First-Order Greeks

FreeValueStandardPro

Fetch first-order Greeks history (intraday, sampled by interval).

• Returns the data for all contracts that share the same provided symbol and expiration.
• Calculated using the option and underlying midpoint price. If an interval size is specified (highly recommended), the option quote used in the calculation follows the same rules as the quote endpoint.
• 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.

pub fn option_history_greeks_first_order(
    &self,
    symbol: &str,
    expiration: &str,
    date: &str,
) -> OptionHistoryGreeksFirstOrderBuilder<'_>

Optional parameters chain on the builder: .strike(&str), .right(&str), .interval(&str), .start_time(&str), .end_time(&str), .annual_dividend(f64), .rate_type(&str), .rate_value(f64), .version(&str), .strike_range(i32), .start_date(&str), .end_date(&str). Execute with .await → Result<Vec<GreeksFirstOrderTick>, Error>, or decode chunk-by-chunk with .stream(handler).

Example

let rows = tdx
    .option_history_greeks_first_order("SPY", "20250321", "20250303")
    .strike("570")
    .right("C")
    .interval("1m")
    .await?;
for t in &rows {
    println!("date={} delta={} theta={} vega={}", t.date, t.delta, t.theta, t.vega);
}

ThetaDataDxClient.option_history_greeks_first_order(
    symbol, expiration, date,
    *,
    strike=None, right=None, interval=None, start_time=None, end_time=None,
    annual_dividend=None, rate_type=None, rate_value=None, version=None,
    strike_range=None, start_date=None, end_date=None, timeout_ms=None,
) -> GreeksFirstOrderTickList

option_history_greeks_first_order_async(...) awaits the same call shape. Chain .to_pandas() / .to_polars() / .to_arrow() / .to_list() on the result.

Example

rows = tdx.option_history_greeks_first_order(
    "SPY",
    "20250321",
    "20250303",
    strike="570",
    right="C",
    interval="1m",
)
for t in rows:
    print(t.date, t.delta, t.theta, t.vega)

optionHistoryGreeksFirstOrder(
  symbol: string, expiration: string | Date, date: string | Date,
  options?: { ... },
): Promise<Array<GreeksFirstOrderTick>>

Optional parameters ride in a single trailing options object: strike?: string, right?: string, interval?: string, startTime?: string | Date, endTime?: string | Date, annualDividend?: number, rateType?: string, rateValue?: number, version?: string, strikeRange?: number, startDate?: string | Date, endDate?: string | Date, timeoutMs?: number.

Example

const rows = await tdx.optionHistoryGreeksFirstOrder('SPY', '20250321', '20250303', { strike: '570', right: 'C', interval: '1m' });
for (const t of rows) {
  console.log(t.date, t.delta, t.theta, t.vega);
}

std::vector<GreeksFirstOrderTick> option_history_greeks_first_order(
    const std::string& symbol,
    const std::string& expiration,
    const std::string& date,
    const EndpointRequestOptions& options = {}) const;

Optional parameters chain on EndpointRequestOptions: .with_strike(...), .with_right(...), .with_interval(...), .with_start_time(...), .with_end_time(...), .with_annual_dividend(...), .with_rate_type(...), .with_rate_value(...), .with_version(...), .with_strike_range(...), .with_start_date(...), .with_end_date(...). Throws tdx::Error on failure.

Example

auto rows = client.option_history_greeks_first_order("SPY", "20250321", "20250303",
    tdx::EndpointRequestOptions{}.with_strike("570").with_right("C").with_interval("1m"));
for (const auto& t : rows) {
    std::cout << t.date << ' ' << t.delta << ' ' << t.theta << ' ' << t.vega << "\n";
}

GET http://127.0.0.1:25503/v3/option/history/greeks/first_order

Served by the bundled server binary; responses stream as JSON, CSV, or NDJSON via the format parameter.

Example

curl -G 'http://127.0.0.1:25503/v3/option/history/greeks/first_order' \
    --data-urlencode 'symbol=SPY' \
    --data-urlencode 'expiration=2025-03-21' \
    --data-urlencode 'date=2025-03-03' \
    --data-urlencode 'strike=570' \
    --data-urlencode 'right=C' \
    --data-urlencode 'interval=1m'

Parameters

Name	Type	Required	Default	Description
symbol	string	yes	—	Ticker symbol (e.g. AAPL)
expiration	date	yes	—	Expiration date YYYYMMDD
date	date	yes	—	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. Accepted values: call, put, both.
interval	string	no	1s	Interval preset or millisecond string. Defaults to 1s when omitted — matching the upstream ThetaData Python library. Accepted values: tick, 10ms, 100ms, 500ms, 1s, 5s, 10s, 15s, 30s, 1m, 5m, 10m, 15m, 30m, 1h.
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.
version	string	no	latest	Greeks model version. Accepted values: latest, 1.
strike_range	int	no	—	Strike range filter
start_date	date	no	—	Start date YYYYMMDD
end_date	date	no	—	End date YYYYMMDD
timeout_ms	int	no	—	Per-request deadline in milliseconds. 0 means no deadline.

Response

Rows of GreeksFirstOrderTick:

Field	Type	Description
ms_of_day	i32	Milliseconds since midnight Eastern Time.
bid	f64	Last NBBO bid price.
ask	f64	Last NBBO ask price.
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.
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).