option_snapshot_greeks_second_order

FreeValueStandardPro

Get a snapshot of second-order Greeks for an option contract: gamma, vanna, charm, vomma, and veta.

Code Example

Rust

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

Python

g = tdx.option_snapshot_greeks_second_order("SPY", "20241220", "500000", "C")

Go

g, err := client.OptionSnapshotGreeksSecondOrder("SPY", "20241220", "500000", "C")

C++

auto g = client.option_snapshot_greeks_second_order("SPY", "20241220", "500000", "C");

Parameters

Parameters are identical to option_snapshot_greeks_all.

symbolstringrequired

Underlying symbol

expirationstringrequired

Expiration date in YYYYMMDD format

strikestringrequired

Strike price as scaled integer

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

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 (delta decay)

vommafloat

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

vetafloat

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

underlying_pricefloat

Underlying price used

datestring

Date

ms_of_dayint

Milliseconds from midnight