Second-Order Binomial Trade Greeks

FreeValueStandardPro

Fetch second-order binomial Greeks on each trade for an option contract.

• Returns the data for all contracts that share the same provided symbol and expiration.
• Greeks are calculated with a Leisen-Reimer binomial tree that allows early exercise at every node, so the values are American-style.
• Calculates greeks for every trade reported by OPRA.
• The underlying price represents whatever the last underlying price was at the timestamp field. You can read more about how Theta Data calculates greeks here.
• Multi-day requests are limited to 1 month of data, and must specify an expiration.

SPY · 20250321

Client

Auth

Style

symbolstring*

expirationdate*

strikestring

rightstring

datedate

start_timestring

end_timestring

annual_dividendfloat

rate_typestring

rate_valuefloat

binomial_stepsint

versionstring

max_dteint

strike_rangeint

start_datedate

end_datedate

perf_boost_intradaybool

from thetadatadx import Client

client = Client.from_env()

rows = client.market_data.option_history_binomial_trade_greeks_second_order(
    "SPY", "20250321",
    strike="570", right="C", date="20250303",
)
for t in rows:
    print(t.ms_of_day, t.price, t.gamma, t.vanna)

Sample response · JSON

[
  {
    "charm": -2.3902,
    "condition": 125,
    "exchange": 6,
    "ext_condition1": 255,
    "ext_condition2": 255,
    "ext_condition3": 255,
    "ext_condition4": 255,
    "gamma": 0.0518,
    "implied_vol": 0.321,
    "iv_error": 0,
    "price": 2.73,
    "sequence": 302911465,
    "size": 1,
    "timestamp": "2024-11-04T10:30:07.884",
    "underlying_price": 221.69,
    "underlying_timestamp": "2024-11-04T10:30:07.000",
    "vanna": 0.1323,
    "veta": 413.8768,
    "vomma": 0.2274
  },
  {
    "charm": -2.3902,
    "condition": 125,
    "exchange": 43,
    "ext_condition1": 255,
    "ext_condition2": 255,
    "ext_condition3": 255,
    "ext_condition4": 255,
    "gamma": 0.0518,
    "implied_vol": 0.321,
    "iv_error": 0,
    "price": 2.73,
    "sequence": 302911466,
    "size": 1,
    "timestamp": "2024-11-04T10:30:07.884",
    "underlying_price": 221.69,
    "underlying_timestamp": "2024-11-04T10:30:07.000",
    "vanna": 0.1323,
    "veta": 413.8768,
    "vomma": 0.2274
  },
  {
    "charm": -2.3902,
    "condition": 125,
    "exchange": 5,
    "ext_condition1": 255,
    "ext_condition2": 255,
    "ext_condition3": 255,
    "ext_condition4": 255,
    "gamma": 0.0518,
    "implied_vol": 0.321,
    "iv_error": 0,
    "price": 2.73,
    "sequence": 302911481,
    "size": 1,
    "timestamp": "2024-11-04T10:30:07.884",
    "underlying_price": 221.69,
    "underlying_timestamp": "2024-11-04T10:30:07.000",
    "vanna": 0.1323,
    "veta": 413.8768,
    "vomma": 0.2274
  }
]

Parameters

Name	Type	Required	Default	Description
symbol	string	yes	-	Ticker symbol (e.g. AAPL)
expiration	date	yes	-	Expiration date YYYYMMDD. Pass * to select all expirations for the underlying (chain-wide; query one date at a time).
strike	string	no	*	Strike price in dollars as a string (e.g. 500 or 17.5). Use * for wildcard selection.
right	string	no	both	Option side. Use both or * (alias) for calls and puts. Accepted values: call, put, both, *.
date	date	no	-	Single date YYYYMMDD. Supply this for a single-day pull, or supply start_date/end_date for a range. When present, date takes precedence over the range.
start_time	string	no	09:30:00	Start time filter
end_time	string	no	16:00:00	End time filter
annual_dividend	float	no	-	Annualized expected dividend amount, in dollars per share, used in the Greeks calculation (e.g. 2.5 is $2.50 per share per year).
rate_type	string	no	sofr	Risk-free-rate source used in the Greeks calculation. Accepted values: sofr, treasury_m1, treasury_m3, treasury_m6, treasury_y1, treasury_y2, treasury_y3, treasury_y5, treasury_y7, treasury_y10, treasury_y20, treasury_y30.
rate_value	float	no	-	Interest rate as a percent (4.36 means 4.36%, matching the InterestRateTick.rate convention) used in the Greeks calculation. Applied when rate_type selects a manual rate.
binomial_steps	int	no	101	Number of steps in the binomial tree used for the Greeks calculation. Accurate at higher values and cheaper at lower ones; the server's cost grows with the square of the value. An even value is rounded up to the next odd one, and an expiration=* request is capped at 101 steps.
version	string	no	latest	Greeks model version. Accepted values: latest, 1.
max_dte	int	no	-	Maximum days to expiration
strike_range	int	no	-	Strike range filter
start_date	date	no	-	Start date YYYYMMDD
end_date	date	no	-	End date YYYYMMDD
perf_boost_intraday	bool	no	false	When true, the underlying price for a current-day query is looked up with 1-second precision instead of millisecond precision, which answers faster. Defaults to false, matching the terminal, which sends false when the value is omitted.
timeout_ms	int	no	-	Per-request deadline in milliseconds. 0 means no deadline.

Response

Rows of TradeGreeksSecondOrderTick:

Field	Type	Description
ms_of_day	i32	Milliseconds since midnight Eastern Time.
sequence	i32	Exchange-assigned trade sequence number.
ext_condition1	i32	Additional trade condition code.
ext_condition2	i32	Additional trade condition code.
ext_condition3	i32	Additional trade condition code.
ext_condition4	i32	Additional trade condition code.
condition	i32	Trade condition code. Zero is a code the vendor assigns a meaning, so read columns() to tell a reported zero from a response that carried no such column.
size	i32	Number of contracts or shares traded.
exchange	i32	Exchange code where the trade executed. Zero is a code the vendor assigns a meaning, so read columns() to tell a reported zero from a response that carried no such column.
price	f64	Trade price.
gamma	f64	Rate of change of delta with respect to the underlying price.
vanna	f64	Sensitivity of delta to a change in implied volatility.
charm	f64	Rate of change of delta over time.
vomma	f64	Sensitivity of vega to a change in implied volatility.
veta	f64	Rate of change of vega over time.
implied_volatility	f64	Implied volatility solved from the option price. The vendor names this column IMPLIED_VOL.
iv_error	f64	Residual pricing error of the implied-volatility solve.
underlying_ms_of_day	i32	Timestamp of the underlying price, milliseconds since midnight ET. The vendor names this column MS_OF_DAY2.
underlying_price	f64	Underlying price used in the calculation (midpoint of the underlying).
date	i32	Trading date as a YYYYMMDD integer.
underlying_date	i32	Trading date of the underlying price as a YYYYMMDD integer, decoded from the same wire column as underlying_ms_of_day. It differs from date when the underlying price and the option quote come from different sessions.

Wildcard requests additionally populate expiration (YYYYMMDD), strike (dollars), and right ("C" / "P") on every row to identify the contract; on single-contract requests these are absent (None / null / undefined; the Rust and C rows carry the documented 0 / 0.0 / '\0' fills).