option_history_trade_greeks_iv

FreeValueStandardPro

Retrieve implied volatility computed on each individual trade for an option contract.

Code Example

Rust

let data = tdx.option_history_trade_greeks_implied_volatility("SPY", "20260417", "550", "C", "20260315").await?;
for t in &data {
    println!("date={} ms_of_day={} implied_volatility={:.4} iv_error={:.4}",
        t.date, t.ms_of_day, t.implied_volatility, t.iv_error);
}

Python

data = tdx.option_history_trade_greeks_implied_volatility("SPY", "20260417", "550", "C", "20260315")
for t in data:
    print(f"date={t.date} ms_of_day={t.ms_of_day} "
          f"implied_volatility={t.implied_volatility:.4f} iv_error={t.iv_error:.4f}")

TypeScript

const data = tdx.optionHistoryTradeGreeksImpliedVolatility('SPY', '20260417', '550', 'C', '20260315');
for (const t of data) {
    console.log(`date=${t.date} ms_of_day=${t.ms_of_day} implied_volatility=${t.implied_volatility} iv_error=${t.iv_error}`);
}

C++

auto data = client.option_history_trade_greeks_implied_volatility("SPY", "20260417", "550", "C", "20260315");
for (const auto& t : data) {
    printf("date=%d ms_of_day=%d implied_volatility=%.4f iv_error=%.4f\n",
        t.date, t.ms_of_day, t.implied_volatility, t.iv_error);
}

Parameters

Parameters are identical to option_history_trade_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

start_timestringoptional

Start time as milliseconds from midnight

end_timestringoptional

End time as milliseconds from midnight

annual_dividendfloatoptional

Override annual dividend

rate_typestringoptional

Interest rate type

rate_valuefloatoptional

Override interest rate value

versionstringoptional

Greeks calculation version

max_dteintoptional

Maximum days to expiration

strike_rangeintoptional

Strike range filter

Response

pricefloat

Trade price

sizeint

Trade size

conditionint

Trade condition code

exchangeint

Exchange code

implied_volatilityfloat

IV computed from trade price

bid_ivfloat

Bid IV

ask_ivfloat

Ask IV

underlying_pricefloat

Underlying price at time of trade

iv_errorfloat

IV solver error

datestring

Date

ms_of_dayint

Milliseconds from midnight

Sample Response

[
  {"date": 20260402, "ms_of_day": 34203497, "implied_volatility": 0.429000, "iv_error": 0.0}
]

IV computed at each trade execution. Requires Professional subscription.

Notes

• Provides per-trade IV, which is useful for analyzing IV dynamics around large trades or sweeps.
• Compare implied_volatility against bid_iv/ask_iv to understand where in the spread the trade executed.