration date in YYYYMMDD format

strikestringrequired

Strike price as scaled integer

rightstringrequired

"C" for call, "P" for put

datestringrequired

Date in YYYYMMDD format

intervalstringrequired

Sampling interval in milliseconds

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

gammafloat

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

vannafloat

Rate of change of delta w.r.t. volatility

charmfloat

Rate of change of delta w.r.t. time

vommafloat

Rate of change of vega w.r.t. volatility

vetafloat

Rate of change of vega w.r.t. time

underlying_pricefloat

Underlying price

datestring

Date

ms_of_dayint

Milliseconds from midnight