EOD Greeks

FreeValueStandardPro

Fetch end-of-day Greeks history for an option contract.

• Returns the data for all contracts that share the same provided symbol and expiration.
• Uses Theta Data's EOD reports that get generated at 17:15 ET each day. The closing option price and closing underlying price are used for the greeks calculation.
• Any expiration=* request must be made day by day.

SPY · 20250321 · 20250303 · 20250306

Client

Auth

Style

symbolstring*

expirationdate*

start_datedate*

end_datedate*

strikestring

rightstring

annual_dividendfloat

rate_typestring

rate_valuefloat

versionstring

underlyer_use_nbbobool

max_dteint

strike_rangeint

from thetadatadx import Client

client = Client.from_env()

rows = client.market_data.option_history_greeks_eod(
    "SPY", "20250321", "20250303", "20250306",
    strike="570", right="C",
)
for t in rows:
    print(t.date, t.close, t.delta, t.implied_volatility)

Sample response · JSON

[
  {
    "ask": 4.25,
    "ask_condition": 50,
    "ask_exchange": 5,
    "ask_size": 12,
    "bid": 4.1,
    "bid_condition": 50,
    "bid_exchange": 11,
    "bid_size": 9,
    "charm": 3.6779,
    "close": 4.15,
    "color": -0.0163,
    "count": 1511,
    "d1": 0.275,
    "d2": 0.2401,
    "delta": 0.6083,
    "dual_delta": -0.5945,
    "dual_gamma": 0,
    "epsilon": -1.4791,
    "gamma": 0.0495,
    "high": 4.85,
    "implied_vol": 0.3334,
    "iv_error": 0.0001,
    "lambda": 32.3623,
    "low": 3.35,
    "open": 3.9,
    "rho": 1.4334,
    "speed": 0,
    "theta": -0.3892,
    "timestamp": "2024-11-04T15:59:59.828",
    "ultima": -15.6407,
    "underlying_price": 221.87,
    "underlying_timestamp": "2024-11-04T17:15:28.71",
    "vanna": -0.2765,
    "vega": 8.9221,
    "vera": 0,
    "veta": 0.0149,
    "volume": 7425,
    "vomma": 1.7667,
    "zomma": 0
  }
]

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).
start_date	date	yes	—	Start date YYYYMMDD
end_date	date	yes	—	End date YYYYMMDD
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, *.
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.
version	string	no	latest	Greeks model version. Accepted values: latest, 1.
underlyer_use_nbbo	bool	no	false	When true, use the NBBO-derived underlyer price as the Greeks input instead of the last trade.
max_dte	int	no	—	Maximum days to expiration
strike_range	int	no	—	Strike range filter
timeout_ms	int	no	—	Per-request deadline in milliseconds. 0 means no deadline.

Response

Rows of GreeksEodTick:

Field	Type	Description
ms_of_day	i32	EOD report creation time, milliseconds since midnight ET.
open	f64	Opening trade price.
high	f64	Highest traded price.
low	f64	Lowest traded price.
close	f64	Closing traded price.
volume	i64	Number of contracts or shares traded.
count	i64	Number of trades.
bid_size	i32	Last NBBO bid size.
bid_exchange	i32	Exchange code of the NBBO bid.
bid	f64	Last NBBO bid price.
bid_condition	i32	Quote condition code on the bid side.
ask_size	i32	Last NBBO ask size.
ask_exchange	i32	Exchange code of the NBBO ask.
ask	f64	Last NBBO ask price.
ask_condition	i32	Quote condition code on the ask side.
delta	f64	Sensitivity of the option value to a one-dollar move in the underlying.
theta	f64	Sensitivity of the option value to the passage of time.
vega	f64	Sensitivity of the option value to a change in implied volatility.
rho	f64	Sensitivity of the option value to the risk-free rate.
epsilon	f64	Sensitivity of the option value to the dividend yield.
lambda	f64	Percent change in the option value per percent change in the underlying.
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.
vera	f64	Sensitivity of rho to a change in implied volatility.
speed	f64	Rate of change of gamma with respect to the underlying price.
zomma	f64	Sensitivity of gamma to a change in implied volatility.
color	f64	Rate of change of gamma over time.
ultima	f64	Sensitivity of vomma to a change in implied volatility.
d1	f64	Black-Scholes d1 intermediate term.
d2	f64	Black-Scholes d2 intermediate term.
dual_delta	f64	Sensitivity of the option value to the strike price.
dual_gamma	f64	Second derivative of the option value with respect to the strike.
implied_volatility	f64	Implied volatility solved from the option price.
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.
underlying_price	f64	Underlying price used in the calculation (midpoint of the underlying).
date	i32	Trading date as a YYYYMMDD integer.

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).