option_snapshot_greeks_first_order

FreeValueStandardPro

Get a snapshot of first-order Greeks for an option contract: delta, theta, vega, rho, epsilon, and lambda.

Code Example

Rust

let data = tdx.option_snapshot_greeks_first_order("SPY", "20260417", "550", "C").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} expiration={} strike={:.2}",
        t.date, t.ms_of_day, t.implied_volatility, t.delta, t.theta, t.vega, t.rho, t.epsilon, t.lambda, t.expiration, t.strike);
}

Python

data = tdx.option_snapshot_greeks_first_order("SPY", "20260417", "550", "C")
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} theta={t.theta:.4f} "
          f"vega={t.vega:.4f} rho={t.rho:.4f} epsilon={t.epsilon:.4f} lambda={t.lambda:.4f} expiration={t.expiration} strike={t.strike:.2f}")

TypeScript

const data = tdx.optionSnapshotGreeksFirstOrder('SPY', '20260417', '550', 'C');
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_snapshot_greeks_first_order("SPY", "20260417", "550", "C");
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 expiration=%d strike=%.2f\n",
        t.date, t.ms_of_day, t.implied_volatility, t.delta, t.theta, t.vega, t.rho, t.epsilon, t.lambda, t.expiration, t.strike);
}

Parameters

Parameters are identical to option_snapshot_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

annual_dividendfloatoptional

Override annual dividend

rate_typestringoptional

Interest rate type

rate_valuefloatoptional

Override interest rate value

stock_pricefloatoptional

Override underlying price

versionstringoptional

Greeks calculation version

max_dteintoptional

Maximum days to expiration

strike_rangeintoptional

Strike range filter

min_timestringoptional

Minimum time of day as milliseconds from midnight

use_market_valuebooloptional

Use market value instead of last trade price

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 price per percentage change of underlying

underlying_pricefloat

Underlying price used

datestring

Date

ms_of_dayint

Milliseconds from midnight

Sample Response

[
  {
    "date": 20260402, "ms_of_day": 58497982, "implied_volatility": 0.4091,
    "delta": 0.9855, "theta": -0.1205, "vega": 4.8813, "rho": 22.1671,
    "epsilon": -26.5693, "lambda": 6.0354,
    "expiration": 20260417, "strike": 550.0
  }
]

First-order Greeks for SPY 2026-04-17 550 call.