option_snapshot_greeks_third_order

FreeValueStandardPro

Get a snapshot of third-order Greeks for an option contract: speed, zomma, color, and ultima.

Code Example

Rust

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

Python

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

Go

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

C++

auto g = client.option_snapshot_greeks_third_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

speedfloat

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

zommafloat

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

colorfloat

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

ultimafloat

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

underlying_pricefloat

Underlying price used

datestring

Date

ms_of_dayint

Milliseconds from midnight

Notes

• Third-order Greeks are primarily used in advanced hedging and risk management scenarios involving large portfolios or exotic strategies.